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| bio | website | |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 2 months |
| seen | 1 hour ago | |
| stats | profile views | 598 |
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Feb 14 |
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Multiple Discrete Dividends I added some more content. |
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Feb 13 |
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Why do we use GARCH(1,1) to predict volatility? @BobJansen, agree, though most multivariate models get quickly very complex. If you dont mind then I will add it to the list of shortcomings though. |
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Feb 13 |
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Why do we use GARCH(1,1) to predict volatility? Erroneous simplicity assumptions? After all, we all think most recent events are more relevant than the ones longer time ago. |
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Feb 13 |
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Why do we use GARCH(1,1) to predict volatility? Garch by far does not incorporate the behavior the best. Thats a pretty bold statement at best. |
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Feb 9 |
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Why doesn't a simulated delta hedging process go to zero? Nice find in the code. I overlooked that. I am willing to bet that is where most all of his hedge error originates from. |
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Feb 9 |
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Why doesn't a simulated delta hedging process go to zero? What is not correct about that? At any time you can query the net exposure which represents your open position by differencing the total longs and total shorts. The amount by which the total longs and total shorts are balanced is your closed/realized exposure on which you calculate realized PnL. |
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Feb 8 |
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What continous adjustment methods are firms using for futures backtesting? @John, by all means why not. It depends of course whether you look to develop a new strategy that benefits from such optimizations. I am well aware that buy side funds or certain ETFs spend an awful amount of time to optimize futures roll overs. The above are more like general guidelines rather than a must-do. |
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Feb 6 |
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Multiple (linear) regression I see your point but as long as the question is relevant to quant space one always has the choice to ignore the question right? Or vote to close with comment. That's at least my take on it. |
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Feb 6 |
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Multiple (linear) regression Of course I trust my model more than the market price at any given point in time, otherwise I should not be in the business of trading. If we believe markets are strongly efficient we should neither buy nor sell because prices reflect the true value. I hope we agree that this is far from being the case. |
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Feb 6 |
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Multiple (linear) regression Why is there always people voting to close without giving any rational? I find that very disingenuous. Or are questions of new users generally voted to be closed? If the question does not fit the Q&A why not commenting on that? |
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Feb 6 |
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Multiple (linear) regression @SRKX, I dont see it to be honest. He is not trying to predict future stock prices, he tries to estimate the model value of a stock price at t. All the inputs are point values at t as well. I do not see anything fundamentally wrong with this approach. Example, I fit a model in which I weigh current stock index value, current coffee price, current banana price, current 'what have you', and out comes my model stock price right now at t, not t+1. I set it relative to the actual observed price in the market and make a trading decision. Betas are outputs of past data optimizations. |
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Feb 6 |
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Multiple (linear) regression I guess what he wanted to say is that he is setting up a function to estimate the stock price based on fundamental data and if the stock price does not converge to what he believes is the fundamental value of the stock then he will either long or short the stock. In that sense I do not see why PCA is that far off? I would identify the driving components of the stock, periodically re-calibrate, and then look to calculate the deviations between the stock price and future model prices. |
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Feb 6 |
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Position management and market-making techniques it for sure involves making compromises. Hey, I like your paper, I read through it. The math was developed quite neatly, though I still believe (as earlier pointed out) that you make a lot of simplifying assumptions, especially in your back test. You could at least have incorporated true bid-ask spreads and simulated inventory in a bit smarter way. But again the math in your paper I learned quite a few bits and pieces. |
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Feb 5 |
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NYSE binary data, convert to ASCII Not sure what you are actually struggling with. You laid out the 40 bytes per message in much detail in SO (is saw your question there). I could write you a program in c# in less than an hour to get the job done. I make the assumption here the source is also a file of binary nature correct? |
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Feb 5 |
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NYSE binary data, convert to ASCII I doubt sed gets you what you look for. Sed is used To parse text, you mentioned your stream contains byte arrays. To need to know what each field represents from the documentation you mentioned. Then you simply google how you can make the conversion in ,for example Pearl or Python, to the variable type targeted. Really not that hard if you ask me. |
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Feb 5 |
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Testing for stationarity in large sample sizes nice explanation! |
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Feb 5 |
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Position management and market-making techniques @lehalle, thanks for the disclaimer. Regarding your statement that no models work in stressed markets, I beg to disagree. You would essentially disqualify jump models with your statements. Discontinuous jumps are clearly a situation in which some external "stress" factor induced prices to discontinuously jump 20%, for example. Or to stick to this particular area, in many markets a stock can suddenly stop trading due to pending announcements or external events which generally precludes a larger jump, even when considering intraday hft markets. |
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Feb 4 |
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Yield Curve construction Sorry I just saw the reference to the same on the link Joshua Ulrich linked to (Quant Stack exchange "master list"). |
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Feb 4 |
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Position management and market-making techniques I like the referenced paper thus far, still need to dig a bit deeper as it seems to make a lot of assumptions re price dynamics and arrival times. You may want to point out that this is partly your paper unless the name of one of the authors is coincidental. But nonetheless +1. |
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Feb 3 |
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Kelly criterion and Sharpe ratio @kristine, you continue to miss the point here. |
