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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?
added 466 characters in body
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.
Jul
21
awarded  Nice Answer
Jul
7
answered How to calculate expected return based on historical data for Mean Variance Analysis
Jul
1
answered Reading recommendation on using statistical analysis in online fraud prevention
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.
Jun
30
comment 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
Jun
30
answered Optimality of Kelly criterion in non-normal environment
Jun
30
answered Variable Selection in factor models
May
26
revised Mean Reversion Time Frame
deleted 1 characters in body
May
26
comment Mean Reversion Time Frame
@Abhay, I updated my answer to illustrate an example. Also, I'm sorry, but I don't use Excel for these types of calculations. You might consider R.
May
26
revised Mean Reversion Time Frame
added 1257 characters in body
May
26
answered Mean Reversion Time Frame
May
24
answered Tradable Volatility