Michael WS
  • Member for 10 years, 4 months
  • Last seen more than a month ago
What is the best data structure/implementation for representing a time series?
11 votes

I really wouldn't implement time series on my own unless I had a good reason to. AQR uses pandas, almost everyone in R using zoo or xts. I never like multiple parallel arrays, if it breaks ...

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Appropriate method for calculating negative returns on a trading strategy?
4 votes

For me, I would calculate daily returns for such a series by backing out the daily PnL and dividing by some volatility number. lets define your cumsum as "c_pnl": daily_pnl = c_pnl - [0; c_pnl(1:...

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What is a sound way to project Company X's earnings over the next Y years?
4 votes

Most of these models would be very industry specific, but there is never going to be a default way to estimate earnings. Banks are very descriptive of these earnings models. I would start with an ...

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How much data is needed to validate a short-horizon trading strategy?
4 votes

I would also note that you need to watch out for correlations between data points. (EG ,if you have a data point proving this works for oil company x. Another data point for oil company y may not ...

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Which lags or percentiles should be run in a batch when calculating Value-at-Risk?
3 votes

I think time length should very dependent on the holding period you are looking at.(This is at least how we handle) For example, if you turn your book every ten minutes, a 6 month time frame could be ...

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Cross validation of a garch model
2 votes

My guess would be most people approach this using rolling regressions. My approach would be to generate a matrix using all the lookbacks that you want to predict the present on each row and a ...

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API to perform queries on stocks and financial derivatives
1 votes

Try the yahoo screener: http://screener.finance.yahoo.com/newscreener.html The java version will run on windows/osx/linux and you can download to a csv. Edit: the java version no longer works. This ...

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News on ETF sector performance
1 votes

Briefing.com has an api and ravenpack has data as well to find news for stocks that are members of indices.

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Analyst Forecasts for monthly unemployment rate
1 votes

Haver analytics has this data, though its not cheap

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BSYM for historical tickers
1 votes

bloomberg symbology returns the last known ticker and associates that with a bbgid. They do not release all of the associated tickers with data. There is no way of finding out all of the historical ...

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Is it better to grade hedging strategies based on the sum of absolute or squared hedging errors?
0 votes

Honstly, I have to disagree. I would almost always prefer sum of errors instead of squared sum of errors unless my holding periods were very short. There is a good amount of vol in (especially ...

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