network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 1 year, 1 month |
| seen | Jan 7 at 21:32 | |
| stats | profile views | 39 |
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Dec 22 |
comment |
Markowitz mean-variance optimization as “error maximization” @vonjd Link to a free version of Kritzman paper: harrykatz.com/Final_Printer_Proof.pdf pages 165-168 |
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Dec 19 |
comment |
Trading a synthetic replication of the VVIX (volatility of VIX) I forgot to mention that is is not actually a var swap, it is the square root of an imperfect 30 day synthetic var swap. So there is no static replication with vanillas regardless. |
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Dec 19 |
comment |
Trading a synthetic replication of the VVIX (volatility of VIX) Rocko, why are your answers usually 99% gibberish? Also, its not just a var swap, its a perpetual var swap with a questionable weighting recipe. You can't replicate it with a single swap, as you'll be out of synch in a day. |
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Dec 19 |
comment |
Calculating true value of a stock given the order-book and recent trades @wildbunny mid-point is a biased estimator of true value. This has been known since Stambaugh, 1982 (or maybe 1983), a more recent exposition is papers.ssrn.com/sol3/papers.cfm?abstract_id=1420314 |
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Dec 13 |
comment |
Cloning Return Streams Replication via factor or style attribution at rho > 0.8 is not particularly difficult -- over the past. Not so easy looking forward, you'll always be trading last quarter's factor mix. Harry Kat's distributional replication approach might be worth a try, but none of the trading pools/allocations based on it have rung any bells, AFAIK. |
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Dec 7 |
comment |
Understanding Passive Rebate Arbitrage It is a violation of Canadian securities regs to intentionally lock a market. Violates "crossed order provisions" and also Rule 2.2 of UMIR. |
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Dec 5 |
awarded | Supporter |
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Nov 19 |
awarded | Teacher |
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Nov 19 |
answered | Why would a trader quickly flicker an order immediately preceding a tick away? |
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Nov 18 |
comment |
Why would a trader quickly flicker an order immediately preceding a tick away? The flickered orders are postonly bid at 15.16. The exchange slides it back to 15.15 to avoid a locked market. Submitting firm sees the slideback and cancels. Then tries again. When the 15.16 offer is executed or cancelled out, the offer moves to 15.17 then the postonly bid at 15.16 goes through at the targeted price and gains good queue position. This tactic is pretty well known, not a mystery. |
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Apr 8 |
comment |
Why are GARCH models used to forecast volatility if residuals are often correlated? Agree, GARCH and variants are commonly used in industry. I don't see how that is in dispute. |
