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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 11 months |
| seen | 19 hours ago | |
| stats | profile views | 5 |
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Jan 19 |
comment |
Sharpe ratio in days with no open positions @chrisaycock Sorry, I wasn't clear. I meant why not sum up the days you actually have open positions over the year and square root that sum. What would be the argument against that? Well obviously it would be a different measure.. |
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Jan 19 |
comment |
Sharpe ratio in days with no open positions This is not obvious to me even though I do just that myself (use sqrt(250)). Why couldn't you argue that one should use sqrt(days_in_the_market_per_year)? |
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Jul 13 |
awarded | Editor |
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Jul 13 |
revised |
Market microstructure knowledge corrected spelling error in title |
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Jul 13 |
suggested | suggested edit on Market microstructure knowledge |
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Apr 2 |
awarded | Critic |
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Mar 23 |
awarded | Teacher |
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Mar 23 |
answered | What is the impact of high-frequency trading on market depth, liquidity, and volatility? |
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Jan 7 |
comment |
Can you fully hedge an option in the presence of counterparty risk? Many OTC derivatives are collaterialized daily to make the default risk minimal. It's regulated in the Credit Support Annex (CSA) of a ISDA Master Agreement. I suppose you can call that 'hedging'. |
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Nov 30 |
comment |
How do you handle short-term asset allocation with Hedge-Funds? Yes, but I was curious about the ones which do not have indices or daily return series? |
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Nov 29 |
comment |
How do you handle short-term asset allocation with Hedge-Funds? Just curious, what other asset classes do you refer to? |
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Jun 17 |
awarded | Supporter |
