2,847 reputation
1413
bio website
location
age
visits member for 3 years, 8 months
seen 18 hours ago

May
18
answered Why is volatility mean-reverting?
May
10
revised Minimizing Correlation
added 246 characters in body
May
10
revised Minimizing Correlation
added 412 characters in body
May
9
revised Minimizing Correlation
added 127 characters in body
May
9
answered Minimizing Correlation
Apr
25
revised How are correlation and cointegration related?
edited body
Apr
25
revised How are correlation and cointegration related?
added 186 characters in body
Apr
25
revised How are correlation and cointegration related?
added 435 characters in body
Apr
24
comment Total Return measurement paradox w/ Adjusted Close Prices
@Quant, Most restructuring/return-of-capital situations mean that the original organization no longer exists. As with the link in my above comment, those that owned the original company get their "negative ROI" numbers as private tax information in their brokerage statement. As far as I know, the "negative ROI" doesn't show up much in publicly available data. Can you supply some links to public "-ROI" examples?
Apr
24
revised How are correlation and cointegration related?
added 5822 characters in body
Apr
23
answered How are correlation and cointegration related?
Apr
23
comment Total Return measurement paradox w/ Adjusted Close Prices
I just ran across the following. It helps explain the restructuring of Avis/Cendant/Wyndham/etc in 2006. @Quant, was your 2003 negative number the result of owning stock in one of these companies? .... avisbudgetgroup.com/investor_relations/… ....and another link.... avisbudgetgroup.com/investor_relations/faqs.cfm#how_many_shares
Apr
23
comment Total Return measurement paradox w/ Adjusted Close Prices
Where did you get the data for Avis' stock price in 2003/2004? Can you provide a link? Was this ownership of private or publicly traded stock?
Apr
22
comment Total Return measurement paradox w/ Adjusted Close Prices
Just in case the question comes up....en.wikipedia.org/wiki/Return_of_capital
Apr
22
revised Total Return measurement paradox w/ Adjusted Close Prices
deleted 18 characters in body
Apr
22
answered Total Return measurement paradox w/ Adjusted Close Prices
Apr
22
comment Maximum friction-free trades
@Zach: Vanguard may be making markets, I don't know. Keep in mind that with your example, to get 100 trades in one day, you would probably have to trigger those trades as "market orders". On an ETF, especially a specialized ETF, that spread may be a lot bigger than the 0.25% in my calcs. As a result, there's not as much "day trading" with Schwab's no-fee ETF's as you might expect. For future reference, this situation is called "Internalization". sec.gov/answers/internalization.htm
Apr
21
comment Maximum friction-free trades
@Zach: You could e-mail them and ask, but my guess is, they're making the market for those Schwab ETF's (they get the bid/ask spread). If you assume a 0.25% bid/ask spread, then 100 trades per day gives them (100 * 0.0025) = 0.25 or 25% of the "notional trade" for that day with very little risk. I'd take that deal.
Apr
21
answered Maximum friction-free trades
Apr
21
accepted Multiple comparison problems