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visits member for 3 years, 2 months
seen Apr 17 at 17:06

Feb
1
awarded  Yearling
Sep
12
awarded  Nice Answer
Aug
11
awarded  Nice Question
Jun
30
comment Variable Selection in factor models
You should be concerned with correlation among your inputs or at least used technics such as ridge regression when estimating your model.
Jun
28
comment How random are financial data series?
@asmaier: I just started reading about these tests but I think you may not have enough usable data finance.
Jun
23
accepted Measuring liquidity
Jun
22
asked Measuring liquidity
Jun
21
answered How random are financial data series?
Jun
20
answered How can I quantitatively test the validity of momentum indicators?
Jun
17
answered Who cares about autocorrelation?
May
31
comment Linear combination of gaussian random variables
You can look at the wikipedia page on multivariate normal distribution. There is a paragraph on multivariate normality test.
May
9
comment Minimizing Correlation
Can you be more specific about Fabozzi?
Apr
18
comment How are cryptography and speech recognition technology applied to forecasting financial markets?
Maybe these two posts can interest you: intelligenttradingtech.blogspot.com/…
Apr
18
comment Mean reverting Indicator
Also pair trading uses reversion to the mean of the spread between two stocks
Apr
18
comment Mean reverting Indicator
Several stocks can be concerned by mean reversion as there are methods to construct mean reverting portoflios.
Apr
17
awarded  Nice Question
Apr
15
comment Mean reverting Indicator
nyone here tried VIX. As it's supposed to be forward looking it could work better than realized vol.
Apr
15
asked Mean reverting Indicator
Apr
14
comment Library to solve optimization problems
As said I'm currently working with semiefit program which can be solved by interior point methods. By free I mean free and usable on windows.
Apr
13
asked Library to solve optimization problems