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| age | ||
| visits | member for | 2 years, 3 months |
| seen | 1 hour ago | |
| stats | profile views | 140 |
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Sep 18 |
awarded | Nice Answer |
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Sep 14 |
revised |
What is a sound way to project Company X's earnings over the next Y years? edited body |
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Sep 14 |
revised |
What is a sound way to project Company X's earnings over the next Y years? added 134 characters in body |
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Sep 14 |
answered | What is a sound way to project Company X's earnings over the next Y years? |
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Sep 9 |
comment |
What tools exist for order book analysis and visualization? @Louis, Same authors, same general description, you're probably right. |
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Sep 9 |
answered | What tools exist for order book analysis and visualization? |
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Aug 18 |
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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 |
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Aug 18 |
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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. |
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Aug 18 |
answered | Proof that you cannot beat a random walk |
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Aug 16 |
revised |
What is a Heat Rate Option? added 466 characters in body |
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Aug 16 |
answered | What is a Heat Rate Option? |
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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. |
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Jul 23 |
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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. |
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Jul 21 |
awarded | Nice Answer |
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Jul 7 |
answered | How to calculate expected return based on historical data for Mean Variance Analysis |
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Jul 1 |
answered | Reading recommendation on using statistical analysis in online fraud prevention |
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Jul 1 |
comment |
Optimality of Kelly criterion in non-normal environment @bellamyj, The problem is, most people don't realize that when they look up the simple formula/applet for "Kelly Criterion", it is for a two-outcome event. They then apply that formula/applet to distributions that have nothing to do with two-outcome events, giving them "...a percentage of their stash..." to bet. That number is meaningless. It may or may not be in the ballpark with a reasonable "...optimal percentage of their stash...". The point is, if it is called "Growth Optimal Strategies", "Log Utility Strategies", or anything other than "Kelly Criterion", the confusion disappears. |
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Jun 30 |
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Optimality of Kelly criterion in non-normal environment @Joshua, Even though those slides use the term "Kelly Strategies", keep in mind that this is NOT what most people refer to when they discuss "Kelly" methods/strategies. The terminology in that paper would be less confusing if it used something like "Log Utility Strategies". "Kelly Criterion" as it has been known for decades is based on two-outcome events. Here's a typical example.... en.wikipedia.org/wiki/Kelly_criterion |
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Jun 30 |
answered | Optimality of Kelly criterion in non-normal environment |
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Jun 30 |
answered | Variable Selection in factor models |
