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visits member for 3 years
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Nov
6
comment Factor Model - Minimum Variance Portfolio [Complete Proof]
In your first formula for portfolio variance, you are missing a w. it should be w'var(e)w
Mar
26
comment Is the volatility of a trader's wealth equal to the volatility of the underlying assets traded?
Would a variance of a non-stationary process like Price make sense ?
Feb
27
comment Bloomberg Alternative for Quant Fund
How about Reuter's Eikon? They are trying hard to unseat Bloomberg, so who knows you might score a sweet deal with them.
Jan
16
comment Do you know any data source for historical VWAP data?
I am aware of Quantopian. I am looking for a source where I am able to download the data on my machine locally.
May
2
comment Is “eoddata” a good data source?
Tried them and was not satisfied with the data quality.
Dec
12
comment What data sources are available online?
I have used eoddata (premium member) and the data quality is horrible. I would suggest you remove it from the list.
Oct
10
comment Analyzing tick data
I am not sure I understand step 2,3 &4. Could you illustrate with a simple example.
Jun
29
comment Any known bugs with Yahoo Finance adjusted close data ?
@nicolas I agree
Jun
29
comment Optimal execution strategy
Is there a known method to compute the "noise" around spread or the "outer spread" ?
Apr
19
comment Is “eoddata” a good data source?
Is the data availablatom a timely manner at 5 pm? I am planning to go with the platinum package.
Apr
17
comment How to manage equity portfolio risk intraday?
Looking forward to your link
Feb
3
comment How to manage equity portfolio risk intraday?
@QuantGuy .. Might be a very stupid question but can you explain to me how I can use marginal contribution to risk in my case?
Jan
8
comment Is equity market making a game of speed?
@chrisaycock ... I am not asking for a market making strategy. I just want to judge how important of a factor speed is.
Jan
6
comment How to account for jumps in intraday data when calculating beta?
Fitting a model. And no I dont hold positions overnight,
Jan
4
comment How to account for jumps in intraday data when calculating beta?
Did you mean smooth the price via moving average ? If not, not really sure how taking a moving average of returns would give more meaningful results. Can you explain
Dec
11
comment Can momentum strategies be quantitative in nature?
Yes you can say that. So I guess my question is, why are momentum strategies technical rule-based instead of model-based ?
Dec
4
comment How to properly evaluate backtest returns?
This is what I mean...I tend to look at a strategy as a collection of trades with particular entry and exit points. If using multiple entry & exit points are used for each signal (adding positions or taking off positions for each signal) its is much easier to calculate returns per trade if looking at a dollar amount that was invested due to each signal.
Nov
24
comment What is a good broker for HFT?
How did you determine that you were losing money due to latency ? Do you calculate the slippage ?
Nov
23
comment How to vet an intraday strategy
This strategy is based on US equities and yes I am using a combination of midprice and previously traded price. Question is quite simple I think, how do you guys evaluate intraday strategies ? How big of a factor is slippage intraday ( on a 10 minute scales lets say). ?