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Jan
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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?
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Oct
17
answered Choice of prior as a shrinkage target in portfolio construction?
Oct
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revised modern-portfolio-theory wiki excerpt
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revised Arbitraging OANDA continuous rollover vs other brokers' discrete rollover
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