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Mar
12
comment Can you explain me these comments on high frequency data?
Would have been good to have a supporting research paper for your first point. It's not really clear to me that the fact that sometimes there are more trades than other induces serial correlation. Regarding your second statement, isn't the fact that a fair price of 1.4 tick away would have to move only 1 tick offsetting the 1.6 case?
Mar
12
comment Can you explain me these comments on high frequency data?
What are the slides you're talking about? Are they available somewhere? What is it in the statements that you don't understand? Is it that you don't understand or don't agree?
Mar
12
revised Can you explain me these comments on high frequency data?
added 2 characters in body
Mar
12
revised Can you explain me these comments on high frequency data?
rephrased as question, formatting, removed courtesies
Mar
12
revised What is the difference between these two Expected Shortfall definitions?
improved formatting
Mar
12
revised What is the difference between these two Expected Shortfall definitions?
rephrased question, formatting.
Mar
11
comment How important is the limit order book?
What papers are you referring to?
Mar
11
revised How important is the limit order book?
added 14 characters in body; edited title
Mar
11
revised Dou you have an example of implementing Engle-Granger 2-step cointegration?
rephrased as question
Mar
11
revised Dou you have an example of implementing Engle-Granger 2-step cointegration?
added 90 characters in body
Mar
11
revised How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
deleted 14 characters in body
Mar
11
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
I'm fine with that I'm just saying your question (not the answer) is a bit "light" and would deserve a bit of embedded background and references. I'd advise you to mention in your answer that you created the spreadsheet.
Mar
10
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
Do you have anything to do with the spreadsheet? With the original/new paper? Your question is not clear enough by the way, like we would like to have a link to the model you refer to, probably integrate in there the main equation. I'd have closed this straightaway.
Mar
10
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
What is that supposed to mean you do the question and the answer in quick succession?
Mar
10
comment What are the properties of Max and Min functions?
Oh you're right I missed $K_1<K_2$ in the picture!
Mar
10
comment Exponential weighting of returns
Please rephrase your title as a question.
Mar
10
revised Exponential weighting of returns
removed courtesies
Mar
10
revised What are the properties of Max and Min functions?
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Mar
10
comment What are the properties of Max and Min functions?
You're missing some cases though...
Mar
10
comment What are the properties of Max and Min functions?
@MarcoBreitig It's true that the conclusion is not very clear, but I've seen much worse here.