meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | Dec 5 '12 at 4:25 | |
| stats | profile views | 58 |
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Feb 11 |
awarded | Yearling |
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Dec 10 |
awarded | Popular Question |
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Jun 27 |
awarded | Nice Question |
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Mar 14 |
revised |
age-sensitive correlation measurements in finances deleted 5 characters in body |
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Mar 14 |
answered | age-sensitive correlation measurements in finances |
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Feb 11 |
awarded | Yearling |
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Feb 9 |
awarded | Notable Question |
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Jan 31 |
accepted | Is there a standard method for quantifying mean-reversion for use in directional trading? |
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Nov 29 |
comment |
Alternate money management strategies to Kelly? I'm pretty sure this is covered in Ralph Vince's book. |
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Nov 29 |
comment |
What is the case for active management? I don't think this answers the question as it's a bit on the theoretical side but +1 for an interesting read. |
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Nov 29 |
answered | How to generate a random price series with a specified range and correlation with an actual price? |
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Oct 13 |
comment |
What is the denominator in calculating daily range as a percentage? Because in the first case you have to subtract then divide. In the second you only have to divide. |
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Sep 25 |
answered | What is the origin of the words “put” and “call” that characterize derivatives? |
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Sep 18 |
comment |
What is the net premium of a bull spread option? Why isn't this question closed? |
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Sep 6 |
awarded | Popular Question |
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Aug 29 |
answered | HFT: What is the big differentiator in comparison to other time scales? |
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Aug 21 |
comment |
References for developing an automated trading system? What type of strategies are you interested in trading? How long do you want to hold positions? What products / asset classes will you trade? More details will help |
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Jul 15 |
comment |
Annualzing the log of daily returns riddle @Quant Guy - I had what I think is a similar problem: how do I compare quarterly earnings growth for stocks whose prior quarter's earnings was negative and this quarter is positive (or vice versa). My solution is ln(absolute(current.earnings))*sign(current.earnings) minus ln(absolute(past.earnings))*sign(past.earnings) --- if either quarter's earnings is zero then obviously substitute zero. That might or might not help but food for thought. |
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Jul 15 |
comment |
Annualzing the log of daily returns riddle @Frank Fingerman - Thanks, better said than I could. |
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Jul 14 |
answered | Annualzing the log of daily returns riddle |
