320 reputation
17
bio website assylias.wordpress.com
location London, United Kingdom
age 36
visits member for 2 years, 5 months
seen Oct 6 at 13:06

My work combines statistics and programming.

  • I am the author of jBloomberg, a high level wrapper around the Bloomberg Desktop Java API
  • my blog is a combination of those passions.

Oct
6
comment finding the strike / maturity of warrants given their ISINs
I don't know optionmetrics.
Oct
6
answered finding the strike / maturity of warrants given their ISINs
Sep
26
revised factor models and using cross section regression
fixed link + other minor changes
Sep
26
suggested suggested edit on factor models and using cross section regression
Sep
24
awarded  Autobiographer
Sep
23
comment Bloomberg Pricing Sources: TRAC vs. BGN vs. BVAL etc
TRAC only reports trace eligible trades (see TRAC <Go> for more info). BGN is indeed an old version of BVAL. For more info on BVAL: BVLI <Go>. HELP HELP should be able to give you that information too.
Sep
16
comment Exporting Time Series Data For Securities Prices From Bloomberg to Excel
The Excel addin is included in your subscription - so if you have a Bloomberg terminal you also have access to the Excel addin...
Jul
24
comment where to find historical option prices?
Bloomberg coverage and reliability (at least on market data, i.e. actual traded prices) are fine. Calculated analytics or greeks may or may not be what you are after as they are model based.
Jul
11
comment Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
@simplethings the Bloomberg equivalent would be AAPL UW Equity.
Jun
29
answered How to interpret beta meaningfully?
May
30
comment Best performing stocks in given year
Have you tried HELP HELP? Also if there is no function you can do that fairly easily in Excel.
May
15
comment Forex brokers with free API compatible with Node.js
meetup.com/batsig/events/130829582
Mar
21
comment evaluating portfolio performance without knowing the amount held on cash accounts
@Noobie You need to make an assumption on leverage / cash held, for example by using an average number if that is a fairly stable metrics. For example, if it's a long only strategy, you could consider that the strategy is always 100% invested.
Mar
14
comment Is there evidence that illiquid stocks, held less by institutions, have more price momentum?
@Probilitator Feel free to use the link if you want to answer in more details.
Mar
11
comment Is there evidence that illiquid stocks, held less by institutions, have more price momentum?
No the opposite: they find a (small) momentum effect in liquid stocks but an "anti-momentum" (mean reverting?) effect in illiquid stocks.
Mar
11
comment Is there evidence that illiquid stocks, held less by institutions, have more price momentum?
papers.ssrn.com/sol3/papers.cfm?abstract_id=1800754
Feb
26
comment Bloomberg Alternative for Quant Fund
Why do you need an alternative? Do you need some data that is not available in Bloomberg? Is it a cost issue?
Feb
25
awarded  Citizen Patrol
Dec
13
comment Bloomberg interest rate interpolation
They may interpolate based on actual issues closer to the target date than the 2 or 3 year...
Sep
5
revised For a interdays trading backtest system, should I put day open, close, high, low, volume separately into array?
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