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| visits | member for | 2 years, 3 months |
| seen | 2 hours ago | |
| stats | profile views | 140 |
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Apr 25 |
revised |
How are correlation and cointegration related? added 186 characters in body |
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Apr 25 |
revised |
How are correlation and cointegration related? added 435 characters in body |
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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? |
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Apr 24 |
revised |
How are correlation and cointegration related? added 5822 characters in body |
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Apr 23 |
answered | How are correlation and cointegration related? |
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Apr 23 |
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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 |
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Apr 23 |
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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? |
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Apr 23 |
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how does rise of china interest rate affect the inflation ? Luc, It's not a good idea to apply typical economic rules to China. Why? They're a Communist country. Normal free-market relationships don't hold. For example, under non-communist conditions, China's inflation rate would be much higher than it is due to all of the money coming into their country. But, because part of that money is diverted by the Chinese government to the U.S. and other countries to buy bonds/assets, it doesn't get the chance to push up prices. The bottom line is, to learn about consistent economic rules, stick to free-market based countries. |
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Apr 22 |
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Total Return measurement paradox w/ Adjusted Close Prices Just in case the question comes up....en.wikipedia.org/wiki/Return_of_capital |
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Apr 22 |
revised |
Total Return measurement paradox w/ Adjusted Close Prices deleted 18 characters in body |
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Apr 22 |
answered | Total Return measurement paradox w/ Adjusted Close Prices |
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Apr 22 |
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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 |
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Apr 21 |
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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. |
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Apr 21 |
answered | Maximum friction-free trades |
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Apr 21 |
accepted | Multiple comparison problems |
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Apr 20 |
comment |
Simulating Returns In your sim.equities statement, where did the 0.3 come from? And, notice that rnorm(m*n,1,0.3) will provide negative numbers. In your sim.bonds statement, where did the 0.1 come from? |
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Apr 20 |
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Simulating Returns I'm a little confused. As your code stands now, you're using functions equicorr() and rmnorm(). Doesn't equicorr() come from the QRMlib package? But, if you load QRMlib, doesn't that change the usage of rmnorm() to coincide with the rmnorm() in QRMlib, not package mnormt (as shown here)? |
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Apr 19 |
answered | How does currency valuation depend on the cash reserve ratio for a country? |
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Apr 19 |
revised |
Multiple comparison problems added 2 characters in body |
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Apr 19 |
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How does currency valuation depend on the cash reserve ratio for a country? In the title for your question, you use the term "cash reserve ratio". Do you mean "foreign reserves" as in, the foreign reserves that a country might use to defend its currency? Or are you talking about "bank reserves" as it applies to interest rates, and then how interest rates affect the associated exchange rates? |
