3,581 reputation
1227
bio website dirk.eddelbuettel.com
location Chicago, IL
age
visits member for 3 years, 10 months
seen Dec 8 at 12:07
  • See my blog for some updates on what I've been up to.
  • Sometimes I tweet using the @eddelbuettel tag.

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?
Feb
8
answered Is Scala used in trading systems
Feb
8
comment What are the ensemble techniques to forecast returns?
Good question, and no clear suggestion. Maybe read up a little and then come back with a more pointed question on consensus forecasts, forecast pooling, ... ?
Feb
8
awarded  Critic
Feb
8
answered QuantLib in industry
Feb
8
comment QuantLib in industry
Dude you entirely missed the question. May we remind you of Wittgenstein's Axiom 7 ?
Feb
8
revised What are the ensemble techniques to forecast returns?
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Feb
8
answered What are the ensemble techniques to forecast returns?
Feb
7
revised What's the difference between volatility and variance?
added 454 characters in body
Feb
7
answered What's the difference between volatility and variance?
Feb
7
awarded  Beta
Feb
7
revised How does the “risk-neutral pricing framework” work?
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Feb
6
awarded  Nice Answer
Feb
5
awarded  Nice Question
Feb
5
answered What are the limitations of Gaussian copulas in respect to pricing credit derivatives?