1,920 reputation
2929
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 11 months
seen 4 hours ago

My formal education is in economics. My programming skills and computer knowledge are self-taught. I have an uncanny ability to find answers to questions outside my immediate expertise. I have a deep love of learning and I enjoy building / fixing all kinds of things -- software, computer hardware, engines, etc.


Jul
1
comment Implementing A 50/50 Prediction Model Strategy
A model that's right <50% of the time can be profitable. Many trend-following trading systems are only right 20-40% of the time, but are profitable because the winning trades are so much larger than the losing trades.
Jun
28
comment Combining BHHH and Levenberg Marquardt
Related: Does R support switching between optimizers like STATA does?
Jun
14
comment Is the market really Normal. Is Implied Volatility Historically Correct?
It's still wrong. 10.99*sqrt(20/250)*195.6 = 608. 195 +/- 608 != 201/189.
Jun
13
comment The option values are different from two r package - foptions,rquantlib
Yes, it's in Fortran. You could compare the current version with archived versions of fOptions on CRAN. Maybe one of the older versions had a pure-R implementation.
Jun
13
comment The option values are different from two r package - foptions,rquantlib
The source code for both is available. Have you looked at it?
Jun
11
comment Is the market really Normal. Is Implied Volatility Historically Correct?
...and how does 195+/-608 give you 233/177? Even if it did give you 233/177, don't you see a problem with your 1-month standard-deviation band being ~3x larger than the annual VIX?
Jun
11
comment Is the market really Normal. Is Implied Volatility Historically Correct?
I see a lot of statements. What's your question?
Jun
3
comment trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
Your total equity doesn't change just because you transfer a portion of it from cash to some other asset...
Jun
2
comment trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
Something's wrong with how you're creating portfolio.active... unless your first period return is really a 78% loss.
Jun
2
comment trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
Log returns should be summed, not multiplied.
May
29
revised Why do some stock options have expiration dates for a given month, while others don't?
clarify title (stocks don't expire)
May
19
comment Where can I buy historic raw recording of an exchange
I have no idea what you want. "Raw feed" is vague. Do you want quotes, trades, both? If you want quotes, do you want top-of-book, depth (how much?), etc?
May
19
comment Where can I buy historic raw recording of an exchange
What is wrong with the vendors you found when you searched? You did search, didn't you? ;)
May
16
comment What is the equation for Garman-Klass volatility?
I like when my documentation helps non-users of my code. :)
May
9
comment Why does regression capture differences in volatility?
This is more of a basic statistics question than a mathematical/computational finance question.
May
7
awarded  Announcer
May
6
comment Looking for C# library that provides/contains performance analytics
Have you considered R.NET? I don't know anything about it, other than it exists...
Apr
19
comment “Equivalent” data sets despite different numbers
That depends on how you intend to use the data.
Apr
19
comment What are the good book to understand economics?
This question appears to be off-topic because it is about economics, not mathematical/computational finance.
Apr
19
comment Were can I find Historical Interest Rate Data?
FRED has National Rate on Non-Jumbo Deposits (less than $100,000): Savings (but it's a short series), and 1-Month Certificate of Deposit: Secondary Market Rate (which is an obvious proxy). In the accepted answer to the question I linked to, under "Fixed Income" is "FRB: H.15 Selected Interest Rates", which contains the 1-month CD series.