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visits member for 3 years, 5 months
seen Dec 27 '11 at 22:47

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