Suminda Sirinath Salpitikorala

369 reputation

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visits	member for	2 years
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	369 reputation	bio	website		visits	member for	2 years
19 badges		location			seen	14 hours ago

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May 16	asked	Why was SSF and Futures on Stocks Banned in US Until Recently
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)))
Feb 12	suggested	suggested edit on How to model the daily return using intraday data?
Feb 12	revised	How to model the daily return using intraday data? added 45 characters in body
Feb 12	comment	How to model the daily return using intraday data? E[r(T)] = S * meu * T should read as E[r(T)] = meu * T and E[r(t)] = S * meu * t should read as E[r(T)] = meu * t. Above is a typo.