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seen Sep 30 at 20:39

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
May
8
comment How to build a mean reverting basket?
@VictorP: Your question is very similar to the one asked just yesterday by Quant Guy. The paper I cite in my answer is an attempt to build such portfolios. There is also a post on the tr8dr blog related to that matter. You can find it by searching "cointegration clusters Tr8dr" on google.
May
7
answered cointegration applied to Portfolio Construction & Risk management
Apr
27
answered How to measure investors' “experienced” volatility?
Apr
23
accepted Statistical learning libraries