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| visits | member for | 2 years, 3 months |
| seen | 8 hours ago | |
| stats | profile views | 141 |
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May 12 |
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Distribution of profit/loss for retail traders in FX Here's a related post: quant.stackexchange.com/questions/1383/… |
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Mar 6 |
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How to distinguish between different types of algorithmic trading I don't think it's a devaluation of human intuition. It's simply noise. "Intuition" of noise is just more noise (no different than flipping a coin). Are you willing to pay someone to sit around and flip a coin? |
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Mar 6 |
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How to distinguish between different types of algorithmic trading I'm assuming that you're asking about a non-retail transaction. Unless something special is taking place, there's no need for a human to be involved in the trade. The trade is already "mostly noise", so allowing a human to "decide" something raises the noise level, making things worse. |
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Jan 31 |
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What to do with linear regression or regression splines outside of the training range? I added an answer/link to your original CrossValidated question. |
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Dec 18 |
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How to build an electricity portfolio for an electricity production company? There are too many questions. I think you need to narrow it down to one question at a time. Also, you need to be more specific about where this power company is operating. In the U.S.? If so, which state. Is it publicly owned, a co-op, private? If out of the U.S., which country? When you mentioned exporting LNG, is this company buying LNG that was imported, or is the company buying from a company that also exports LNG abroad? I doubt I can answer your final question, but I think you get the idea of how much information is missing. |
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Jul 28 |
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How to properly interpret accrued interest of bonds Here's a worthwhile book on bonds amazon.com/The-Treasury-Bond-Basis-Arbitrageurs/dp/1557384797 |
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Mar 22 |
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Risk Parity portfolio construction You can offset some of the "diversification" (it's diversification only if the numbers hold during high stress periods) by raising the leverage on the low volatility assets. |
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Dec 9 |
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Why is volatility mean-reverting? @pteetor: In my previous edit, I forgot to provide links. Sorry, I simply forgot. I added some links in my second edit. |
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Dec 4 |
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Why is volatility mean-reverting? @pteetor: I added my response as an edit to my answer. |
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Oct 21 |
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In a covered call strategy, should I hold the call or sell/roll if the delta becomes too small? You might want to show some quotes on a specific stock (with bid/ask quotes). Liquid options might give you one answer while illiquid options give another answer. |
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Oct 11 |
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How do earnings estimates respond to changes in underlying fundamentals and economic conditions? @Tal: As far as papers go... Until the blow up of 2000-2003, retail traders seemed to pay attention to analysts forecasts and recommendations. I haven't looked for papers documenting the die-off of that phenomenon, but from anecdotal evidence, it seems to be gone. It may now show up in a different form. I'll do some more looking and post anything I find. |
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Oct 11 |
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How do earnings estimates respond to changes in underlying fundamentals and economic conditions? @Tal: All I can say is, try it for a while. You won't have to wait long. Keep your own version of the "Detail History" (quarterly should be good enough) and watch the Exclfil* file closely. When it changes, e-mail IBES and ask why, and ask if it affects the composite earnings forecast. |
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Oct 11 |
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How do earnings estimates respond to changes in underlying fundamentals and economic conditions? @Tal: That wasn't a tirade against IBES, I simply linked a couple of papers. As stated above, the analysts may be the issue, not earnings. |
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Sep 30 |
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Fitting a generalized logistic distribution I was looking at the partials in the following link, trying to set up a Jacobian, and noticed some differences in the form of your equation and their equation. Is there a reason for the differences (for example, the 1/v term)? en.wikipedia.org/wiki/Generalised_logistic_function |
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Sep 30 |
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Fitting a generalized logistic distribution Assuming that you're recalculating the Jacobian Matrix over and over, have you watched the Jacobian to see if it has any spikes or unstable swings from positive to negative? If so, you might look into "clamping" the matrix values to be within reasonable ranges. |
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Sep 9 |
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What tools exist for order book analysis and visualization? @Louis, Same authors, same general description, you're probably right. |
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Aug 18 |
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Proof that you cannot beat a random walk @vonjd, Just a few of many examples of Sornette's "work". safehaven.com/author/37/didier-sornette |
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Aug 18 |
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Proof that you cannot beat a random walk @vonjd, Actually, it is a 1-to-1 property issue. Just try to get two people to agree on the properties. Also, it is one thing to explain what happened in the market, it is totally different to predict the same thing. And, we can't even explain it. The "exploited issues" are typically something different. If I'm a market maker, I have a lot of exploitable advantages over my prey. If I'm a hedge fund manager, I really can't lose. 2 and 20 means I'll get at least 2% of your money. As far as Sornette goes, just read 4 or 5 of his articles (or his book). You'll understand. |
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Aug 1 |
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Will price levels fall even though money supply increases? You have to be careful in declaring the appropriate "money supply". If it includes excess money parked to avoid a run-on-the-bank, you may have to remove that from the calculations. |
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Jul 23 |
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Can the futures market's open interest predict commodity, treasury, and equity returns? @sheegaon, I didn't say low R^2 implies high trading frictions. The level of trading friction exists regardless of R^2. What I said was that an R^2 of 3% was so low that if it has any use at all (which is doubtful), trading frictions will likely overpower any profits. I've tested models with much higher R^2 that turned out to be worthless. You don't have to believe me. Test it yourself. |
