1,881 reputation
2926
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 2 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
17
comment Convexity adjustment
@user5726: edit your question instead of posting comments.
Jul
15
comment Symmetry of option-implied probability density
Can you edit that into your answer, possibly with some references?
Jul
15
comment How to get/estimate ask/bid price for backtesting for OHLC data?
This is too broad. The answer is going to depend on what you're trading (stocks, ETFs, futures, options, etc), the liquidity of what you're trading (bid/ask is not always huge; some markets are deeper than others), the quantity you want to trade, etc.
May
20
awarded  Electorate
May
20
comment backtesting options strategies in R
blotter is very stable, but quantstrat is not. blotter is accounting infrastructure, it isn't oriented toward any type of security. I'm currently working on adding options functionality to quantstrat.
May
20
comment Optimal mortgage rate strategy
Note that you can often break the lock for a fee (e.g. 1/8).
Apr
10
comment How to detect and adjust for stock splits?
Don't do this. It's much better to use quantmod::adjustOHLC with Yahoo data. When use.Adjusted=FALSE (the default), the function pulls the split and dividend data from Yahoo and calculates the ratios manually.
Apr
10
awarded  Nice Answer
Apr
8
reviewed Approve suggested edit on Testing Significance of Correlation
Apr
8
answered Software for backtesting outside strategies (CSV transaction upload)
Apr
2
comment Stochastic modelling of derivatives on dividends
This is very broad (you have at least 5 questions). You'd likely get (better) answers if you split this into 2-4 more specific questions.
Mar
22
awarded  Vox Populi
Mar
22
answered Market weights for Black-Litterman
Feb
6
comment Multiple (linear) regression
@Freddy: I agree with you; just playing devil's advocate.
Feb
6
comment Multiple (linear) regression
@Freddy: I didn't vote to close, but this is close to "Could someone help me develop a trading strategy?" and therefore some may deem it's off-topic according to the FAQ.
Feb
5
comment Daily returns using adjusted close
@Marcus: from looking at the entire history, it seems the 5/1 stock split was on 1994-06-20, not 2006-06-19.
Feb
5
revised NYSE binary data, convert to ASCII
add link to perl::unpack
Feb
5
answered NYSE binary data, convert to ASCII
Feb
5
comment How to simulate one-minute bars data from one-day bars?
@Quartz: not all scaling will change the first and last observations. You could calculate the line between the start and end points and shift all the observations above (below) that line by the required factor to reach the high (low) for the period.
Jan
31
awarded  Yearling