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  • 8 votes cast
May
20
answered Construction of “vol of vol”
May
12
comment statistical arbitrage option overlay strategies / volatility trading
Agree with Matt's answer. My first intuition is to view the excess returns bins normalized with volatility and only consider the ones that are above a Sharpe threshold.
May
10
asked How to measure the performance of an systematic option strategy
Mar
29
comment using garch to forecast volatility but getting low persistence model
Adf - autocorrelation function. pacf - partial autocorrelation function. And try the autocorrelation of return squared instead of returns. If there is no volatility clustering observed, then perhaps the question is why Garch?
Mar
21
answered using garch to forecast volatility but getting low persistence model
Mar
16
comment Can you explain me these comments on high frequency data?
@Nour I rephrased the first point and added some references. For the second point please see the comment above.
Mar
16
comment Can you explain me these comments on high frequency data?
@SRKX I think if the fair price has to move 1.4 ticks away, as a result of discreteness, it also has to move 2 ticks. It only rounds up. The trade is likely not to happen if it moves only 1 tick away while the fair price is more than 1 tick.
Mar
16
revised Can you explain me these comments on high frequency data?
added 460 characters in body
Mar
12
answered Can you explain me these comments on high frequency data?
Feb
21
asked Method to combine trading signals to achieve higher sharpe
Jan
15
comment I have portfolio volatility for year 1 and for year 2. What is portfolio volatility for year 1 and 2 combined?
If the mean return is not zero the formula of course has to take them into account - probably for the case of aapl.
Jan
14
answered I have portfolio volatility for year 1 and for year 2. What is portfolio volatility for year 1 and 2 combined?
Jan
11
awarded  Supporter
Jan
9
comment Research methodology of systematic strategies
Thanks for the input. I understand specific strategy is definitely not to be shared but the kind of thinking process maybe common.
Jan
6
asked Research methodology of systematic strategies
Dec
6
answered How to model natural gas forward price?
Nov
25
answered Mean reverting Indicator
Sep
24
awarded  Autobiographer
Jul
9
awarded  Teacher
Jul
9
comment Platform for Quantitative equity portfolio
ITG looks very promising as its system is backed up by quant research results. I am hoping the tool can provide some building blocks or some modules for quant research. Will appreciate if you know anything else relevant.