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location Hong Kong
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visits member for 2 years, 8 months
seen 18 mins ago

Oct
8
comment How to reduce fx currency pairs ? PCA or other tools?
What are you trying to achieve? You want to reduce to a basket of pairs that are uncorrelated to each other?
Oct
4
comment Looking for Research Paper on Creation of Currency Baskets
@PhilH, got it, thanks for pointing that out. Will keep that in mind for future searches. Thanks
Oct
3
comment Looking for Research Paper on Creation of Currency Baskets
@PhilH, sure when knowing the exact title. Apparently it was not that straightforward a find given I posted my question 2 months ago (and included the terms "principal components" and specifically mentioned I look for a paper that targets fx/currencies.) ;-)
Oct
2
reviewed Approve suggested edit on How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
Oct
2
comment Looking for Research Paper on Creation of Currency Baskets
Exactly what I was looking for, thanks a lot. I have no idea why it did not come up in any of my google searches.
Sep
30
accepted Looking for Research Paper on Creation of Currency Baskets
Sep
29
comment Intraday Data - Stylized Facts?
Here is one: Currencies trade 24/5 and equities are traded from market open till market close. And not even that is a stylized fact, take a look at the Hong Kong equity market and you will encounter numerous unannounced (sometimes multi day/weeks) trading halts. Or consider the many locked markets or stocks in opening auctions that can last hours if not throughout the whole session (see Tokyo stock exchange for plenty examples). In summary nothing is stylized which is why risk taking approaches need to be dynamic and adaptive.
Sep
22
comment Why most of apple stock price since 10years have been gained overnight?
What is your question? The simple answer to the question in your header is that more price impacting news hits the wires after market close and before market open. Also, Apple derives most of its revenues and earnings from outside the U.S. Whats so surprising?
Sep
21
comment Why would there be a positive risk-free rate?
It would be nice the next time you almost entirely change your question to let a little bit of time pass before choosing an answer so everyone gets a chance to adjust their answers. What you ask now is very different from the question you initially asked.
Sep
19
comment Why should we expect geometric Brownian motion to model asset prices?
Sure it is, with weeks/months delays which I consider fast in terms of lost IP but long enough in terms of being able to capture some alpha before the rest of the street catches on.
Sep
19
comment Why would there be a positive risk-free rate?
Your point is another academic anecdote that unfortunately floats around way too often. a) Treasury bills are not risk-free. US Government debt is not even triple A rated anymore. b) I explained that depending on utility certain market participants are not content with generating 2% per annum, no matter the risk incurred. c) leveraging such "investment opportunity" is an urban myth: You assume the interest you pay on a loan to purchase risk-free assets is lower than the yield on such instruments -> certainly not true in most cases. Also, bidding such instruments pushes down yields even further
Sep
19
comment Why would there be a positive risk-free rate?
why models allow for it to be only positive?
Sep
19
revised Why would there be a positive risk-free rate?
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Sep
19
revised Why should we expect geometric Brownian motion to model asset prices?
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Sep
19
revised Why should we expect geometric Brownian motion to model asset prices?
added 40 characters in body
Sep
19
answered Why should we expect geometric Brownian motion to model asset prices?
Sep
19
revised Why would there be a positive risk-free rate?
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Sep
19
answered Why would there be a positive risk-free rate?
Sep
15
comment For which instruments performs SABR/LMM better than LMM?
To my knowledge, most swaptions traders peruse the SABR or extended SABR model.
Sep
12
awarded  Nice Answer