Joshua Ulrich

1,656 reputation

2621

bio	website	fosstrading.com
	location	St Louis, MO
	age	32
visits	member for	2 years, 3 months
	seen	17 hours ago
stats	profile views	315

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.

	1,656 reputation	bio	website	fosstrading.com	visits	member for	2 years, 3 months
2621 badges		location	St Louis, MO		seen	17 hours ago

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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 7	comment	Is it already possible to do automated trading from your room? Your question is incredibly broad and is not something someone in the profession would ask, and is therefore off-topic. That said, yes, it's possible. Look at Interactive Brokers.
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 23	comment	Most commonly used UNIX commands & Python modules/functions? @user1205632: The interviewer asked you to compile a list of commands you think would be useful. If they wanted a list that included thoughts other than yours, they could just ask their current employees. As Matt said, be genuine.
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 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 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).
Jan 6	comment	How do different methods and techniques used in pairs trading compare? If you're going to cross-post, please at least disclose that you have.
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 9	comment	What tools and libraries may be used to model limit/stop systematic trading? Have you looked at quantstrat et al?
Nov 15	comment	Fitting a generalized logistic distribution Thanks for your suggestions; I tried both. Using constraints caused an edge-case segfault in the NL2SOL optimizer I was using. A global optimizer (differential evoloution via DEoptim in R) produced different parameter estimates, but similar function values. So, the real answer to my question is that the functional form is incorrect in the cases where the estimates are "poor".
Oct 7	comment	How to Calculate Risk of Ruin possible duplicate of How to estimate the probability of drawdown / ruin?
Sep 30	comment	Fitting a generalized logistic distribution @bill_080: we're simply holding some terms constant at 1 (e.g. $v=1$ and $Q=1$). Sorry I didn't mention that in my question.
Sep 23	comment	How to compute modified-CVaR in the PerformanceAnalytics package? @QuantGuy: thanks for the edit. I'm a bit sick and my mind is extra-foggy. ;-)
Sep 8	comment	Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX? Very nice! I'll have to add a function to TTR to access these files.