John

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	1,626 reputation	bio	website		visits	member for	1 year
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Jan 31	comment	How to work out weights for a portfolio based on an inverse ratio with positive and negative values? You mean when EBIT<0? Then just take EBIT/EV instead.
Jan 31	comment	What to do with linear regression or regression splines outside of the training range? There seems to be answers your link. You aren't satisfied with them? This topic is more relevant over there.
Jan 30	reviewed	Approve suggested edit on What are the options for a mathematician to break into QF without working for a fund?
Jan 23	comment	Robust-Bayesian optimization in Markowitz framework His book has appendices that show the derivation for robust Bayesian optimization (available at symmys.com)
Jan 18	comment	How to simulate one-minute bars data from one-day bars? You're not able to get one-minute bars? Why not simulate one-minute and then construct simulated one-day bars using that information? At least that way it is consistent.
Jan 17	comment	When hiring a quant, how can I protect my IP? @Freddy, the only other case I recall off the top of my head is Eric Falkenstein and Telluride, but I'm sure there are others.
Jan 17	comment	When hiring a quant, how can I protect my IP? NDA may not prevent the theft, but it can provide recourse (though they are more effectively used by larger organizations that can afford to pay lawyers for an extended period than a one-man shop likely would). Nevertheless, I'm still impressed by how much you(@Freddy) had thought it through.
Jan 15	answered	Squared and Absolute Returns
Jan 14	comment	Regime switching in mean reverting stochastic process I wasn't talking about that specific class of models, but you may need to get more data.
Jan 11	comment	Regime switching in mean reverting stochastic process This is closely related, but I'm not sure whether that R package can fit autoregressive models that you are looking to fit.
Jan 10	comment	Regime switching in mean reverting stochastic process You might want to learn more about regime-switching. Also, try to fit one of the models using that Matlab package to get a better sense of what you're dealing with.
Jan 9	revised	What data transformations to use in regression of credit spreads on equity prices? deleted 1838 characters in body
Jan 9	comment	What data transformations to use in regression of credit spreads on equity prices? That's effectively PCA on a correlation matrix, so what I said probably wouldn't apply.
Jan 9	comment	What data transformations to use in regression of credit spreads on equity prices? @Freddy 1) If both the equity returns and spreads are in percent, then the equity returns will dominate the first PC (if done on the covariance matrix). 2) I used to create factors when some variables were stationary and mean-reverting, but I have been less comfortable with that approach over time. Have you noticed any downside?
Jan 9	answered	What data transformations to use in regression of credit spreads on equity prices?
Jan 8	answered	Regime switching in mean reverting stochastic process
Jan 8	comment	How to fit ARMA+GARCH Model In R? In practice, it is often easier to just make the AR part of the ARMA long enough so that it encapsulates however much MA the series is. This way you can just use normal regression methods instead of relying on numerical methods for ARMA.
Jan 5	comment	Yield of a risky bond @Freddy I see your point, but then what he really would want to know is, not what the yield is and how to calculate it, but how to price the bond. A broad topic, to be sure, but the OP did not provide sufficient information in the question to be sure that's what he was wondering about.
Jan 4	comment	Is this comment right about subadditivity? Your interpretation is the correct one. VaR is not subadditive, but Expected Shortfall/CVaR is.
Jan 4	answered	Optimizing a currency only portfolio with negative weights