1,881 reputation
2926
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 2 months
seen 51 mins 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.


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?
Feb
7
comment Where can I find data on the interbank lending market?
@TalFishman: could I suggest clarification in the FAQ and this meta question? FWIW, I agree with Shane but voted to close this question because of the answer you accepted.
Feb
7
comment Where can I find data on the interbank lending market?
@MaxLi: I don't think it's out of scope. I think it should be included in the community wiki I linked to. The BIS may give you the data for free even though it may not be listed on their website. Call and ask, the worst that could happen is they say 'no'.
Feb
7
comment Where can I find data on the interbank lending market?
@MaxLi: yes, but notice some of the "answers" in that community wiki are really questions. I'm just trying to do my part to help keep the site organized according to the FAQ and discussions on meta. Have you tried contacting the BIS? Someone there might know where to find these data.
Feb
7
comment Where can I find data on the interbank lending market?
possible duplicate of What data sources are available online?
Feb
4
revised A gentle introduction to cointegration
added "interesting tidbits"
Feb
2
revised What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
spelling, punctuation, removed "thanks"
Feb
2
comment What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
Can you be more explicit about what you mean by "the forecast is not so accurate"? How many periods are you forecasting? How are you measuring accuracy? Are you modeling cohort-level data or loan-level?
Feb
2
comment Home/hobbyist quant trading - possible to profitable or just an intellectual hobby?
@MaxLi: This site isn't for amateurs. Though, I agree with your statement if you s/amateur/retail, which is what I think you intended. Your example would be a fine question, but it's much more specific than "can you share your experiences and what types of strategies should I consider?".
Jan
31
awarded  Yearling
Jan
24
answered Has spectrum analysis ever been used successfully to analyse historical price data?
Jan
24
comment Has spectrum analysis ever been used successfully to analyse historical price data?
Those who say don't know. Those who know don't say. --Lao-tzu, Tao Te Ching (via Pat Burns).
Dec
29
comment What are some “Must Know” investment/portfolio management theories out there?
What is the purpose of your question? Asking for a list of theories isn't in the spirit of this site.
Dec
29
revised What are some “Must Know” investment/portfolio management theories out there?
punctuation, grammar, remove redundant last paragraph
Dec
9
comment What tools and libraries may be used to model limit/stop systematic trading?
Have you looked at quantstrat et al?
Dec
5
revised What is the precision of standard deviation estimates with small samples?
deviation from mean should be squared
Nov
23
answered What's the difference between SA and SAAR?