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 Tumbleweed
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  • 22 votes cast
Nov
25
awarded  Tumbleweed
Nov
18
asked Constrained portfolio optimization - orthogonalize factor exposure
Nov
6
answered SVI calibration, why fit to option prices and not implied volatilities
Sep
24
comment Does Kalman filter always improve over linear regression?
Thanks LazyCat. The book you mentioned looks very good so I just ordered one copy.
Sep
22
awarded  Commentator
Sep
22
revised Does Kalman filter always improve over linear regression?
added 124 characters in body
Sep
22
comment Does Kalman filter always improve over linear regression?
Thanks for the insights Craig. I think I understand but do you mind to elaborate on "exponential smoothing of the coefficients for random walk coefficients"?
Sep
21
asked Does Kalman filter always improve over linear regression?
Aug
17
asked Is there any application of power law to predict large returns?
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.