1,881 reputation
2926
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 2 months
seen 9 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.


Jan
18
answered How to simulate one-minute bars data from one-day bars?
Dec
20
comment Using the termstrc package in R
You might want to try the YieldCurve package. I found it easier to use.
Dec
18
comment Target daily ROI for a market-making algorithm
Aim for something > 0%.
Dec
14
comment Control Bloomberg logins in a library
<HELP><HELP> <Ctrl>+C <Ctrl>+V
Nov
28
comment Treasury Bond Yield Curves in R
+1 I second this suggestion.
Oct
16
comment Statistical significance of trading systems that use indicators with long lookbacks
Cross-posted on NP (already has one answer).
Oct
13
comment Where do swap rates and/or long-term forward rates come from?
When two interest rates really love each other, they... well... you know.
Oct
7
comment Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
Asking for "stories and experience" isn't a good fit for this site.
Oct
1
awarded  Enlightened
Oct
1
awarded  Nice Answer
Sep
21
awarded  Custodian
Sep
13
revised mortgage prepayment model
added CPR -> SMM conversion, fixed link
Sep
13
answered mortgage prepayment model
Sep
4
comment ROC: difference between discrete and continuous?
@DarrenCook: user508 is probably referring to Return.Calculate and Calculate.Returns. Most PerformanceAnalytics functions that take a return vector have default to simple returns (and therefore geometric chaining).
Sep
3
revised ROC: difference between discrete and continuous?
ROC is in TTR, not quantmod
Sep
3
answered ROC: difference between discrete and continuous?
Aug
3
reviewed Approve suggested edit on Backtest pair trade strategy in R
Jul
15
answered What commercial financial libraries are available to outsource implementation risk?
Jul
10
awarded  Notable Question
Jul
6
comment Why is the Drawdown measure not used for portfolio optimization?
Technically, Ralph Vince uses the probability of drawdown as a constraint. The LSPM package does have a function for max drawdown too though.