meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 2 months |
| seen | Dec 27 '11 at 22:47 | |
| stats | profile views | 8 |
|
Mar 13 |
awarded | Yearling |
|
Dec 13 |
comment |
Usage of NoSQL storage in Finance Note that the link for SciDB should be www.scidb.org, not .com. |
|
Oct 13 |
answered | Where can you find data on non-trading stocks? |
|
Sep 21 |
comment |
What data sources are available online? Here's a Python script to parse the meeting dates from the federalreserve.gov page that you linked: pastie.org/2566958. It pulls the dates from the url of the "Minutes" link for each meeting. |
|
Aug 10 |
answered | Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX? |
|
Jul 1 |
comment |
Optimality of Kelly criterion in non-normal environment @bill, In finance, the terms used are "growth optimal portfolio" or "geometric mean maximization", but mathematically they're identical to the standard Kelly Criterion - maximize the expected value of the log of future wealth. |
|
Jul 1 |
answered | Implementing data-structures in a Limit order book |
|
May 23 |
answered | Earnings and valuation data sources online |
|
Apr 27 |
comment |
How are cryptography and speech recognition technology applied to forecasting financial markets? One more comment - Ernest Chan's Quantitative Trading has a chapter on the Kelly criterion in finance. Unfortunately, I found it to be a very shallow treatment. He just presents a formula with no real explanation or derivation. |
|
Apr 27 |
comment |
How are cryptography and speech recognition technology applied to forecasting financial markets? A good paper on the Kelly criterion is Ed Thorp's The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market. He derives the Kelly formula for two simultaneous bets on page 19, and on the following page talks about applying it to assets with correlated returns. I haven't been able to work out a closed-form solution, but it's fairly easy to generalize the method to an arbitrary number of assets by using a Monte Carlo approach. |
|
Apr 3 |
awarded | Scholar |
|
Apr 3 |
accepted | Data on US bankruptcy rate vs. standard valuation ratios |
|
Mar 31 |
awarded | Supporter |
|
Mar 31 |
comment |
Hedgefund-like behavior for covered call selling account? FYI...TD Ameritrade has a similar managed account option. IB is probably cheaper though. |
|
Mar 21 |
comment |
Keeping a track record honest But if the hash is posted on your blog, what stops you from modifying the text and the hash at a later date? Unless there's some record of the hash held by a trusted third party so that it can't be modified, there's no real security. Plus, MD5 is basically broken. Use SHA-2. |
|
Mar 15 |
awarded | Student |
|
Mar 15 |
asked | Data on US bankruptcy rate vs. standard valuation ratios |
|
Mar 13 |
awarded | Teacher |
|
Mar 13 |
answered | Seeking Historical Non-Finance Datapoints for Backtesting |
