1,920 reputation
2929
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 8 months
seen 6 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.


Jan
27
comment Where do these Orders come from and what do they mean?
This question appears to be off-topic because it is about the rules of a specific exchange, not mathematical/computation finance.
Jan
17
comment Normality assumption in Sharpe ratio
@MattWolf: so you would argue that there's no normality assumption? Even if you account for upside/downside deviation, the Sharpe Ratio still has issues if the distributions are non-normal.
Jan
16
comment Normality assumption in Sharpe ratio
This is a basic statistics question. The Sharpe ratio is calculated using the mean and variance of a distribution, therefore it is a less descriptive measure the more the mean and variance do not completely describe the distribution.
Jan
10
comment What R-packages for SOCP problems are there?
There's at least one in the Optimization Task View. You can probably find more by searching via rseek. I'm not sure if it's the same here, but questions asking to recommend or find a tool, library or favorite off-site resource are off-topic on StackOverflow.
Jan
3
comment How to reproject rates risk on a subset of tenors
How are you calculating these deltas?
Jan
2
comment Finite difference methods
@rads: please accept this answer if it solved your problem.
Jan
2
comment decoding this formula about nominal and real return
This question appears to be off-topic because interpreting badly-written lecture notes is unlikely to be useful to future visitors.
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.