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visits member for 2 years, 2 months
seen Aug 25 at 3:37

I like programming, machine learning, statistics, all kinds of problem solving, and I play chess.

My github


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
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?
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.
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.
Jul
1
comment Proxy for risk in portfolio theory when return can take only two values
@Mike there are different normality tests that you can do, Q-Q plot is probably the simplest one.