1,402 reputation
819
bio website quantdevel.com/public
location Elgin, IL
age
visits member for 3 years, 8 months
seen Jun 27 at 1:26

Quantitative developer, writer, instructor, private trader, so-so musician


Oct
14
comment Time-series similarity measures
@vonjd Thank you for bringing this to our attention! Distance correlation appears to be a wonderful statistical device. I have incorporated it into my weekly scan for related markets.
Aug
12
comment How 'High' is the frequency in HFT?
@fermat: Thanks for asking. Actually, I never said it could not handle 1-minute data... I just said that handling 1-minute data was "somewhere in between". I'll stick to that vague statement. Your actual success will depend upon the trading latency required by your trading algorithm. (And remember: your computer has gotten faster... but, then, so has everyone else's.)
Jun
14
awarded  Nice Answer
May
16
awarded  Organizer
May
16
revised Threshold calculation for buying a mean-reverting asset
edited tags
Jan
31
awarded  Yearling
Dec
25
awarded  Good Answer
Dec
25
awarded  Popular Question
Nov
20
answered portfolio optimization from empirical return distributions
Nov
7
answered How do you synthesize a probability density function (pdf) from equally weighted price data?
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.
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.
Oct
22
answered Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
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.
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.
Oct
12
answered Searching for pairs-trading in sub O(n^2 t) time
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.
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?
Jul
24
awarded  Popular Question
Jul
17
awarded  Popular Question