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| bio | website | fosstrading.com |
|---|---|---|
| location | St Louis, MO | |
| age | 32 | |
| visits | member for | 2 years, 3 months |
| seen | 15 hours ago | |
| stats | profile views | 315 |
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.
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Jun 30 |
comment |
Optimality of Kelly criterion in non-normal environment According to the talk slides, they argued that Fractional Kelly strategies were only optimal in a Merton world. |
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Jun 27 |
revised |
Diversification, Rebalancing and Different Means Edit tags |
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Jun 18 |
comment |
Who cares about autocorrelation? @Milktrader: error terms and residuals are synonyms. If the residuals are autocorrelated, you should first reconsider your model specification. Any good book on applied econometrics (specifically time-series) should have a chapter on model specification. I've found Kennedy to be a useful reference. |
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Jun 18 |
comment |
Alternate money management strategies to Kelly? Kelly is mathematically growth optimal but most investors' objective is not unconstrained growth maximization, so it's not usually optimal in a practical sense. |
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Jun 7 |
awarded | Fanatic |
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Jun 2 |
answered | If stock A has a 60% chance of rising, and stocks A and B have 80% correlation, what is the chance of stock B rising? |
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Jun 1 |
answered | R code for Ornstein-Uhlenbeck process |
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May 25 |
comment |
Tradable Volatility How is this different than Trading a synthetic replication of the VIX index? |
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May 23 |
answered | Earnings and valuation data sources online |
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May 23 |
comment |
Free intra-day equity data source @Zach: I don't know. Check their website and/or contact them to discuss your specific situation. |
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May 9 |
accepted | How are correlation and cointegration related? |
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May 4 |
awarded | Civic Duty |
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Apr 27 |
answered | Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY) |
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Apr 27 |
asked | What are the advantages / disadvantages of the ANTICOR algorithm? |
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Apr 25 |
comment |
How are correlation and cointegration related? As I said in my comment to @NYCBrit, "I would agree that correlation between first differences of a series does not tell you anything about cointegration of their levels, but it doesn't help you understand how the two concepts relate to one another." In short, this doesn't help answer the question. |
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Apr 22 |
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Free market data (delayed or snapshot) I'm glad someone has found that post helpful. |
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Apr 22 |
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Free market data (delayed or snapshot) I'm pretty sure any data distributor is going to have prohibitions against re-distribution. |
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Apr 22 |
comment |
How are correlation and cointegration related? Correlation between two price series does not actually refer to the correlations of their returns. You can calculate the correlation of two price series, but this is not how people tend to think of correlation between instruments and it's what I meant by "a stumbling block". I would agree that correlation between first differences of a series does not tell you anything about cointegration of their levels, but it doesn't help you understand how the two concepts relate to one another. |
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Apr 21 |
asked | How are correlation and cointegration related? |
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Apr 19 |
comment |
British hedge/mutual funds performance comparison website This is more a personal finance question than a quantitative question. |
