At the end of 2022, I stopped actively contributing to this forum. I may still check in and answer a few questions from time to time.
I took particular pleasure in answering the following questions:
Realized GARCH & Linking realized measures to realized models.
Out-of-sample performance metrics & forecast comparison analyses for realized volatility.
Empirical evaluation of realized measures for out-of-sample forecasting.
Statistical methods to compare different portfolio rebalancing schemes.
Deriving the stochastic equations in "High frequency trading in the limit order book" by Avellaneda et al.
“The man who asks a question is a fool for a minute, the man who does not ask is a fool for life.”
×3Oct 31, 2021
Civic DutyJul 7, 2021
ExplainerApr 11, 2021
OrganizerJan 3, 2021