168 reputation
5
bio website bit.ly/GFscreener11
location stackoverflow.com@askmarcos.com
age
visits member for 2 years, 8 months
seen yesterday

Pioneers are the ones with arrows in their backs.

Investment Portfolio Software, Trade Automation

Designer of infinite compression algorithms, and other research projects


Jul
23
comment Option symbol conversion
How can I migrate question this to SE? Anyway a useful reference to decode the new option symbol I have found is moneymorning.com/2010/02/01/new-options-trading-symbols. If I always assume 3rd Friday/Saturday of the month I can avoid online lookups.
Jun
13
comment How can I go about applying machine learning algorithms to stock markets?
+1 just for the Rat Traders
May
10
comment age-sensitive correlation measurements in finances
I will come back one day and attempt to repost your answer adding Ruby or R code, once I learn what's behind each of those variables (pardon my ignorance). For now, thank you
Mar
13
comment how to identify similar assets based only on a few price samples
I wish I knew how to read between their lines, but can safely say it's a company with zero remaining credibility and a history of class-action lawsuits for misleading and entrapping,selling inappropriate products to elders, etc. Even being able to see a TAA's fund current track record would help me a lot in steering allocation decisions until I can get out, but they leave little to public(customers'!) scrutiny. Hence my motive to compute daily fresh correlations as next-best thing. But you make a good point that enlightened me after more research,thanks. And the quant problem interests me.
Mar
13
comment how to identify similar assets based only on a few price samples
@chrisaycock okay thanks. Pls feel free to edit/discuss down to worthwhile content.
Mar
13
comment how to identify similar assets based only on a few price samples
Better? Let me reduce.
Mar
11
comment What programming languages are most commonly used in quantitative finance?
On your website where you accidentally link the Wiki to Dextor TV series downloads, I recommend using .mkv instead of .avi format as the file sizes can be so much smaller and at the same time, the resolution of x264 encoding so much better.
Mar
11
comment age-sensitive correlation measurements in finances
That's great! I didn't want to re-invent something I had a hard time finding, but I'm tempted to draft it up in Ruby and post it here to see where it goes, esp. for scrutiny of its usefulness. I already keep local databases of some OHLCV historical data and wanted to incorporate correlations more directly into my trading algorithms, but ones exponentially or geometrically favoring recent history over distant, yet factoring in both. Maybe it's time I break a sweat and learn R like quants here seem to use.
Mar
10
comment portfolio diversification tester
I appreciate the professional insight and tend to agree with some of the concepts and myths discussed in your book. However can you point me to areas specific to diversification- or portfolio-correlation- testing strategies to help me navigate the material you published, online(preferably) or offline?
Mar
9
comment portfolio diversification tester
somewhat duplicate of: quant.stackexchange.com/questions/1143/minimizing-correlation
Mar
9
comment portfolio diversification tester
So to incorporate this into my process, basically I need to 1. Gauge the correlations between each pair of existing positions once at the beginning and remember the initial WAC, next 2. For each new candidate, learn from somewhere its correlations with each of the positions in the portfolio, and finally 3. Run the correlation matrix sum again as if the candidate already belonged to the portfolio, and see how it changed the WAC up or down from the original--down meaning less aggregate correlation(less risk).
Mar
9
comment portfolio diversification tester
I think I see. So for the 16 positions in that example, the final WAC would be the sum of the 15 + 14 + 13 + ... 2 + 1 = 16^2 /2 or 128 possible pairs applied into that formula.
Mar
8
comment portfolio diversification tester
Yeah something like that. You mean a matrix like ones at assetcorrelation.com/custom?period=91&portfolio=1648 ? Only I don't get your formula yet for the case of N existing positions. I do want the WAC to factor in the sizes(each position different) so that seems like the right track.
Mar
8
comment portfolio diversification tester
assetcorrelation.com gives you an "Intra-portfolio diversification" but it's a lot of work to see how it changes from one addition to your basket (and my algorithms need to evaluate thousands quickly)