2,188 reputation
827
bio website twitter.com/gappy3000
location New York, NY
age
visits member for 3 years, 9 months
seen Feb 5 at 15:40
I like one-letter languages with no modifiers.

Apr
16
comment Most successful investors using academic-based framework?
Don't know Hussman, but would say that the performance of AQR, although good overall, is not a sterling one. They lost 40% in the opening months of the fund in 1997-8, and then they lost a lot in 2008. All of which has not counterbalanced by outsize annual returns. Dalio's strategies span the gamut, where for "gamut" I mean "I don't really know what they do". But they seem to have the typically choppy performance of a fundamental fund, with lean years (2009) followed by fat years (2010). Not what you'd expect from a quant fund.
Apr
10
comment Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
Sell-side people talk about changes is risk aversion and risk appetite all the time. I should ask them but I am a bit shy.
Feb
13
comment How do you correct Max Draw-Down for auto-correlation?
The reference paper is actually "The Statistics of the Sharpe Ratio" by A.Lo. Financial Analysts Journal, Vol. 58, No. 4, July/August 2002. And, as it is the statement in the question is incorrect: when returns are positively autocorrelated, the SR is too large. When they are negatively autocorrelated however, it is too small. Also, it is Calmar ratio, not Calamar ratio. And finally, it is not heavily used in practice because, being based on an extremal statistics, it has very high variance.
Feb
9
comment Does mean-variance portfolio optimization provide a real edge to those who use it?
1. Actually, the biggest problem is the sensitivity with respect to estimated alphas, as shown by Ziemba and Chopra in their 1993, and confirmed by several studies afterwards. 2. I beg to differ. Barra and Axioma do MVO, with a lot of bells and whistles. If MVO is not effective, those added features won't save it.
Feb
9
comment How can I go about applying machine learning algorithms to stock markets?
@neil where is that line item in GS' 2008 annual report? I must have missed it.
Feb
9
comment Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
@richardh Thanks for pointing to th original article by Prescott and Mehra. I didn't know it had a derivation of risk aversion from asset class returns.
Feb
9
comment Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
With regards to the first point, there is a representative investor, and that doesn't mean we are all the same... books.google.com/… Second point. That is why I am actually asking the question. I am trying to understand if sell-side strategists are bullshitting, or at least if there is some empirical methodology to come with a measure of risk aversion.
Feb
9
comment What is a martingale?
As is, the definition is incorrect. You have to condition with respect to information up to time $t$.
Feb
9
comment Any research on how natural language processing can be used to forecast stocks?
Yes, I heard the Twitter thing. The links are interesting. It seems a hot topic.
Feb
8
comment How significant is slippage in a successful quant fund?
I agree with @shane, and would vote to close. The question is too generic, and those who have some first-hand knowledge of slippage would not post it on such a public forum. This question is easier to address: quant.stackexchange.com/questions/43/… .
Feb
7
comment Approximately what proportion of a stock’s volatility is explained by market movement?
Do you have access to any commercial equity factor model? I am asking because single-factor models underperform multi-factor models, and very few people care about market-premium only, except maybe investment bankers.