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reviewed Approve What's the best proffesional forex market data feed out there?
Jun
23
comment ISM PMI data - sector trend through ranking and seasonal decomposition
But to deal with your question: What framework do you have? In the programming language R for example, you can use the command order() to rank the sectors, for seasonal decomposition you can do all kinds of stuff. As a first step I would use a moving average or the decompose() function of the stat package. As far as scaling is concerned, you will divide by the number of sectors at some point - but you can do it in different ways. The question is: do you want to preserve the information that the sector has a PMI that indicates growth or do you just want to see the ranking.
Jun
23
comment ISM PMI data - sector trend through ranking and seasonal decomposition
Just a small comment from my side. This chart does not say anything AT ALL - and this is the most friendly way for me to put it. I don't see what people get of posts like "It might be clear, it might not be!" - this is a no-brainer. I would recommend anyone to be very careful with this "macro" charts with left and right scales and different origins (especially comparing leading and lagging numbers and not shifting).
Jun
23
answered Covariance between two stocks in a two-factor model
Jun
17
accepted How to properly assess the costs of replicating an index via futures contracts?
Jun
16
comment How to properly assess the costs of replicating an index via futures contracts?
The CME article is great!
May
6
reviewed No Action Needed Bond in relation to US T-Bill/Risk-Free rate
May
6
reviewed Approve Bond in relation to US T-Bill/Risk-Free rate
Apr
30
comment Expectation of maximum draw down in the Brownian motion case
@Richard Maybe it appears to be a MC simulation because of the default value for $t$, which is $1000$, but to me the code .maxddStats looks like a numerical quadrature with precomputed values which are hard-coded into the function. I didn't look into it in more detail though.
Apr
30
reviewed Approve New ways of communicating risk
Apr
30
answered Expectation of maximum draw down in the Brownian motion case
Apr
29
comment New ways of communicating risk
could you provide any references as to why var should be the scapegoat of the financial crisis?
Apr
10
asked How to properly assess the costs of replicating an index via futures contracts?
Apr
8
comment What is the legal difference between ETFs, ETNs and ETCs
Its not mumbo-jumbo! As a portfolio manager, it is important to know what your are buying!
Mar
31
comment Best written quantitative finance papers
could you esplain WHY you chose these authors?
Mar
30
comment Best written quantitative finance papers
Hi, i am not quite sure if the question is on topic here but I like it a lot and I think we should give it a chance! As for the question: Could you specify what audience you are writing for? In the academic literature, there is a quite standardized procedure about how to write things, at least structurally. If you write for a broader audience without experience in the field I suppose it is a lot trickier.
Mar
10
comment Book on market microstructure
Strange indeed as your answer is more in depth (as far as the first four references are concerned and you are an author of the book suggested. :-)
Mar
5
comment How to assess stock price movement from implied volatility?
@Victor123 The calculation is correct. For me, the problem with this calculation is that the volatility is a point on the volatility surface and the result not only depends on the moneyness (which you specified) but also on the term of the option. For a stock, you would typically give ONE volatility number OR concentrate on the investment horizon (here, you should probably take an appropriate value for "time to maturity" on the volatility surface). Maybe its better to calculate the stock's volatility directly if possible.
Mar
4
comment What to use as portfolio diversification measure?
@Richard I can fix you up in the meantime: papers.ssrn.com/sol3/papers.cfm?abstract_id=2276632
Feb
25
revised Markowitz Mean-Variance Implied Returns
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