1,920 reputation
2929
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 9 months
seen 2 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
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?
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?