meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 4 months |
| seen | Apr 20 at 12:14 | |
| stats | profile views | 97 |
|
Apr 3 |
answered | Is there a charting API which allows to replicate Bloomberg chart tool features? |
|
Mar 9 |
answered | Literature on generating synthetic time series for testing |
|
Mar 1 |
answered | How to fit probability density function from sample moments? |
|
Feb 8 |
awarded | Yearling |
|
Feb 7 |
answered | Re-resolving OHCLV stock Data |
|
Jan 11 |
answered | What C++ math libraries are typically used by quants? |
|
Jan 3 |
revised |
How to generate a random price series with a specified range and correlation with an actual price? added some code examples |
|
Jan 3 |
answered | How to generate a random price series with a specified range and correlation with an actual price? |
|
Dec 20 |
comment |
Time series price prediction and linear regression: using high/low rather than last quotes price @TalFishman Could you supply a reference for the approximate VWAP formula you give in this answer? |
|
Nov 29 |
comment |
How to generate a random price series with a specified range and correlation with an actual price? This is such an intriguing approach that I may "knock up" some Octave code on my blog and post a link to it from here. |
|
Nov 29 |
comment |
How to generate a random price series with a specified range and correlation with an actual price? Interesting link! I theorise that one way it could be done is to apply a Fast Fourier Transform (e.g. FFT function in Octave/MATLAB) to the original series, then divide the resulting vector into segments and within each separate segment randomly permute the values, and finally reconstruct the time series by applying the Inverse Fast Fourier Transform (IFFT function). By randomly permuting the values you will not alter the amplitudes of the composite sine waves but will slightly alter their periodicity - this will naturally tend to restrict the range of the new series to that of the original. |
|
Nov 29 |
answered | How to generate a random price series with a specified range and correlation with an actual price? |
|
Oct 30 |
answered | Evaluating automated trading strategies: accepted practice |
|
Oct 13 |
answered | What is the denominator in calculating daily range as a percentage? |
|
Oct 4 |
comment |
How do I calculate expectancy from a past series of trades in my trading account? Another way to recast the trades is in Van Tharp's concept of R multiples, e.g. 2R, 0.5R, 2R and 2R, the average of which is 1.625, i.e. on average you can expect to make 1.625 times your risk per trade. |
|
Oct 2 |
comment |
What should be considered when selecting a windowing function when smoothing a time series? Please ignore my last comment. I tried to post the link to the answer at dsp.SE as an answer, as per Tal Fishman's comment, but the forum software automatically converted this to a comment. |
|
Oct 2 |
awarded | Commentator |
|
Oct 2 |
comment |
What should be considered when selecting a windowing function when smoothing a time series? This question has been answered at dsp.SE [here][1]. [1]: dsp.stackexchange.com/questions/208/… |
|
Sep 23 |
answered | What is the ideal ratio of in-sample length to out-of-sample length? |
|
Sep 22 |
revised |
What position-sizing methods are used in futures trading? added more links |
