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 Yearling
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Apr
10
comment How to detect and adjust for stock splits?
Don't do this. It's much better to use quantmod::adjustOHLC with Yahoo data. When use.Adjusted=FALSE (the default), the function pulls the split and dividend data from Yahoo and calculates the ratios manually.
Apr
10
awarded  Nice Answer
Apr
8
reviewed Approve Testing Significance of Correlation
Apr
8
answered Software for backtesting outside strategies (CSV transaction upload)
Apr
2
comment Stochastic modelling of derivatives on dividends
This is very broad (you have at least 5 questions). You'd likely get (better) answers if you split this into 2-4 more specific questions.
Mar
22
awarded  Vox Populi
Mar
22
answered Market weights for Black-Litterman
Feb
6
comment Multiple (linear) regression
@Freddy: I agree with you; just playing devil's advocate.
Feb
6
comment Multiple (linear) regression
@Freddy: I didn't vote to close, but this is close to "Could someone help me develop a trading strategy?" and therefore some may deem it's off-topic according to the FAQ.
Feb
5
comment Daily returns using adjusted close
@Marcus: from looking at the entire history, it seems the 5/1 stock split was on 1994-06-20, not 2006-06-19.
Feb
5
revised NYSE binary data, convert to ASCII
add link to perl::unpack
Feb
5
answered NYSE binary data, convert to ASCII
Feb
5
comment How to simulate one-minute bars data from one-day bars?
@Quartz: not all scaling will change the first and last observations. You could calculate the line between the start and end points and shift all the observations above (below) that line by the required factor to reach the high (low) for the period.
Jan
31
awarded  Yearling
Jan
18
answered How to simulate one-minute bars data from one-day bars?
Dec
20
comment Using the termstrc package in R
You might want to try the YieldCurve package. I found it easier to use.
Dec
18
comment Target daily ROI for a market-making algorithm
Aim for something > 0%.
Dec
14
comment Managing Bloomberg logins in a campus library
<HELP><HELP> <Ctrl>+C <Ctrl>+V
Nov
28
comment Treasury Bond Yield Curves in R
+1 I second this suggestion.
Oct
16
comment Statistical significance of trading systems that use indicators with long lookbacks
Cross-posted on NP (already has one answer).