1,881 reputation
2926
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 2 months
seen 4 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.


May
20
comment Optimal mortgage rate strategy
Note that you can often break the lock for a fee (e.g. 1/8).
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
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.
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
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.
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 Control Bloomberg logins in a 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).
Oct
13
comment Where do swap rates and/or long-term forward rates come from?
When two interest rates really love each other, they... well... you know.
Oct
7
comment Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
Asking for "stories and experience" isn't a good fit for this site.
Sep
4
comment ROC: difference between discrete and continuous?
@DarrenCook: user508 is probably referring to Return.Calculate and Calculate.Returns. Most PerformanceAnalytics functions that take a return vector have default to simple returns (and therefore geometric chaining).
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
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
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'.