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May
24
comment If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
The Kelly Criterion is for a two outcome bet (not a continuous distribution of possible outcomes). At even money (50%/50%) and 1-to-1 odds, the amount to bet is 0% of your stash. At 1-to-1 odds and probabilities of 60%win/40%lose, the bet is 20% of your stash. At 1-to-1 odds and 80%win/20%lose, the bet is 60% of your stash. And at 1-to-1 odds and 100%win/0%lose, the bet is 100% of your stash.
May
24
awarded  Fanatic
May
20
revised Reliable Economic Data on China
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May
20
answered Reliable Economic Data on China
May
19
answered How are cryptography and speech recognition technology applied to forecasting financial markets?
May
19
comment How are dual class shares different from non dual class shares from a market makers' perspective?
@knorv: I added my response as an edit above.
May
19
revised How are dual class shares different from non dual class shares from a market makers' perspective?
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May
18
answered How are dual class shares different from non dual class shares from a market makers' perspective?
May
18
answered Why is volatility mean-reverting?
May
10
revised Minimizing Correlation
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May
10
revised Minimizing Correlation
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May
9
revised Minimizing Correlation
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May
9
answered Minimizing Correlation
Apr
25
revised How are correlation and cointegration related?
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Apr
25
revised How are correlation and cointegration related?
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Apr
25
revised How are correlation and cointegration related?
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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?
Apr
24
revised How are correlation and cointegration related?
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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