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Nov
20
comment Efficiently storing real-time intraday data in an application agnostic way
Rather than simply provide a link, you could explain why HDF5 is efficient. How is the data stored? What searching capabilities does it provide? Etc.
Nov
19
comment How do I calculate Sharpe ratio from P&L?
@statquant Let's say your firm posts \$10M with the prime broker. And let's say the firm's P&L at the end of the year is \$1M. That's a 10% return. As I stated in my first paragraph above, returns are computed based on the capital under management. If your employer felt they could get more than 10% returns from an index fund, then surely they would shut the company down and put that \$10M in an ETF. You personally might not consider returns in that light, but the backers of your firm certainly do.
Nov
19
comment How do I calculate Sharpe ratio from P&L?
@statquant How much capital did the firm have at the end of the day? More? Less? How does your employer determine your compensation?
Nov
18
comment Why does the SMA and EMA appear to be relative to the timeframe?
Are you asking why the curve gets smoother if you increase the timescale for the moving average?
Nov
17
answered How do I calculate Sharpe ratio from P&L?
Nov
17
revised How do I calculate Sharpe ratio from P&L?
Idiomatic English. Removed nonsensical paragraph.
Nov
17
answered Question about weighted midpoint formula
Nov
16
answered How to convert trasaction log to bid-ask ticks
Nov
15
comment How to convert trasaction log to bid-ask ticks
If you don't know what the quotes are, then you can't recreate the quotes. The trades don't tell you anything. There could be hidden liquidity. The bids and asks could have moved around a lot. Etc. You can't just recreate the quotes given a list of trades.
Nov
15
comment How to convert trasaction log to bid-ask ticks
You can't. Your incoming data looks like the day's closing price. There is no way to derive the quotes from that.
Nov
15
comment Binary options and European option is similar?
Wikipedia has a good write-up of this.
Nov
15
comment I want to optimize an equity portfolio for the four central moments can anyone help me with the problem formulation
What are you are doing to optimize for mean and standard deviation?
Nov
12
revised Interpretation of cross-correlation matrix when one sample distribution is not normal
Markdown formatting
Nov
12
comment Dirty price of US T bill
@olaker They'll probably just close it on their end.
Nov
11
comment Dirty price of US T bill
@olaker Money.SE isn't going to want this question. They deal with personal finance, like retirement planning and taxation.
Nov
11
comment the law of comparative advantage and exchange rate
Currencies are just agent of trading What about pegged currencies?
Nov
10
comment interpreting huge jumps
Dealing with routine markets movements is just part of the job when designing models.
Nov
7
comment Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
You need to disclose your affiliation, otherwise this is just an ad (and not even a very good one).
Nov
7
reviewed No Action Needed Has spectrum analysis ever been used successfully to analyse historical price data?
Nov
6
revised What is the stochastic differential of a general semimartingale?
Inlined link, and a little more idiomatic.