Reputation
1,253
Top tag
Next privilege 1,500 Rep.
Approve tag wiki edits
Badges
9 21
Impact
~49k people reached

  • 0 posts edited
  • 0 helpful flags
  • 225 votes cast
Jul
5
comment How to better understand trading signals?
The problem with Principle component analysis is that you moght lose information about what really drives your returns. Also as a rule of thumbs, before assuming that you have a non linear relationship make sure that a linear methods realy results in underfitting your problem. If you want to reduce the number of variables you could use shrinkage regression for example.
Jun
21
comment How does Cornish-Fisher VaR (aka modified VaR) scale with time?
Have you tried to do the calculation yourself? In the case of IID returns it shouldn't be too complicated. Write log returns of aggredated returns as the sum of individual log returns. Then calculate the skewness and Kurtosis of the sum.
Jun
10
comment How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
It also has to be done that way because almost everyone out there is doing it on daily returns. This enables clearer comparisons between strategies.
Jun
2
awarded  Enthusiast
May
30
accepted Optimal execution and reinforcement learning
May
29
revised Optimal execution and reinforcement learning
added 13 characters in body
May
29
comment What are the steps to perform properly a risk factor analysis on a portfolio?
Are you really looking for a generaly accepted method? I don't think this exists for anything related to quant finance. I ask this there are probably people that know reference for this but would not post it as a "generaly accepted method".
May
29
revised Optimal execution and reinforcement learning
added 14 characters in body
May
29
comment Optimal execution and reinforcement learning
@SRKX Sorry you are right. +1
May
29
revised Optimal execution and reinforcement learning
edited title
May
29
asked Optimal execution and reinforcement learning
May
25
comment How to interpret results of Johansen Test?
@techpaisa you have to successively test, the first one is null: r=0 against r>0. in your case you reject at 99% if your test (12.88) >24.60. If this was true you would then test r=1 against r>1 : 2.46>12.97. if you reject that then you can conclude that r=2. You do not need to know the degree of freedom as the critical values are tabulated
May
24
answered How to interpret results of Johansen Test?
May
21
comment How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
This is not specific of illiquid securities but you won't get any single model that answers your question. You will need to ask yourself what is the final aim of your model. This will highly depend on what you want to do with it. If it's algo trading the first most important characteristic will be out sample predictive performance. If you want to build a pricer you will probably be more interested in the way it estimates it's volatility.
May
19
comment Measuring co-movement at non-constant intervals
Could you be clearer? Are you talking about irregularly spaced time series?
May
16
comment Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?
@John Thanks for the reference
May
15
comment Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?
@John: Any out-sample predictive ability? I haven't found them very usefull in the past.
May
14
comment Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?
+1 for simplicity. Are you planning on applying this model to financial time series prediction?
May
14
answered Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?
May
9
asked Reference on Electronic volatility trading