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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
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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
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?
Apr
20
comment 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)?
Apr
19
answered How does currency valuation depend on the cash reserve ratio for a country?
Apr
19
revised Multiple comparison problems
added 2 characters in body
Apr
19
comment 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?
Apr
19
revised Multiple comparison problems
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Apr
19
revised Multiple comparison problems
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Apr
18
comment Multiple comparison problems
Thanks, I'll take a look. Even though this question uses technical analysis examples, this isn't really a technical analysis issue. It came up because of optimization (essentially data mining) of a production/inventory problem. I'll modify the question to be more specific.
Apr
18
asked Multiple comparison problems
Apr
17
revised Mean reverting Indicator
added 495 characters in body
Apr
16
comment Mean reverting Indicator
I would run the numbers before you believe that the VIX is "forward looking". The VIX has its uses, but "forward looking" isn't one of them.
Apr
16
answered Mean reverting Indicator