1,890 reputation
2928
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 6 months
seen 5 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.


Mar
27
comment Credit Spread, Transition Matrix
Related
Mar
25
comment Is the volatility of a trader's wealth equal to the volatility of the underlying assets traded?
I don't understand the distinctions between the trader's portfolio, wealth, and "index". They are all portfolios of assets. And it's not a necessary condition that the volatility be different if the "index" is traded, but it could be different.
Mar
23
comment Minimum PD under Basel II retail asset?
@Probilitator: I would guess "probability of default".
Mar
23
comment Value Weighted Return
Why not ask CRSP for clarification?
Mar
23
comment Standard way to represent trend in an a-dimensional way
Your question is very unclear. How can "trend of A equal trend of B" and "trend of B is greater than trend of A"? The product prices aren't important if you're measuring how much they impact profit; you want to compare profit margin. You need to explain why a simple percent change isn't adequate.
Mar
20
awarded  Good Question
Mar
13
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
@jessica: NORM.INV(RAND(),0,1) yields numbers roughly between -3/+3. That's not -3% to +3%; it's -300% to +300%. Hence my comment that your "returns" are huge.
Mar
12
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
1) Your simulated "returns" are huge (the return will be >100% more than 10% of the time). 2) What did you expect? Compounding is exponential, so long tails aren't surprising (especially with huge returns).
Mar
10
comment Tracking delistings on NASDAQ & NYSE
possible duplicate of What data sources are available online?
Mar
3
awarded  Custodian
Mar
3
reviewed Reviewed Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen?
Feb
25
answered What is shorting a asset that has negative price. Can anyone give me an example?
Feb
24
comment where can i get data for foreign exchange order flow
The foreign exchange market is decentralized. There's no one place you can go to get the total order flow. You could get order flow for foreign exchange futures though.
Feb
24
comment What are some of the best quantitative finance websites?
This question is off-topic because it is spam, just like it was spam on NP.
Feb
16
comment I want to keep a column in getSymbols or get.hist.quote with the Date as as.Date format
This question belongs on stackoverflow.com
Feb
13
comment Estimate the effect of a buy order on stock price
Research "market impact".
Feb
11
comment Reasoning for Bloomberg's short rate volatilty calculation
You mean it's not in their manual of scripts?!? :) I meant: call your Bloomberg representative.
Feb
11
comment Reasoning for Bloomberg's short rate volatilty calculation
Maybe ask Bloomberg?
Feb
5
comment How can foreign investment have a negative figure?
It's a flow, not a stock; like the difference between income and wealth.
Feb
4
comment Microstructure effects for a market maker?
@statquant: of course you have something valuable to share. You're here because you do this for a living. So you could ask a question where the answer would be directly related to how you make money. Then you answer your own question, providing details on what gives you an edge over other market participants.