Robert Kubrick

254 reputation

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visits	member for	1 year, 5 months
	seen	May 18 at 14:33
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	254 reputation	bio	website		visits	member for	1 year, 5 months
17 badges		location			seen	May 18 at 14:33

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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
Dec 19	comment	Time series price prediction and linear regression: using high/low rather than last quotes price One problem I have with VWAP data is that for some intervals (1 minute in my case) the asset hasn't traded at all. I could discard those observation from the study, but I actually see quotes mean reversion as a validation of the hypothesis.
Dec 19	awarded	Scholar