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Oct
24
answered How to plot custom hourly data into R with quantmod?
Oct
21
comment ADF test in R yielding perfect cointegration. How is this possible?
The answer to your question is still the same. Remove all the observations where the first difference is zero and the p-value will drop: adf.test(sprd3[diff(sprd3)!=0]).
Oct
21
revised ADF test in R yielding perfect cointegration. How is this possible?
correction and clarification
Oct
21
answered ADF test in R yielding perfect cointegration. How is this possible?
Oct
21
revised Fama-French 3-factor model: factors implying risk
minor spelling/capitalization
Oct
21
reviewed Reject How good is managed code for algo trading?
Oct
20
comment Examples of Spectral Risk Measures
This is a bit broad, and could lead to list-like answers. Could you provide more details on what you're actually trying to accomplish?
Sep
13
awarded  Nice Answer
Sep
1
comment Inferring the maximum drawdown depth for a different sample size
Not without making some assumptions about the distribution of the trades. The only thing you can infer is that the maximum drawdown for 100 trades will be <= 50%.
Aug
12
comment Is HMM of Volatility any different from a simple filter?
Cross-posted to NP.
Aug
6
comment Black-Scholes in Delphi
This question appears to be off-topic because it is too localized, since the issue was an incorrect function input.
Aug
5
awarded  Announcer
Jul
29
comment Non-intuitive correlation between S&P sector indexes and economic indicators
Are you using real-time data?
Jul
29
comment Data source for historical Share Outstanding totals for individual stocks?
"That's it"? I did what you suggested for Microsoft and got, "539,748 results for "MSFT outstanding shares". Page 1 / 26988". If you're going to say "that's it", at least tell people to search for "<ticker> number of shares outstanding" where the first result is what they're looking for.
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).