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 Yearling
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Aug
24
revised Measuring momentum as AR(1) process
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Aug
19
answered Measuring momentum as AR(1) process
Aug
16
comment Measuring momentum as AR(1) process
I'll try and find time to provide an answer to this in the next few days. In the meantime, you might want to edit the question to indicate you are actually talking about autocorrelation in returns, not prices (you had me very confused for a few minutes there).
Aug
16
revised Is volatility for the next day forecastable? To any extent?
Forgot a square-root sign
Aug
13
comment Is R being replaced by Python at quant desks?
It's not far enough along in the development cycle for your needs, but keep an eye out for julia in the future. I've played around with it a bit myself and it has the potential to replace/complement both R and Python for this kind of technical work.
Aug
12
comment Negative high frequency intraday volatility - Zhou estimator
@OrvarKorvar It would be best to avoid describing the Zhou estimator as "Realized Variance". Realized Variance has a specific meaning. It is the sum of squared intraday returns, and hence non-negativity is guaranteed. The Zhou estimator is what you are actually talking about. It is the sum of squared intraday returns plus a covariance correction term. The correction term can, in finite sample, result in a negative overall estimator (as you observe in the question).
Aug
11
revised GARCH model, expectation of volatility?
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Aug
11
comment How to interpret Realized Volatility and TSRV using R
If you are happy with my response, please click the tick mark next to my answer so that the question is marked as answered. Also, feel free to upvote (the up arrow next to my answer). Cheers.
Aug
11
revised Calculate the realised volatility from a time series
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Aug
10
comment Is volatility for the next day forecastable? To any extent?
@mt_christo My PhD was (roughly) in this area :-)
Aug
10
answered Where to get long time historical intraday data?
Aug
10
comment Is volatility for the next day forecastable? To any extent?
@mt_christo Standardization is not based on what happened in the near future. I've updated the answer and tried to better explain the test that was performed. Let me know if you're still unsure.
Aug
10
comment Is volatility for the next day forecastable? To any extent?
I've updated my answer. Sorry, it is really long now. But as I initially said, it is a big question. Hopefully it makes for an interesting read.
Aug
10
comment Is volatility for the next day forecastable? To any extent?
This is really three separate questions (see the breakdown in my answer). I don't think the mods actually have the tools to do anything about this, but just in case they do, I've deliberately split my answer into three parts.
Aug
10
revised Is volatility for the next day forecastable? To any extent?
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Aug
10
revised Is volatility for the next day forecastable? To any extent?
added 10801 characters in body
Aug
8
awarded  Yearling
Aug
8
answered Is volatility for the next day forecastable? To any extent?
Aug
8
answered Calculate the realised volatility from a time series
Aug
7
revised Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility
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