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visits member for 1 year, 10 months
seen Sep 26 at 5:29

Systematic trader


Sep
26
awarded  Editor
Sep
26
revised Why would there be a positive risk-free rate?
added 1155 characters in body
Sep
25
comment Why would there be a positive risk-free rate?
Given the choice between a new house now, and a new house in 10 years time, most would put more value on having a new house now (implying a positive discount rate or equivalently, risk free rate). But i think such choices only really make sense in the context of when the supply such goods is limited. My mention of 'factors of production' was my, possibly poor, choice of words to describe the limited inputs available to create the limited supply of comfortable living that houses give us.
Sep
25
answered Why would there be a positive risk-free rate?
Sep
24
awarded  Autobiographer
Dec
5
comment Forcing price to rise or fall by high volume buying and shorting
Curious - does that include FX?
Oct
30
awarded  Informed
Oct
16
comment Question about the rationale of applying certain recovery rate by ISDA
Yes, but could you please explain which part i wasn't understanding correctly (since you stated such in your comment). If you are knowledgeable about this subject then i think it's good you can share it, no?
Oct
15
comment Question about the rationale of applying certain recovery rate by ISDA
I explained as i understand it. If I'm wrong in my understanding, which of course can be the case, can you please elaborate on your critique.
Oct
10
comment Most natural generalization of covariance/correlation to model dependence of extreme events
Interesting. Unfortunately the link 'Here' seems to be broken. Could you post it again please?
Oct
10
answered Question about the rationale of applying certain recovery rate by ISDA
Aug
21
comment Usage of NoSQL storage in Finance
For those who advocate RDBMS for finance data, i wonder if we might consider what i believe to be a common calculation in backtesting. Can someone please explain me how to efficiently calculate, for example, a moving 24 hour standard deviation? Even if we calculate it at each minute end, it's my understanding that this turns out to be very expensive in RDBMS. Is NoSQL better for this?
Jul
24
answered How to most optimally perform currency conversions when backtesting on portfolio level?
Jan
15
comment What data transformations to use in regression of credit spreads on equity prices?
Thanks for your good sense advice!
Jan
15
comment What data transformations to use in regression of credit spreads on equity prices?
@Brian. In such cases does it make sense to instead convert all variables to ranks, or signed ranks, and run a linear regression using the ranked variables? My thinking that this might clear out some of the non-linearity. Can one use GARCH on ranked data?
Jan
15
awarded  Supporter
Jan
11
comment What data transformations to use in regression of credit spreads on equity prices?
no lags. the principal components will depend on my regression structure, right? i'm still getting my head around how to get into a linear form.
Jan
10
awarded  Commentator
Jan
10
comment What data transformations to use in regression of credit spreads on equity prices?
That's a fair point and while it probably holds over short horizons, it won't over longer periods. The coefficient on changes in vix also depends on the level of credit spreads. How would you think about transforming the data to stabilize the coefficient across both high a low credit spread periods?
Jan
10
comment What data transformations to use in regression of credit spreads on equity prices?
Normalizing SPX returns by it's own historical sd is one approach. But since we have a market price of this sd (VIX) then why not use that? But, you're arguing that it should be included as an 'independent' variable instead. I'm wondering if such regression has different structural form since whereas normalization puts volatility in the denominator of each variable (eg dSPX/SPX vol), adding implied vols as independent variables proposes a different structure (ie linear rather than powers or ratios). Is it valid to run linear regression in both of these two cases?