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Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
Of course that's not close! If you use a different moving average, why would you expect the results to be the same? I said the default should be close.
Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
The default should be close, except for the issue I mentioned in my previous comment.
Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
SMA is not the "sum of gains over last x days"; it's the mean. I don't understand why you're confused that the results are different when you specify a different moving average. I would be concerned if they were the same. The potential bug I referred to is that the positive/negative values are set to zero (instead of missing) when calculating the down/up averages, respectively.
Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
I need to investigate more, but it looks like this may be a bug in TTR::RSI.
Jan
10
comment Why Markov Functional Models (Hunt 2000) are not yet so popular?
Cross-posted on Nuclear Phynance.
Dec
23
comment Stochastic Volatility CIR estimation
Answers should contain enough information to actually answer the question. A simple link to another site should just be a comment.
Dec
1
comment How do I artificially generate intraday ticks data from a given input (Open,High,Low,Close,Volume) using Brownian Bridge method?
How do you plan to generate data through the high and low price when you don't know the point in time at which those prices occurred?
Nov
15
comment Cause of long term inflation in the United States
This question appears to be off-topic because it is about macroeconomics, not mathematical/computational finance
Oct
26
comment Build a customizable trading engine in python
Why not use zipline, instead of re-inventing it?
Sep
30
awarded  Explainer
Sep
12
comment Where can I download intraday series for DAX and S&P500 Index?
Related (possibly duplicate)
Sep
3
comment What is wrong in this GBM simulation?
Simply: exp(-0.1^2/2) = 0.9950125
Aug
18
comment How does Volatility Pairs Trading work?
If you got a sufficient answer elsewhere, you can either link to it in the comments, or answer the question yourself (but that can depend on the other forum's rules regarding who owns the content; you might be okay as long as you provide proper attribution to the original author of the answer).
Aug
18
comment How does Volatility Pairs Trading work?
Different forums have different opinions. I find cross-posting without disclosing to be rude. You're asking for people's time, but do not let them know to check other forums to see if there's already a satisfactory answer. The only reason I noticed your cross-posting is because I monitor several forums' RSS feeds.
Aug
17
comment How does Volatility Pairs Trading work?
Cross-posted on NP
Aug
17
comment Mid-Point calculation with execution probability
Cross-posted on NP
Aug
10
comment Why would a 9% dividend payment halve the stock price?
If the company transfers a huge amount of their cash to their stock-holders, why would you expect the company value not to change?
Jul
23
comment where to find historical option prices?
Welcome to the site. No one will be able to tell you if Bloomberg data is "enough/reliable" unless you provide more details about what you actually want to do with the data.
Jul
20
comment Difference between Total Long Term Debt and Net Total Long Term Debt
Who is the data provider? Doesn't their metadata indicate the differences between the series?
Jul
17
comment How is PnL calculated
Welcome to quant.SE. Unfortunately, your question is both too basic and too broad for this site. You question would be more on-topic if it summarized what you already understand about the calculations and asked a specific question about the unclear part(s).