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