3,528 reputation
1126
bio website dirk.eddelbuettel.com
location Chicago, IL
age
visits member for 3 years, 8 months
seen 1 hour ago
  • See my blog for some updates on what I've been up to.
  • Sometimes I tweet using the @eddelbuettel tag.

Feb
19
answered Technology stack used in Bloomberg
Feb
12
answered Statistical learning libraries
Feb
11
comment Free data on swap options
Thanks for the RQuantLib plug.
Feb
11
awarded  Enlightened
Feb
11
awarded  Nice Answer
Feb
11
answered Training set of tick-by-tick data?
Feb
10
comment Proving Random Walk Hypothesis in Stock Market
Thanks -- you're probably right, my copy is at home.
Feb
10
revised Is variable binning a good thing to do?
added 228 characters in body; added 163 characters in body
Feb
10
comment Is variable binning a good thing to do?
You should probably look at the slides, or watch the video, for details.
Feb
10
answered Is variable binning a good thing to do?
Feb
10
answered Proving Random Walk Hypothesis in Stock Market
Feb
9
awarded  Talkative
Feb
9
comment What is a Structurer?
Seconded, this is not a helpful question.
Feb
9
awarded  Commentator
Feb
9
comment Is there a technique for using xts or zoo objects with options data (i.e., many entries per date) in R?
Related: Jeff Ryan, who wrote xts, also wrote indexing and mmap so ... that he could use lightning fast indexing (think KDB or OneTick) directly in (binary) R data structures. He presented about that at last year's R/Finance conference but used a 'movie' on his macbook to show the speed, so the slides don't fully do it justice.
Feb
9
comment Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
Because some papers stipulate an abstract concept ("representative invenstor") that is useful in an economic model does not make it observable---so still no way to estimate this as you had asked. Secondly, per EMH :), if this was as easy to pull together as you seem to imagine ... some sell-sider (or academic economist) would have done so. So I stand behind my No you can't.
Feb
9
comment Any research on how natural language processing can be used to forecast stocks?
The twitter thing was UK-based both for the underlying papers and the fund.
Feb
9
answered Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
Feb
8
comment Is the Interactive Brokers API suitable for hft?
possible duplicate of What is best trading API for hft
Feb
8
answered How 'High' is the frequency in HFT?