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May
23
comment How is the dividend payment calculated when an asset is disposed on the ex date?
I doubt this question fits the Quant.SE format. I suppose Money.SE would be a better place.
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May
16
comment GJR-GARCH Model In R
@Tal OK. Got it.
May
16
comment GJR-GARCH Model In R
@Tal, I think it's borderline. We have econometrics explicitly stated in the FAQ as OK, so I doubt it's that off. Especially, since we have a number of similar questions with a long history on the site and ARCH modelling is quite common in quant finance.
May
10
revised GJR-GARCH Model In R
Not a spelling bee winner for sure.
May
10
answered GJR-GARCH Model In R
Mar
27
awarded  Citizen Patrol
Mar
27
comment Creating a financial market
I think this belongs to Money.SE, for sure not Quant.SE. Not a long time ago this would have been closed immediately. I'm surprised there are no close votes yet. To the OP: it's nothing personal - just seems like a good question in a bad place.
Jan
31
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Jan
8
comment How do you mix quantitative asset allocation with qualitative views?
Superb answer. ;-)
Jan
4
answered How can higher co-moments be applied to portfolio optimization in an asset allocation context?
Dec
10
comment What is the best data structure/implementation for representing a time series?
Additionally, if you have some data in mostly regular intervals (e.g. daily) you can use estimates of the actual position (knowing start/end dates and frequency) to further beef up performance for even more juice.
Dec
10
comment What tools and libraries may be used to model limit/stop systematic trading?
quantstrat is probably the closest one can get out of the box, but I agree with @SRKX - writing your own solution is a viable option. Especially if you need some specific functionality, writing from scratch may be easier in the long run than trying to adapt preexisting solutions (talking from my perspective and small problems like this). Depends on how much testing you need performed.
Dec
3
revised Why is volatility mean-reverting?
Fixed dollar sign MathJax invocations