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Oct
11
comment How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
@Tal: That wasn't a tirade against IBES, I simply linked a couple of papers. As stated above, the analysts may be the issue, not earnings.
Oct
11
revised How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
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Oct
11
answered How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
Sep
30
comment Fitting a generalized logistic distribution
I was looking at the partials in the following link, trying to set up a Jacobian, and noticed some differences in the form of your equation and their equation. Is there a reason for the differences (for example, the 1/v term)? en.wikipedia.org/wiki/Generalised_logistic_function
Sep
30
comment Fitting a generalized logistic distribution
Assuming that you're recalculating the Jacobian Matrix over and over, have you watched the Jacobian to see if it has any spikes or unstable swings from positive to negative? If so, you might look into "clamping" the matrix values to be within reasonable ranges.
Sep
26
revised How to calculate compound returns of leveraged ETFs?
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Sep
26
answered How to calculate compound returns of leveraged ETFs?
Sep
18
awarded  Nice Answer
Sep
14
revised What is a sound way to project Company X's earnings over the next Y years?
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Sep
14
revised What is a sound way to project Company X's earnings over the next Y years?
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Sep
14
answered What is a sound way to project Company X's earnings over the next Y years?
Sep
9
comment What tools exist for order book analysis and visualization?
@Louis, Same authors, same general description, you're probably right.
Sep
9
answered What tools exist for order book analysis and visualization?
Aug
18
comment Proof that you cannot beat a random walk
@vonjd, Just a few of many examples of Sornette's "work". safehaven.com/author/37/didier-sornette
Aug
18
comment Proof that you cannot beat a random walk
@vonjd, Actually, it is a 1-to-1 property issue. Just try to get two people to agree on the properties. Also, it is one thing to explain what happened in the market, it is totally different to predict the same thing. And, we can't even explain it. The "exploited issues" are typically something different. If I'm a market maker, I have a lot of exploitable advantages over my prey. If I'm a hedge fund manager, I really can't lose. 2 and 20 means I'll get at least 2% of your money. As far as Sornette goes, just read 4 or 5 of his articles (or his book). You'll understand.
Aug
18
answered Proof that you cannot beat a random walk
Aug
16
revised What is a Heat Rate Option?
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Aug
16
answered What is a Heat Rate Option?
Aug
1
comment Will price levels fall even though money supply increases?
You have to be careful in declaring the appropriate "money supply". If it includes excess money parked to avoid a run-on-the-bank, you may have to remove that from the calculations.
Jul
23
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
@sheegaon, I didn't say low R^2 implies high trading frictions. The level of trading friction exists regardless of R^2. What I said was that an R^2 of 3% was so low that if it has any use at all (which is doubtful), trading frictions will likely overpower any profits. I've tested models with much higher R^2 that turned out to be worthless. You don't have to believe me. Test it yourself.