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May
31
comment Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
Mostly I was trying to figure out the relation between goodness-of-fit in cross-section and the forecasting power... thank you!
May
31
comment Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
Yes, I've read that book but it didn't say why cross-sectional regression has something to do with forecasting power...
May
31
comment Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
Thank you! Yeah, my question was vague because I don't know how they do it in the quant funds. I know they play with various types of regressions. And I know they not only use regressions and factor models for risk modeling and pnl attributions, but also for alpha generating and forecasting. So I was looking for pointers about how cross-sectional regressions are used and how are they related to forecasting power (strategy performance). Knowing those, we then know which directions to go about improving regression models...
May
31
comment Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
Thanks. But I am specifically asking about forecasting, not risk modeling and pnl attribution. Any more thoughts? Thank you!
May
31
asked Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?