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seen Sep 26 '12 at 3:20

Jun
21
awarded  Popular Question
Feb
24
awarded  Yearling
Nov
11
awarded  Scholar
Nov
11
accepted How does Kalman filtering of beta in pairs trading model work in R?
Nov
11
comment How does Kalman filtering of beta in pairs trading model work in R?
That's seems to be a nice book to reference. I found these two pdfs explaining kalman filtering too: first, second
Nov
10
asked How does Kalman filtering of beta in pairs trading model work in R?
Jul
25
comment Why would an investor trade a variance swap over a volatility swap?
Definitely a matter of convexity. I think a relatively benign volatility market prior to '08 made dealers too comfortable in their var hedging. Add to that less liquidity in the single stock space (especially in the wings), and you'll end up with unhedged clusters of convexity. Which led massive pnl hits across the dealers. But there was still interest for the 'swap' model, so vol swaps started being quoted shortly after.
Jul
24
awarded  Teacher
Jul
24
comment Why would an investor trade a variance swap over a volatility swap?
The hedging point is a good one. The relatively simpler product and less risky product (vol swap) is the harder one to hedge. But that said, buying a strip of options to hedge a var swap might not be the easiest thing with illiquid deep otm option markets.
Jul
24
answered Why would an investor trade a variance swap over a volatility swap?
Feb
25
awarded  Student
Feb
25
comment How do I incorporate time-variability in a pair trading framework?
I like Pfaff's Analysis of Integrated and Cointegrated Time Series with R too
Feb
25
comment How do I incorporate time-variability in a pair trading framework?
Yup, that's exactly what I have done. My question is really how can I quantify the patterns?
Feb
25
revised How do I incorporate time-variability in a pair trading framework?
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Feb
24
awarded  Editor
Feb
24
revised How do I incorporate time-variability in a pair trading framework?
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Feb
24
asked How do I incorporate time-variability in a pair trading framework?