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| bio | website | quanttrader.info/public |
|---|---|---|
| location | Elgin, IL | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | 14 hours ago | |
| stats | profile views | 257 |
Quantitative developer, writer, instructor, private trader, so-so musician
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May 16 |
awarded | Organizer |
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May 16 |
revised |
Threshold calculation for buying a mean-reverting asset edited tags |
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Jan 31 |
awarded | Yearling |
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Dec 25 |
awarded | Good Answer |
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Dec 25 |
awarded | Popular Question |
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Nov 20 |
answered | portfolio optimization from empirical return distributions |
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Nov 7 |
answered | How do you synthesize a probability density function (pdf) from equally weighted price data? |
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Oct 24 |
comment |
Why is the Drawdown measure not used for portfolio optimization? Of all the professional investors I work with, not one of them uses simple mean-variance optimization. In fact, every one starts with a maximum drawdown parameter to bound the space of acceptable solutions (among other constraints), then applies some optimization within that space. As for assuming a parametric distribution of returns, I've never encountered anyone willing to make such an assumption. |
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Oct 24 |
comment |
Searching for pairs-trading in sub O(n^2 t) time Common sense tells me there is no connection between hogs and Microsoft stock. I tried trading several of those pure quant pairs. After losing enough money, I decided that common sense does have a role in quantitative finance after all. |
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Oct 22 |
answered | Calculating the right portfolio(position size for each leg) in a Long/Short Strategy |
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Oct 16 |
comment |
Statistical significance of trading systems that use indicators with long lookbacks Your basic assumption is flawed. Quantity of historical data is independent of serial correlation. I work with trading firms whose model parameters are estimated from years of data, but the resulting signal has a half-life measured in hours. |
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Oct 12 |
comment |
How to account for bid/ask spread when backtesting? Assylias is right. If you trade exclusively with limit orders, then the bid/ask spread is irrelevant. Instead, your slippage comes from "trade-through", when the market moves through your limit price before the broker can fill your order. That, in turn, is driven by the market's liquidity and volatility. |
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Oct 12 |
answered | Searching for pairs-trading in sub O(n^2 t) time |
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Oct 11 |
comment |
Trading a synthetic replication of the VIX index @Strange Thanks for contributing your real experience. All in all, I have concluded that replicating the cash VIX is too difficult. I am sticking with VIX curve trades using only the futures. |
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Oct 11 |
comment |
Trading a synthetic replication of the VIX index @Jared Thank you very much for your thoughtful and complete reply. These are excellent observations. Thanks, too, for bringing the variance futures to my attention. The "if they attract liquidity" thing is a problem. Does any contract but the Big VIX really trade on the CFE? |
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Jul 24 |
awarded | Popular Question |
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Jul 17 |
awarded | Popular Question |
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Jan 31 |
awarded | Yearling |
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Dec 3 |
comment |
Why is volatility mean-reverting? @bill: Can you cite some reference for this hypothesis? I don't recall encountering this reasoning before. Also, those graphs are pretty, but they don't illustrate your thesis. Rather, they illustrate that implied volatility often rises when prices fall sharply... which seems off-topic. |
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Dec 3 |
comment |
Why is volatility mean-reverting? Are you asking about realized volatility or implied volatility? |
