1,920 reputation
2929
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 10 months
seen 23 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.


Dec
1
comment How do I artificially generate intraday ticks data from a given input (Open,High,Low,Close,Volume) using Brownian Bridge method?
How do you plan to generate data through the high and low price when you don't know the point in time at which those prices occurred?
Nov
15
comment Cause of long term inflation in the United States
This question appears to be off-topic because it is about macroeconomics, not mathematical/computational finance
Oct
26
comment Build a customizable trading engine in python
Why not use zipline, instead of re-inventing it?
Sep
12
comment Where can I download intraday series for DAX and S&P500 Index?
Related (possibly duplicate)
Sep
3
comment What is wrong in this GBM simulation?
Simply: exp(-0.1^2/2) = 0.9950125
Aug
18
comment How does Volatility Pairs Trading work?
If you got a sufficient answer elsewhere, you can either link to it in the comments, or answer the question yourself (but that can depend on the other forum's rules regarding who owns the content; you might be okay as long as you provide proper attribution to the original author of the answer).
Aug
18
comment How does Volatility Pairs Trading work?
Different forums have different opinions. I find cross-posting without disclosing to be rude. You're asking for people's time, but do not let them know to check other forums to see if there's already a satisfactory answer. The only reason I noticed your cross-posting is because I monitor several forums' RSS feeds.
Aug
17
comment How does Volatility Pairs Trading work?
Cross-posted on NP
Aug
17
comment Asset true price determination, quoted on 2 exchanges
Cross-posted on NP
Aug
17
comment Mid-Point calculation with execution probability
Cross-posted on NP
Aug
10
comment Why would a 9% dividend payment halve the stock price?
If the company transfers a huge amount of their cash to their stock-holders, why would you expect the company value not to change?
Jul
23
comment where to find historical option prices?
Welcome to the site. No one will be able to tell you if Bloomberg data is "enough/reliable" unless you provide more details about what you actually want to do with the data.
Jul
20
comment Difference between Total Long Term Debt and Net Total Long Term Debt
Who is the data provider? Doesn't their metadata indicate the differences between the series?
Jul
17
comment How is PnL calculated
Welcome to quant.SE. Unfortunately, your question is both too basic and too broad for this site. You question would be more on-topic if it summarized what you already understand about the calculations and asked a specific question about the unclear part(s).
Jul
16
comment ETFs have lower tracking error than Futures?
1) isn't the ETF error larger (0.0012959 > 0.0006794)? 2) I would expect the ETF tracking error to be lower. It holds the actual index components and has fewer transactions than the futures index. The futures contracts must be rolled periodically, while the ETF only needs to transact for index constituent changes.
Jul
15
comment How to construct a deterministic trading model based on a loess (local regression) model?
Sounds like you have a hammer and are searching for a nail. The data should inform the model choice. It's a mistake to choose a model and then search for data to apply it to, because "all models are wrong".
Jul
7
comment Isn't a perfect economic system always in debt?
This question appears to be off-topic because it is about economics, and is too broad.
Jul
1
comment Implementing A 50/50 Prediction Model Strategy
A model that's right <50% of the time can be profitable. Many trend-following trading systems are only right 20-40% of the time, but are profitable because the winning trades are so much larger than the losing trades.
Jun
28
comment Combining BHHH and Levenberg Marquardt
Related: Does R support switching between optimizers like STATA does?
Jun
14
comment Is the market really Normal. Is Implied Volatility Historically Correct?
It's still wrong. 10.99*sqrt(20/250)*195.6 = 608. 195 +/- 608 != 201/189.