283 reputation
16
bio website assylias.wordpress.com
location London, United Kingdom
age 36
visits member for 1 years, 11 months
seen 2 days ago

My work combines risk management, statistics and programming.

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

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?
deleted 55 characters in body
Sep
5
answered For a interdays trading backtest system, should I put day open, close, high, low, volume separately into array?
Aug
31
comment How to compute the volume of an index from the volume of its constituents?
@EmmanuelBourg On Bloomberg. The sources you have looked at probably show the aggregate volume across several exchanges.
Aug
29
answered How to compute the volume of an index from the volume of its constituents?
May
27
awarded  Yearling
May
27
revised What does the prefix PX stand for on a Bloomberg Terminal?
added 65 characters in body
May
27
answered What does the prefix PX stand for on a Bloomberg Terminal?
May
2
comment How to determine ratios for mean-reverting basket
You generally regress returns, not prices...
Apr
18
comment how do you evaluate an FX market EMS?
@Freddy You will (almost) always see better prices if you trade directly with the counterparty, not least because the counterparty pays a fee to FXAll. The impact on spreads can be as high as 2/4 pips on major pairs such as EUR.USD (it can be less). Probably negotiable though.
Mar
21
comment Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
Also worth adding the Bloomberg open symbology links. On this one, you can download whole files (bottom left: predefined files) with tickers, names etc. And on this other one you can query securities by external codes (ISIN, SEDOL etc.) and get a file with the corresponding Bloomberg identifiers.
Mar
20
awarded  Commentator
Mar
20
comment Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
Depending on the security, the SEDOL might work better (ISIN don't specify listing place): =BDP("AAPL US Equity","ID_SEDOL1") => 2046251 / =BDP("2046251 SEDOL1","PARSEKYABLE_DES") => IBM US Equity.
Mar
20
comment Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
@Radek On Bloomberg, in Excel for example, =BDP("AAPL US Equity","ID_ISIN") returns the ISIN: US0378331005 and inversely, =BPD("US0378331005 ISIN","TICKER") returns AAPL. You can do something similar with their VBA/C/C#/Java API. I'm not that familiar with Reuters but I would have thought you can do something similar.