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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
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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
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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
Apr
16
comment Most successful investors using academic-based framework?
Asness also got bit in the late 1990's when everyone and their monkey bought tech stocks. Asness was short garbage and long stable worthwhile companies. Everyone/their-monkey thought they'd get rich on stocks. They had no clue about what they were doing, but the herd was big enough that as they bought tech garbage, they sucked money out of worthwhile stocks. Asness was on the wrong side at exactly the right time. It turns out that he was right, but for a while he really looked wrong. My point? Quant funds can't be "future neutral" or in this case, "idiot/monkey neutral".
Apr
16
answered Most successful investors using academic-based framework?
Apr
15
comment Forward Adjusting Stock Prices?
@user749: I added Edit 2 to my above answer.
Apr
15
revised Forward Adjusting Stock Prices?
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