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seen Mar 5 at 6:04

Mar
5
awarded  Editor
Mar
5
revised Resources for performance statistics of trading systems
found another
Mar
25
comment How to distinguish between different types of algorithmic trading
A human can filter an algorithm's trade suggestions based on information the algorithm might not know, such as news event. For example, an algorithm might select a Cyprus bank stock to buy based on price, but a human knows better.
Feb
6
comment How to annualize dividends paid at varying intervals?
Continue to use 12 months of history. Count the months with missing dividends as $0.00. You could, theoretically, predict future dividends, but predicting doesn't always work out well in finance.
Oct
25
comment Searching for pairs-trading in sub O(n^2 t) time
I can think of a connection. Programmers seem to like bacon. Hogs produce bacon. If the price of hogs goes down, then the price of bacon goes down. Cheap bacon makes happy programmers, which translates to productive software development. QED.
Oct
23
answered Resources for performance statistics of trading systems
Oct
23
comment Searching for pairs-trading in sub O(n^2 t) time
How do you know there is no connection between hogs and MS? A butterfly flaps its wings... and all. The link about spurious co-integration talked about detrended data and auto-correlation, but didn't give any actual examples. I'd be interested to see an example. If you pre-process your data before, then of course it could have a spurious co-integration. Even flat data, which acts like a constant, could be co-integrated with everything, since you are technically supposed to test for a unit-root on the individual pairs first. Pairs do tend to be found in sectors. Ex: BHP & BBL.
Oct
23
comment Searching for pairs-trading in sub O(n^2 t) time
I created an app to find co-integrated pairs. It's the computer doing the work so what do you care? kizbit.com
Oct
23
answered How to annualize dividends paid at varying intervals?
Oct
23
answered Technology stack used in Bloomberg
Oct
23
comment Technology stack used in Bloomberg
They build most everything from scratch for security. Almost everything is proprietary. There is a strict internal review for each version. They are very paranoid. There's a trade off using libraries. What if there is a bug in the library? Then you have to wait for someone else to fix it, or you have to dig into the source code and figure it out yourself, in which case it might have been faster to just build it yourself.
Apr
5
awarded  Teacher
Apr
5
comment what is a typical way forex brokerages can provide cheap leverage for their customers?
I originally read this is "What is the typical way forex brokers can cheat their customers"! It's called "stop hunting"!
Apr
5
comment What is the minimum history data size to get an accurate EMA/ MACD for latest history point
They are asking how many data points to start with. 1 bar? 10 bars? 100 bars?
Apr
5
answered What is the minimum history data size to get an accurate EMA/ MACD for latest history point
Mar
6
comment How are correlation and cointegration related?
Would you happen to know of a Khan-academy-esque video that shows derivation of the above?