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Jul
25
awarded  Yearling
Jul
20
comment Why do stocks fall so quickly? Technical explanations
Great! You could cite a seminal paper youve read and explain why it backs your answer. This would improve your answer a great deal because the OP (and me, too) could check it himself. Dont get me wrong: Almost anyone will have heard of this effect but hardly noone has taken time to verify it for himself (especially for Chinese stocks I would say).
Jul
17
comment Why do stocks fall so quickly? Technical explanations
Can you back that up somehow or is this just your assumption/interpretation?
Jul
15
comment Performance analysis for a changing portfolio
To get a meaningful answer to your question, could you state precisely what you mean by performance analysis?
Jul
7
comment Getting ETF data from google finance
Hi @Richard ! My 2 cents: Maybe it is more practical to do the following - Get data on the actual tracking error and, most importantly, tracking difference from trackinsight.com (i took a fresh look today it seems you have to register now), which is the most CLEANED data provider on etfs out there. Then you could take the historical index and subtract the tracking difference. You can use the tracking error to model a random factor. If you use historical data (fewer etfs!) you have both a shorter history and a less efficient ETF market than today.
Jul
3
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?