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May
9
comment When calculating CIP between EU and US, which interest rates data to use?
Your 1 month forward rate is wildly wrong (based on Bloomberg FRD command). I suspect that if you got 0.04 for that ratio, then you're also doing something wrong in that calculation as well (you're right to use 1 month rates). At a minimum, you need to account for the fact that you are only investing over a one month period (instead of a year).
May
8
reviewed Approve suggested edit on Forecasting using rugarch package
May
8
reviewed Reject suggested edit on Ways of treating time in the BS formula
May
7
comment How to normalize technical indicators for machine learning?
I'm not sure there is one right approach.
May
1
awarded  Yearling
Apr
30
comment Bond curve extrapolation
I would have recommended Nelson-Siegel...You may get better results if you apply Nelson-Siegel to the forward curve and then build back the yield curve. Alternately, a weighted least squares might help reflect greater uncertainty in the longer bond yields.
Apr
25
answered Transformation to reduce standard deviation without changing median
Apr
24
comment Calculating Geometric mean
You could convert the return index into a total return index.
Apr
23
answered Calculating Geometric mean
Apr
11
comment Data Synchronization
While GARCH is a good approach to modeling volatility, I wouldn't make things too complicated when dealing with data synchronization. That being said, in the regression approach I linked to, the synchronized series is a function of another series, which for equities would have time-varying volatility. So if you fit a GARCH to the synchronized series it would also have time-varying volatility, most likely.
Apr
9
comment How to deal with different amount of td's in computing Sharpe Ratio
I believe this question has already been answered.
Apr
4
reviewed Approve suggested edit on Does DOM trading using broker data make any sense?
Apr
4
reviewed Approve suggested edit on Stochastic modeling of stock price process
Apr
3
comment Data Synchronization
I tend to shy away from moving average models and just increase the number of lags in a autoregressive model, but what you're saying makes sense.
Apr
2
answered Data Synchronization
Mar
29
comment Assessing Forcasting with Correlated Residuals
Residuals of what kind of model? And were you using seasonally adjusted CPI?
Mar
21
comment Call options portfolio: what would the underlyings' moments to be maximized?
I don't understand why you can't use Expected Shortfall for the portfolio of options. So long as you have the distribution of option prices at the horizon (which requires simulating both the prices and the implied volatility surface), then you can calculate a frontier in terms of returns and CVaR.
Mar
14
revised Correlation decay in lognormal distribution
deleted 11 characters in body
Mar
14
answered Correlation decay in lognormal distribution
Mar
12
comment Calculate the expectation of a shift CDF
@Richard, if $F(X)$ is uniform, then wouldn't $F(X+a)$ also be uniform?