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visits member for 1 year, 10 months
seen Apr 13 at 12:24

I like programming, statistics, econometrics, finance, and I play chess.


Jun
3
awarded  Yearling
Mar
18
revised Kolmogorov-Smirnov test
deleted 34 characters in body
Mar
18
answered Kolmogorov-Smirnov test
Mar
15
awarded  Student
Mar
15
comment Scanning a stock database for errors/flaws
You could check for duplicate entries, you could make sure that your dates are all unique.
Mar
11
comment What is the proper way to calculate returns for Pair Trading?
@GoodGuyMike, I got it. Thanks a lot!
Mar
11
awarded  Scholar
Mar
11
accepted What is the proper way to calculate returns for Pair Trading?
Mar
10
comment What is the proper way to calculate returns for Pair Trading?
@chrisaycock, thanks for the pointer, I think thinking about margin account explicitly actually makes things easier. I updated my a question, I think I am calculating the return correctly now, is that right?
Mar
10
revised What is the proper way to calculate returns for Pair Trading?
added 1134 characters in body
Mar
10
asked What is the proper way to calculate returns for Pair Trading?
Feb
3
answered Implications of the Riemann hypothesis in finance?
Feb
2
answered How to use mean-variance weights in practice (when going short is allowed)?
Jan
29
comment Statistical significance of a pair trading strategy
@VictorP, why is it only one outcome? Even if you only have two periods, you can record profit from each pair, so if your strategy selected 50 pairs to trade, you will have profits from each pair, that is you would have to test if the mean of 50 observations is different from zero.
Jan
28
answered Statistical significance of a pair trading strategy
Dec
14
awarded  Editor
Dec
14
revised Annualized Covariance
added 2 characters in body
Dec
14
answered Annualized Covariance
Oct
11
comment Searching for pairs-trading in sub O(n^2 t) time
As @John points out, you can break your data into clusters. If you are working with stocks, you can make those clusters industries.
Sep
30
comment Economic contagion to individual stocks (ideas for analysis)
Strangers on the internet helped me far more than my advisor.