Recent Content by bluelou

  1. My first post on ET in 5 years. Has the signal-to-noise ratio improved here? Thoughts?

    I actually think it's a bit better, or maybe I'm just participating in a smarter way. I've had a few substantive chats recently, where people...
    Post by: bluelou, Mar 4, 2021 in forum: Professional Trading

  2. Market data vendor

    I can't speak for US equities, but for CME IQ Feed has worked for me for years for L1. Great match to institutional benchmarks. No, I wouldn't...
    Post by: bluelou, Feb 11, 2021 in forum: Data Sets and Feeds

  3. Kelly Criterion & Risk Of Ruin As Risk Management Tool

    My choice of words wasn't helping. Sorry, I've made this more confusing than it needs to be. Let's start with an image. Looking at the previous...
    Post by: bluelou, Feb 10, 2021 in forum: Risk Management

  4. Kelly Criterion & Risk Of Ruin As Risk Management Tool

    "Increasing the risk aversion parameter (smaller Kelly fraction) would reduce the curvature of the risk-averse utility curve." My apologies, this...
    Post by: bluelou, Feb 9, 2021 in forum: Risk Management

  5. Market data vendor

    Have you benchmarked the data? What did you find? Thx.
    Post by: bluelou, Feb 9, 2021 in forum: Data Sets and Feeds

  6. Kelly Criterion & Risk Of Ruin As Risk Management Tool

    You're welcome. Regarding your examples, think of utility (e.g. Kelly) as _your_ risk preference. The examples you've described are _your_ risk...
    Post by: bluelou, Feb 8, 2021 in forum: Risk Management

  7. Market data vendor

    Has algoseek improved? I checked it out a few years ago and thought the CME Level 1 data was pretty low quality. IIRC, > 70% of the quote...
    Post by: bluelou, Feb 8, 2021 in forum: Data Sets and Feeds

  8. Kelly Criterion & Risk Of Ruin As Risk Management Tool

    The math and assumptions are critical when working with utility functions like the Kelly Criterion, but I think I can answer your questions by...
    Post by: bluelou, Feb 8, 2021 in forum: Risk Management

  9. Kelly Criterion & Risk Of Ruin As Risk Management Tool

    As a corollary, something rvince99 wrote earlier in this thread caught my attention. I haven't actually worked this out, but given logarithmic...
    Post by: bluelou, Feb 7, 2021 in forum: Risk Management

  10. Kelly Criterion & Risk Of Ruin As Risk Management Tool

    Maybe start with Kelly's original paper and/or just think through what Kelly proposed: maximize expected logarithmic utility given known and...
    Post by: bluelou, Feb 7, 2021 in forum: Risk Management

  11. Kelly Criterion & Risk Of Ruin As Risk Management Tool

    You might like what Aaron Brown has to say about 'risk ignition' in his book "Red-Blooded Risk'. He talks about maximizing position size when you...
    Post by: bluelou, Feb 6, 2021 in forum: Risk Management

  12. Kelly Criterion & Risk Of Ruin As Risk Management Tool

    Here's one of Vince's papers on the subject. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2577782 I don't think Vince's argument is that...
    Post by: bluelou, Feb 6, 2021 in forum: Risk Management

  13. QuantTerminal - anyone familiar with this platform? Thoughts good or bad?

    Update: I spoke with the owner of QuantTerminal (QT) yesterday after testing a demo version of the product. I liked what Daniel had to say and I...
    Post by: bluelou, Feb 2, 2021 in forum: Automated Trading

  14. Aspiring Quant

    First time I've seen anyone mention Chiang's book. I liked that one, had it in grad school.
    Post by: bluelou, Feb 1, 2021 in forum: Professional Trading

  15. Aspiring Quant

    ARPM is first-rate. I attended their week-long on-site program a few years ago. Risk probably employs more quants than the other areas. This is...
    Post by: bluelou, Jan 30, 2021 in forum: Professional Trading