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Python and R


Oct
31
revised Best way to store hourly/daily options data for research purposes
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Oct
31
revised Best way to store hourly/daily options data for research purposes
added 83 characters in body
Oct
29
revised Best way to store hourly/daily options data for research purposes
added 222 characters in body
Oct
29
answered Best way to store hourly/daily options data for research purposes
Sep
24
awarded  Autobiographer
Apr
20
awarded  Necromancer
Mar
9
awarded  Nice Question
Feb
28
awarded  Notable Question
May
22
awarded  Nice Question
Apr
11
awarded  Popular Question
Jan
18
awarded  Popular Question
Dec
3
revised Time series of PCA - Sign change in factor loadings
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Dec
3
answered Time series of PCA - Sign change in factor loadings
Jun
3
awarded  Yearling
Sep
1
accepted How do I eliminate developed currency funding cross rate risk in an EMFX position?
Sep
1
comment How do I eliminate developed currency funding cross rate risk in an EMFX position?
Thanks - it's what I suspected. I'll look at Stock & Watson. I think the multiple regression route that I suspected is the way to go. I am going to have to look at the multicolinearity aspects though if I include a lot of other EMFX in there. Perhaps a PCA first?
Sep
1
comment How do I eliminate developed currency funding cross rate risk in an EMFX position?
Yep - not looking at the rates - could use IRS too of course. or fund bonds in FX forwards or repo. Looking for the pureplay on ZAR so your last para kind of answers the question.
Aug
22
comment How do I eliminate developed currency funding cross rate risk in an EMFX position?
That is wrong for the following reason. If I have a view on the South African rand, for whatever reason, I do not want to trade EURUSD. Yet there is a high correlation between USDZAR and EURUSD. Thus even though I am benchmarked in USD, trading USDZAR gives me EURUSD risk. Indeed USDZAR contains a whole bunch of other risks too, including SPX, bonds, BRICS etc etc. What I want to do is isolate out the ZAR specific risk, so that I can trade a pureplay on South African fundamentals or technicals. I am seeking a generalised technique to isolate a pureplay on a currency (or indeed on any series)
Aug
19
comment How do I eliminate developed currency funding cross rate risk in an EMFX position?
nothing wrong. Bloomberg has a correlation weighted set of indices (BCWI <go>} but they average the weights on each optimal basket - which to me doesn't make a huge amount of sense - takes away from the pureplay of each currency as we deviate from its optimal weights. I was just wondering at the time if there was something more interesting being done out there. I have gone with PCA bloomberg-style, without weight averaging.
Aug
16
accepted How to derive the implied probability distribution from B-S volatilities?