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Apr
15
comment Forward Adjusting Stock Prices?
The reason that I asked about the source is to determine if you're getting a split adjusted close, split/dividend adjusted close, or just a "print close". The calculations depend on the type of close. The reason that I asked about the type of software is that it's easier to just provide the code as the answer (which we can all test/try/fix) rather than a description of the answer. If it's Excel or R, I might be able to help. If it's Python, Matlab, or something else, someone else could probably help.
Apr
15
comment Forward Adjusting Stock Prices?
Are you using Excel, R, or something else for the calculations? What is your data source, Yahoo?
Apr
10
revised Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
added 167 characters in body
Apr
10
answered Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Apr
6
answered data on historical stock price of bankrupt companies
Mar
31
comment Trading a stock (or other asset) based on Bollinger Bands.
Here's another interesting paper cftc.gov/opa/enf03/opa4789-03.htm
Mar
31
comment Trading a stock (or other asset) based on Bollinger Bands.
The link to the Fed paper in that forex link doesn't work. Here's the direct link research.stlouisfed.org/wp/2011/2011-001.pdf Here's a related paper research.stlouisfed.org/publications/review/97/09/9709cn.pdf
Mar
31
answered Trading a stock (or other asset) based on Bollinger Bands.
Mar
21
answered Can the futures market's open interest predict commodity, treasury, and equity returns?
Mar
20
answered Keeping a track record honest
Mar
19
revised When to shut down a trend following strategy?
added 2 characters in body
Mar
19
answered When to shut down a trend following strategy?
Mar
17
answered Cluster analysis vs PCA for risk models?
Mar
17
answered Is Walk Forward Analysis a good method to estimate the edge of a trading system?
Mar
15
awarded  Enthusiast
Mar
13
comment Does the gamma function have any application in quantitative finance?
The beta distribution shows up in lots of ways, and is a special case of the Dirichlet dist. The binomial dist is discrete and the beta is continuous. The cumulative distribution for the binomial dist has similarities to the beta function. And, the beta dist is the conjugate prior of the binomial dist. Change the beta shape parameters to get the uniform dist, arcsine/Jeffreys dist, etc. After some digging, here's an article that uses the above relationship directly. You'll find other articles with similar equations. selab.janelia.org/pub/publications/Eddy-ATG3/…
Mar
12
answered Does the gamma function have any application in quantitative finance?
Mar
11
answered Seeking Historical Non-Finance Datapoints for Backtesting
Mar
7
awarded  Quorum
Mar
4
comment Price of Brent versus West Texas Intermediate
You're graph is probably right. For me to generate that graph is a lot of work, and a "long term hedge" for me is only 2 or 3 weeks. I'm not in a position to hold right up to the close, so my rolls typically happen one to three days before maturity. In any case, any hedge that I configure is an attempt to ride some form of a mean reversion.