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dm13450

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Quant http://dm13450.github.io/

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dm13450.github.io 6d ago

A Statistical FX Factor Model

dm13450
1pts0
dm13450.github.io 2mo ago

The Joys of Free Cloudflare

dm13450
1pts0
dm13450.github.io 2mo ago

A Fundamental FX Factor Model

dm13450
1pts0
dm13450.github.io 4mo ago

Making Sense of the DXY

dm13450
10pts2
dm13450.github.io 8mo ago

Premier League Survival – How Many Points Are Enough?

dm13450
1pts0
dm13450.github.io 1y ago

Fitting Price Impact Models

dm13450
1pts0
dm13450.github.io 1y ago

Importance Sampling, Reinforcement Learning, Getting More from the Data You Have

dm13450
2pts0
dm13450.github.io 1y ago

Alpha Capture and Acquired

dm13450
1pts0
dm13450.github.io 2y ago

Solving the Almgren Chris Model

dm13450
2pts0
dm13450.github.io 2y ago

Currency Hedging and Principal Component Analysis

dm13450
1pts0
dm13450.github.io 3y ago

A Quants Approach to Running

dm13450
3pts0
questdb.io 4y ago

A tour of high-frequency finance via the Julia language and QuestDB

dm13450
3pts0
cryptoliquiditymetrics.com 5y ago

Crypto Liquidity Metrics

dm13450
1pts0
www.stocksheriff.io 5y ago

Show HN: Stocksheriff.io Make sure your broker is getting a good price

dm13450
2pts0
dm13450.github.io 6y ago

Alphavantage.jl – Getting Market Data into Julia

dm13450
2pts0
dm13450.github.io 6y ago

State of the Market – Infinite State Hidden Markov Models

dm13450
2pts0
dm13450.github.io 7y ago

Benchmarking maps, loops, generators and broadcasting in Julia

dm13450
1pts0
dm13450.github.io 7y ago

A year ago the VIX blew up. Extreme value theory shows this wasn't unexpected

dm13450
1pts0

Minor point, but when calculating the avg_diff_price for $GME you should be calculating a return (close-open)/open otherwise days where the stock went from 100 to 105 (5% increase) look the same as days when it went from 5 to 10 (100% increase).

Likewise, when calculating the correlations, that should be done on returns and not prices.