Reputation
1,955
Top tag
Next privilege 2,000 Rep.
Access moderator tools
Badges
3 10 29
Impact
~82k people reached

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.
Jun
13
comment The option values are different from two r package - foptions,rquantlib
Yes, it's in Fortran. You could compare the current version with archived versions of fOptions on CRAN. Maybe one of the older versions had a pure-R implementation.
Jun
13
comment The option values are different from two r package - foptions,rquantlib
The source code for both is available. Have you looked at it?
Jun
11
comment Is the market really Normal. Is Implied Volatility Historically Correct?
...and how does 195+/-608 give you 233/177? Even if it did give you 233/177, don't you see a problem with your 1-month standard-deviation band being ~3x larger than the annual VIX?
Jun
11
comment Is the market really Normal. Is Implied Volatility Historically Correct?
I see a lot of statements. What's your question?
Jun
3
comment trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
Your total equity doesn't change just because you transfer a portion of it from cash to some other asset...
Jun
2
comment trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
Something's wrong with how you're creating portfolio.active... unless your first period return is really a 78% loss.
Jun
2
comment trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
Log returns should be summed, not multiplied.
May
19
comment Where can I buy historic raw recording of an exchange
I have no idea what you want. "Raw feed" is vague. Do you want quotes, trades, both? If you want quotes, do you want top-of-book, depth (how much?), etc?
May
19
comment Where can I buy historic raw recording of an exchange
What is wrong with the vendors you found when you searched? You did search, didn't you? ;)
May
16
comment What is the equation for Garman-Klass volatility?
I like when my documentation helps non-users of my code. :)
May
9
comment Why does regression capture differences in volatility?
This is more of a basic statistics question than a mathematical/computational finance question.
May
6
comment Looking for C# library that provides/contains performance analytics
Have you considered R.NET? I don't know anything about it, other than it exists...