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| bio | website | |
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| location | ||
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| visits | member for | 4 months |
| seen | 3 hours ago | |
| stats | profile views | 48 |
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1d |
revised |
VaR for portfolio of funds added 31 characters in body |
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1d |
answered | VaR for portfolio of funds |
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May 9 |
comment |
Best way to store hourly/daily options data for research purposes @Freddy: Thanks, Freddy. Please read point (2). It's expensive to colocate your persistence server and the trade-off is unnecessary for the OP since his latency/bandwidth objectives are not just smaller by several orders of magnitude, it's smaller by astronomical orders of magnitude (28 per second vs 30,000,000 per second). |
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May 9 |
awarded | Critic |
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May 8 |
answered | Best way to store hourly/daily options data for research purposes |
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Apr 17 |
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Best tool to generate cashflow diagrams Yes I could, but it appears from his question that he asked for a good tool, not specific commands. |
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Apr 16 |
answered | Best tool to generate cashflow diagrams |
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Mar 8 |
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Predict Market Direction, What is forecastable/unforecastable? Just adding my opinion that this sounds like a homework question so you might not get your desired answer. I'd consider giving some intuition behind your question. |
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Feb 23 |
awarded | Enthusiast |
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Feb 3 |
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Kelly criterion and Sharpe ratio Thanks, Freddy. |
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Feb 3 |
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Kelly criterion and Sharpe ratio (1) I agree that the Kelly formula has no place in standard practice, but this is off-topic. (2) However, with regards to the jessica's question, there is an intuitive relationship and it is well-defined in the original literature (edwardothorp.com/sitebuildercontent/sitebuilderfiles/…, equation 7.3) though glossed over because it is akin to redundant substitution. I should point out to you that the Sharpe ratio is defined as the excess return over the standard deviation of return. |
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Feb 3 |
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Kelly criterion and Sharpe ratio Few comments. (1) Excess returns, volatility and position sizing should not be looked at separately. (2) There is logical intuition that drives the relationship between the Sharpe ratio and the Kelly leverage; you want to increase your allocation to a strategy that you believe to have better risk-adjusted returns (Sharpe ratio). (3) In mathematics, when you derive a theorem or equation, then it holds. You cannot ignore the relationship between its variables on the basis of emotion, opinion or religion as suggested. You can, however, challenge the assumptions and steps of your derivation. |
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Feb 3 |
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Kelly criterion and Sharpe ratio Maximum compounded growth rate of your portfolio. – |
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Feb 3 |
awarded | Teacher |
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Feb 3 |
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Kelly criterion and Sharpe ratio Yes, your Sharpe ratio changes with the volatility of returns. That's why a corollary of the Kelly criterion requires you to rebalance your portfolio constantly. The continuity comes from the continuity of prices - a "loss" can be perceived as a continuous range of outcomes where your exit price is {0 ticks + commissions, 1 tick + commissions, 2 ticks + commissions, ...} less than your entry price. The probability of the outcome is implicit in $S_i$ and $\sigma_i$, which specify the probability distribution. |
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Feb 3 |
answered | Kelly criterion and Sharpe ratio |
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Feb 1 |
awarded | Commentator |
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Jan 31 |
awarded | Supporter |
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Jan 31 |
asked | Calculating VaR/CVaR on high frequency data and returns |
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Jan 29 |
comment |
How fast is QuickFix ? You're welcome. Thank you very much for compiling those results. |
