John

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May 17	comment	What's the first time-integral of price called? I'm not sure a physics approach is helpful. Maybe you could pick up a book on stochastic calculus.
May 9	comment	How does the CME set margin requirements on commodity Futures I just googled "CME margins" and put in the first link that came up after noticing it had some helpful links on the side.
May 9	comment	How does the CME set margin requirements on commodity Futures cmegroup.com/clearing/margins
May 9	comment	When calculating CIP between EU and US, which interest rates data to use? As in en.wikipedia.org/wiki/Compound_interest. If you set up the math properly, you will get a difference between the two, but it will be nowhere near as large as the differences you are reporting.
May 9	comment	When calculating CIP between EU and US, which interest rates data to use? You F/S is still off, but not as off. The ratio is also way off. You have to use interest rates as a percent, so 6bps is $0.06/100$ and you also have take into account that you are only investing over a limited period. I got significantly closer numbers.
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 7	comment	How to normalize technical indicators for machine learning? I'm not sure there is one right approach.
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 29	comment	How to Calculate Cost of Equity using WACC Whether it is valuable to some is not relevant to whether it is on-topic (see the FAQ). As Rainer notes, this is level 1 CFA material (or undergraduate corporate finance).
Apr 29	comment	How to Calculate Cost of Equity using WACC Your answer looks right, but I'm voting to close after seeing more clearly what you're actually asking.
Apr 29	comment	How to Calculate Cost of Equity using WACC This is really just a question about how to calculate $\beta$. You may want to clean up the question to reflect that. There are many resources on the web on calculating beta, here is one: people.stern.nyu.edu/adamodar/pdfiles/eqnotes/discrate2.pdf
Apr 24	comment	Calculating Geometric mean You could convert the return index into a total return index.
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 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.
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 12	comment	Calculate the expectation of a shift CDF @Richard, if $F(X)$ is uniform, then wouldn't $F(X+a)$ also be uniform?
Mar 4	comment	How to implement a long-term trade on oil? I think I understood your point. The futures curve still prices in the cost of hedging in the physical market. So regardless of using the physicals or the futures to hedge the swap, you'll still be exposed, right?
Mar 4	comment	How to implement a long-term trade on oil? I figured something like that would be the case, but I usually don't deal with stuff like that.