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  1. Any good book on Statistical Arbitrage?

    Hi Matt, Can you tell us which topic exactly talks about daily vs overnight ranges in gummy? As you know, his site has many topics and I...
    Post by: ezbentley, Jun 7, 2009 in forum: Strategy Building

  2. Any good book on Statistical Arbitrage?

    I think the seeming paradox(to me at least) is that constructing a basket of component stocks and trade them against the ETF is fundamentally...
    Post by: ezbentley, Jun 4, 2009 in forum: Strategy Building

  3. Any good book on Statistical Arbitrage?

    So I was studying epchan's blog on pairs trading and came across this interesting paradox that a reader and him discussed in this post:...
    Post by: ezbentley, Jun 3, 2009 in forum: Strategy Building

  4. Any good book on Statistical Arbitrage?

    Hi, I understand that "linear correlation coefficient" is not a good measure of mean reversion. That's why I was asking about "Spearman Rank...
    Post by: ezbentley, Jun 2, 2009 in forum: Strategy Building

  5. Any good book on Statistical Arbitrage?

    Hi Matt, I am wondering if you can share some insight regarding the effectiveness of cointegration vs Spearman Rank Correlation in pairs...
    Post by: ezbentley, Jun 2, 2009 in forum: Strategy Building

  6. Any good book on Statistical Arbitrage?

    Besides MATLAB, is there any other software that can analyze cointegration with reasonable programming effort? Cointegration calculation seems...
    Post by: ezbentley, Jun 1, 2009 in forum: Strategy Building

  7. What's the difference between trader and portfolio manager?

    Hi Eric, What you said here is part of the reason that motivated me to ask this question in the beginning. It seems that the institutions would...
    Post by: ezbentley, May 29, 2009 in forum: Professional Trading

  8. Risk tools other than VAR

    Hi sjfan, Can you elaborate on maximum draw down distribution? Is there an analytical way to find it or do you have to rely on simulations?...
    Post by: ezbentley, May 28, 2009 in forum: Risk Management

  9. How is "money management" for traders different from large fund management firms?

    It seems like you are not a fan of Kelly. Can you share what other methods you think are better or more practical in terms of "real-world"...
    Post by: ezbentley, May 20, 2009 in forum: Risk Management

  10. How is "money management" for traders different from large fund management firms?

    Thanks for the clarification. I understand that you can get skewed profit distribution in your favor by using derivatives. But he specifically...
    Post by: ezbentley, May 19, 2009 in forum: Risk Management

  11. How is "money management" for traders different from large fund management firms?

    I am totally lost here. Is this some "trade secret" that you cannot discuss in public? Or is it some kind of betting/position sizing scheme?...
    Post by: ezbentley, May 19, 2009 in forum: Risk Management

  12. How is "money management" for traders different from large fund management firms?

    Dynamic sizing based strategy on equities? Can anyone enlighten me with just the general concept how it can maximize winning %?
    Post by: ezbentley, May 19, 2009 in forum: Risk Management

  13. How is "money management" for traders different from large fund management firms?

    I have read about mean-variance optimization that involves correlation, but I am not an expert. So I am here mainly to learn from other experts.
    Post by: ezbentley, May 19, 2009 in forum: Risk Management

  14. How is "money management" for traders different from large fund management firms?

    I think correlation is used in classical mean-variance allocation optimization. If you don't use correlation in asset allocation, I am curious...
    Post by: ezbentley, May 18, 2009 in forum: Risk Management

  15. What's the difference between trader and portfolio manager?

    I think the last post by sjfan summarized this thread pretty well. My original goal very early on was to "make it" as an individual trader. As I...
    Post by: ezbentley, May 18, 2009 in forum: Professional Trading

  16. How is "money management" for traders different from large fund management firms?

    I totally agree. I would even go as far as to say that all the financial models are never wrong. It is the people who mis-use them who are wrong....
    Post by: ezbentley, May 18, 2009 in forum: Risk Management

  17. How is "money management" for traders different from large fund management firms?

    Thanks for the book review dtrader98. Btw where did you learn about the historical background of Simons? He is so secretive that I have only seen...
    Post by: ezbentley, May 18, 2009 in forum: Risk Management

  18. How is "money management" for traders different from large fund management firms?

    Hi dtrader98, Just for the record, I have read Pounderstone's Fortune's Formula and just re-checked again. In that book, he never made the...
    Post by: ezbentley, May 18, 2009 in forum: Risk Management

  19. What's the difference between trader and portfolio manager?

    sjfan's point is well taken. Being an outsider myself, even though I work hard on self-study, I do consider going back to school or take some...
    Post by: ezbentley, May 18, 2009 in forum: Professional Trading

  20. How is "money management" for traders different from large fund management firms?

    One of the main motivation for me to initiate this question is that, the concept of Kelly Criterion, Optimal f, geometric growth...etc, all seem...
    Post by: ezbentley, May 18, 2009 in forum: Risk Management
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