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visits member for 2 years, 11 months
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Feb
10
answered What is a good broker for HFT?
Jan
5
answered Has high frequency trading (HFT) been a net benefit or cost to society?
Jan
5
awarded  Teacher
Jan
5
comment How to vet an intraday strategy
Many questions in the same thread, why don't you split this?
Jan
5
answered How to vet an intraday strategy
Jan
4
comment How to account for jumps in intraday data when calculating beta?
@silencer Are you calculating beta to fit a model or to hedge a portfolio? In the first cast I would tend to smooth data less. Also, are you holding positions overnight?
Jan
4
awarded  Commentator
Jan
4
comment How to account for jumps in intraday data when calculating beta?
@chrisaycock What moving average window would you suggest? At 15 minutes per period, there is only 26 periods/day.
Jan
3
accepted How to improve the consistency of explained variance statistics in a linear equity model?
Jan
3
comment How to improve the consistency of explained variance statistics in a linear equity model?
Thanks, I will look further and post an extra answer if I make any progress.
Jan
3
revised How to improve the consistency of explained variance statistics in a linear equity model?
Rephrased question. Removed references to beta neutralization.
Dec
31
comment How to improve the consistency of explained variance statistics in a linear equity model?
I've found this thread about Beta. gappy argues against using daily Beta values to higher-frequency series.
Dec
31
comment How to improve the consistency of explained variance statistics in a linear equity model?
I read the link, it's an example of over-fitting. What do you mean by never look at in-sample statistics? How do you build your model terms and coefficients?
Dec
31
comment How to improve the consistency of explained variance statistics in a linear equity model?
About CAPM, usually it's applied to longer-term models, EOD at least from what I read. Can Fama/French factors or APT be applied to a 1-minute time-series model? Are there factors that more relevant for high-frequency?
Dec
31
revised How to improve the consistency of explained variance statistics in a linear equity model?
edited body
Dec
31
asked How to improve the consistency of explained variance statistics in a linear equity model?
Dec
20
awarded  Supporter
Dec
20
accepted Linear regression and assets direction prediction
Dec
20
comment Linear regression and assets direction prediction
Yes, that's what I was suspecting with my partial understanding of logistic regression. But let's stretch my question a bit: what if I wanted to fit a model for different return targets rather than just an up or down outcome. Would I have to run a logistic regression for each target level and then compare each r-squared or are there SEMs that can solve for the best return target (in the variance sense) and direction?
Dec
20
asked Linear regression and assets direction prediction