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seen Apr 6 at 21:49

Oct
21
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
I think that you need to decide whether you want a 'neutral' accounting style treatment or an 'active' allocation treatment. If you want a neutral approach, either of the first two methods I described will be consistent with your accounting system. If you want an active treatment, then I think you need to have the algo decide. Allocating on LIFO or FIFO basis can create non-intuitive 'gains' and 'losses' on 'trades' as all of your profit or loss get swallowed by one fill. This is why I think approaches that more closely match the actual movement of cash in the account make more sense.
Oct
21
answered How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Sep
4
comment ROC: difference between discrete and continuous?
PerformanceAnalytics can use either discrete or log returns. It can also perform simple or geometric chaining. These two things are easily confused. If you have log returns, you almost certainly want to use simple chaining. If you have discrete (often called simple) returns, you may want either geometric chaining or simple chaining, depending on your input data and the analysis that you want to do.
Jun
22
comment How does Cornish-Fisher VaR (aka modified VaR) scale with time?
Something like the alpha-weighting of VaR described for VaR derived from extreme value theory described in Tsay could be derived for the Cornish Fisher Distribution. As another alternative, square root of time sigma scaling will get most of the structure, unless the series is highly skewed or kurtotic. I don't think there is a precise or complete answer in the literature for this, and I haven't done the work to develop a precise answer.
Jun
21
awarded  Editor
Jun
21
revised How does Cornish-Fisher VaR (aka modified VaR) scale with time?
add another link, fix grammar error
Jun
21
answered How does Cornish-Fisher VaR (aka modified VaR) scale with time?
Feb
20
awarded  Yearling
Oct
23
awarded  Critic
Sep
23
comment How to compute modified-CVaR in the PerformanceAnalytics package?
I want to second the advice to pre-calculate the moment matrices before doing optimization. The PortfolioAnalytics package always does this to minimize recalculating things that only need to be done once. You can also do things like cleaning the raw data, Ledoit-Wolf shrinkage on the estimates, etc before applying your optimization criteria.
Aug
5
comment robust portfolio optimization re-balancing with transaction costs
All the components of the objective are arbitrary R functions. The package takes care of the 'wrapper' around all of that, basic box constraints and full investment constraint, dealing with the optimization engines, etc. The objective is layered (and separately multiplied/penalized) by each arbitrary function you define. There was a discussion on R-SIG-Finance this week here showing a custom objective that isn't in the 'standard' model of using returns the way a modified Markowitz approach does.
Aug
2
answered How do I backtest a convertible bond arbitrage strategy in R/Matlab?
Jul
27
awarded  Supporter
Jul
27
answered robust portfolio optimization re-balancing with transaction costs
Jul
27
awarded  Teacher
Jul
27
answered Use Trades as Input for PerformanceAnalytics