1,881 reputation
2926
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 2 months
seen 7 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.


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.
Jun
18
revised Position management in presence of continuous forecast
title spelling
Jun
4
comment What latency should I use for backtesting a high-frequency strategy?
Cross-posted on NP.
Jun
1
comment Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
nuclearphynance.com/Show%20Post.aspx?PostIDKey=160743
Feb
29
answered How to fit probability density function from sample moments?
Feb
7
answered Where can I find data on the interbank lending market?