450 reputation
415
bio website
location Santiago, Chile
age 32
visits member for 2 years, 7 months
seen Jun 27 at 1:07

Jun
27
comment Quantitative method to select tactical bands for asset allocation
Re 1st search result from Google: The paper just says that Choate uses some quantitative rules to define the tactical bands, but they don't explain what those rules are.
Jun
20
comment Weighting several returns over different time frames
Just presentation, I won't use it for any calculation
Jun
20
comment Weighting several returns over different time frames
I know this question sounds odd, but I overheard that there is a typical approach to dealing with different time frames in returns. Maybe a exponential-based set of weights?
Jun
15
comment How to calculate the implied volatility using the binomial options pricing model
Thanks Matt for your perspective. But this question is more practical rather than philosophical. In your terms, what I'm looking for is the inverse function of price = f(volatility) for the Ross-Cox-Rubinstein aka binomial model.
Jun
1
comment Aprox intraday implied volatility using intraday option prices and EOD greeks
@MattWolf I know there is no exact relationship, hence I'm asking for an approximation. As chrisaycock presumed, I'm looking for speed more than exactitude.
Jan
28
comment Statistical significance of a pair trading strategy
Thanks Akavall. My problem in this approach is that the out-of-sample is only one of many possible outcomes, and that is not enough to deny the null hypothesis.
Jan
28
comment Statistical significance of a pair trading strategy
Thanks Freddy. How can I set that hurdle rate, can it just be 0?
Jan
18
comment How to simulate one-minute bars data from one-day bars?
Thats exactly what I was looking for. Thank you Joshua.
Jan
18
comment Sharpe ratio in days with no open positions
Thank you Chris. Then how should I anualize the Sharpe ratio? Can I still use square_root(250)?
Oct
9
comment Trading a synthetic replication of the VVIX (volatility of VIX)
Thanks. The point: the mean reversion of the vvix.
Oct
5
comment Why the interest rate for put-call parity is not constant?
Thanks Strange. I was not considering dividends at all.
May
8
comment How to build a mean reverting basket?
Thanks mepuzza. I know about cointegration and how to test for cointegration of pairs using (for example) Augmented Dickey-Fuller test. Do you have any reference I can read about building/testing cointegrated baskets?
Apr
11
comment Choosing the time-frame to test for cointegration
Thanks Craig for your answer, but you may be introducing some data-snooping bias in your analysis.