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seen Oct 13 '13 at 0:39

Nov
20
comment When gains are made: Overnight or during trading hours? What is the connection to volatility?
Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open -- papers.ssrn.com/sol3/papers.cfm?abstract_id=1625495
Nov
16
revised Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky
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Nov
16
revised Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky
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Nov
16
revised Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky
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Nov
16
answered Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky
Nov
7
comment Generate tick data from candlestick
It would be akin to extrapolating daily price data from only having a yearly data OHLC source. One might be better off by at least generating bootstrapped data from a some samples of tick data. At least then, some of the properties might be captured.
Nov
1
comment Coin Toss System
@Freddy. You stated, "I have not heard of long-term successful "market operators" to generate profits off the back of predicting what the next tick/bar/day is gonna be as a function of the past couple observations, dictated by certain observed or quantified "patterns". " I gave one concrete illustration where that was the case. I agree with just about everything else.
Oct
31
comment Coin Toss System
I'll throw a disagreement (only) on the pattern side (although I do agree few approach it successfully). As an example, please see Toby Crabel's work and accomplishments (he utilizes the conditional probabilities of simple 'coin toss' like experiments as a pattern based decision). There are other more complex ways to apply the logic as well. But the key, as you point out (IMO), is that markets have properties like drift and momentum that make such methods feasible
Oct
31
comment What are the proper metrics to look at for checking discrepancies in these two time series
It would be interesting to see a scatterplot of the data. Even though you have poor cross correlations, you might be able to detect some level shifts in the plot and formulate if there is an easy calibration for the shifts.
Oct
22
revised Can the Hurst exponent be greater than one?
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Oct
22
revised Can the Hurst exponent be greater than one?
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Oct
22
revised Can the Hurst exponent be greater than one?
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Oct
22
revised Can the Hurst exponent be greater than one?
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Oct
22
revised Can the Hurst exponent be greater than one?
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Oct
22
answered Can the Hurst exponent be greater than one?
Oct
8
revised Detrending price data for analysis of signal returns
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Oct
8
revised Detrending price data for analysis of signal returns
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Oct
8
answered Detrending price data for analysis of signal returns
Oct
4
answered Generating Return Streams for stress testing
Oct
3
awarded  Supporter