Suminda Sirinath Salpitikorala

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visits member for 2 years, 11 months
seen Mar 14 at 4:38

Feb
15
awarded  Necromancer
Jan
21
awarded  Nice Question
Oct
30
awarded  Popular Question
Jun
30
comment Volatility-Based Envelopes
You can ask the author himself. His email is: Mohamed El Saiid <melsaiid@hc-si.com>
May
16
accepted What are the differences between CFD and SSF?
May
16
asked What are the differences between CFD and SSF?
May
9
awarded  Popular Question
Apr
5
answered What data sources are available online?
Nov
5
accepted How to create a Stochastic Process through pre specified points?
Sep
7
awarded  Nice Question
Jun
11
comment How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
Calculate SR. The SE is given in Eq (9). To get the t-stat SR / SE(SR). Note the T in the Eq. is sample size. I hope this helps.
Jun
10
answered Why isn't all market data free?
Jun
10
answered How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
Jun
3
comment What is a good broker for HFT?
Is Genesis closing its business?
May
27
accepted How to annualize intra-day volatility on minute data?
May
23
awarded  Yearling
Feb
25
awarded  Critic
Feb
25
comment copula-marginal algorithm
Is it possible to give more citation that Meucci's article as requested in the question? This will be very much appreciated.
Feb
13
comment How to model the daily return using intraday data?
@ chrisaycock I am trying to answer you 1st comment to my answer. @ SRKX this is back ground stuff. I took for grant that these are things should be know in the back of your head if you have worked with log returns. The question is simple to merit a longer answer also. In my previous job these kind of stuff as discussed in introductory trainings.
Feb
12
comment How to model the daily return using intraday data?
r(T) = exp(r(0) + ... + r(T)) = exp(r(0) * ... * exp(r(T)) is a typo. This should read as: r(T) = r(0) + ... + r(T) = ln(exp(r(0) + ... + r(T))) = ln(exp(r(0) * ... * exp(r(T)))