1,881 reputation
2926
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 2 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.


Dec
31
comment Fair interest of mortgages
Default risk is only one of many factors that determine the interest rate on a mortgage (or the price of a MBS). You need to be more specific. This forum is not the appropriate place to ask someone to summarize mortgage pricing or MBS valuation.
Dec
31
comment Error message in calculation Implied Volatility
This will not help. See my answer.
Dec
22
comment Bloomberg interest rate interpolation
This question appears to be off-topic because it is a question the data vendor can answer.
Dec
22
comment OF-B1 report - cell A1
This question appears to be off-topic because it is about financial accounting.
Dec
3
comment How does Interactive Broker's historical data compare to other alternatives?
This question appears to be off-topic because it is something only the data vendor can answer definitively.
Dec
2
comment What does it mean by “labor taxes cut is self-financed”?
This question appears to be off-topic because it is about introductory economics, not quantitative finance.
Nov
25
comment download intra day data
They want intraday data, not end-of-day.
Oct
25
comment Market making: buy on bid/sell on ask
You're going to attract a lot of negative attention by asking for "laymen's terms" definitions of simple concepts. This site is meant for professionals who practice quantitative finance on a daily basis.
Oct
21
comment ADF test in R yielding perfect cointegration. How is this possible?
The answer to your question is still the same. Remove all the observations where the first difference is zero and the p-value will drop: adf.test(sprd3[diff(sprd3)!=0]).
Oct
20
comment Examples of Spectral Risk Measures
This is a bit broad, and could lead to list-like answers. Could you provide more details on what you're actually trying to accomplish?
Sep
1
comment Inferring the maximum drawdown depth for a different sample size
Not without making some assumptions about the distribution of the trades. The only thing you can infer is that the maximum drawdown for 100 trades will be <= 50%.
Aug
12
comment Is HMM of Volatility any different from a simple filter?
Cross-posted to NP.
Aug
6
comment Black-Scholes in Delphi
This question appears to be off-topic because it is too localized, since the issue was an incorrect function input.
Jul
29
comment Non-intuitive correlation between S&P sector indexes and economic indicators
Are you using real-time data?
Jul
29
comment Data source for historical Share Outstanding totals for individual stocks?
"That's it"? I did what you suggested for Microsoft and got, "539,748 results for "MSFT outstanding shares". Page 1 / 26988". If you're going to say "that's it", at least tell people to search for "<ticker> number of shares outstanding" where the first result is what they're looking for.
Jul
17
comment Convexity adjustment
@user5726: edit your question instead of posting comments.
Jul
15
comment Symmetry of option-implied probability density
Can you edit that into your answer, possibly with some references?
Jul
15
comment How to get/estimate ask/bid price for backtesting for OHLC data?
This is too broad. The answer is going to depend on what you're trading (stocks, ETFs, futures, options, etc), the liquidity of what you're trading (bid/ask is not always huge; some markets are deeper than others), the quantity you want to trade, etc.
May
20
comment backtesting options strategies in R
blotter is very stable, but quantstrat is not. blotter is accounting infrastructure, it isn't oriented toward any type of security. I'm currently working on adding options functionality to quantstrat.
May
20
comment Optimal mortgage rate strategy
Note that you can often break the lock for a fee (e.g. 1/8).