1,881 reputation
2926
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 2 months
seen 3 mins 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.


Jan
27
comment Where do these Orders come from and what do they mean?
This question appears to be off-topic because it is about the rules of a specific exchange, not mathematical/computation finance.
Jan
17
comment Normality assumption in Sharpe ratio
@MattWolf: so you would argue that there's no normality assumption? Even if you account for upside/downside deviation, the Sharpe Ratio still has issues if the distributions are non-normal.
Jan
16
comment Normality assumption in Sharpe ratio
This is a basic statistics question. The Sharpe ratio is calculated using the mean and variance of a distribution, therefore it is a less descriptive measure the more the mean and variance do not completely describe the distribution.
Jan
10
comment What R-packages for SOCP problems are there?
There's at least one in the Optimization Task View. You can probably find more by searching via rseek. I'm not sure if it's the same here, but questions asking to recommend or find a tool, library or favorite off-site resource are off-topic on StackOverflow.
Jan
9
revised Correlation between idiosyncratic residuals and forward returns
Remove unnecessary claim about most quant desks trading mean-reversion; minor edits for brevity
Jan
3
comment How to reproject rates risk on a subset of tenors
How are you calculating these deltas?
Jan
2
revised How do Trade-At-Settlement orders work?
improved title; spelling
Jan
2
comment Finite difference methods
@rads: please accept this answer if it solved your problem.
Jan
2
revised Evaluation volatility with Garch model
remove "above answer" reference; spelling
Jan
2
comment decoding this formula about nominal and real return
This question appears to be off-topic because interpreting badly-written lecture notes is unlikely to be useful to future visitors.
Dec
31
comment Fair interest of mortgages
Default risk is only one of many factors that determine the interest rate on a mortgage (or the price of a MBS). You need to be more specific. This forum is not the appropriate place to ask someone to summarize mortgage pricing or MBS valuation.
Dec
31
awarded  Informed
Dec
31
comment Error message in calculation Implied Volatility
This will not help. See my answer.
Dec
30
answered Error message in calculation Implied Volatility
Dec
30
revised Error message in calculation Implied Volatility
code formatting
Dec
22
comment Bloomberg interest rate interpolation
This question appears to be off-topic because it is a question the data vendor can answer.
Dec
22
comment OF-B1 report - cell A1
This question appears to be off-topic because it is about financial accounting.
Dec
22
revised Pricing credit risky bonds
capitalization; spelling; remove 'thanks'
Dec
22
revised HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost
punctuation; spelling; remove 'thanks'
Dec
22
revised Get discount factors with limited knowledge?
spelling; remove 'thanks'