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Tal Fishman

21:14

@SRKX are you here now?

SRKX

yep

finally

we meet live

Tal Fishman

so, looks like a bunch of ppl misunderstood my question

SRKX

I must say I'm a bit struggling to understand it myself

Tal Fishman

btw, your question on estimating volatility made me think of it

I edited it just now, is it clearer?

SRKX

not really to me, but maybe I just don't have the experience

Tal Fishman

21:18

well, if you ask about asset allocation, and you are working with daily data, this should be a problem you have encountered

SRKX

ah wait up

there is further info let me read again

ok I get it now

Tal Fishman

I think the title is bad, not sure how to rephrase

SRKX

the asset allocation I'm doing now is not rebalanced everyday, more like every month, so I don't really have to take timezones into account

what about "how to take into account changes that occurred while a market is closed?"

Tal Fishman

Then you probably also don't care how exactly you deal with local holidays.

SRKX

actually, I sometimes have time series which are slightly incomplete

Tal Fishman

21:22

why are they incomplete?

knowing may help answer ur question

SRKX

yet when you optimize over 8 months daily, and across 10-15 indices, you'd get a lot of holes when they're put altogether

the way the database and the data recovery was done was a bit dodgy and I have to take the data that's available to me

can we switch to a private room or something you think? (is this possible?)

Tal Fishman

I see

I think even if we switch to a "private" room, the conversation is still public

something about SE policy of complete openness

SRKX

yeah I feel a bit uncomfortable about that for some topics

(btw the title is better now)

how did you become moderator by the way? election or something right?

Tal Fishman

If you wish to say something to me privately, we can do it over e-mail.

or LinkedIn

SRKX

just sent you an invite on gmail chat

1 hour later…

Stack Exchange

22:35

Q: Would you be interested in a weekly topic challenge?

Would you be interested in a weekly topic challenge? What is it? Basically, every week we choose a topic to focus on and everyone tries to pitch in by asking a question on that topic. See this SO blog post about it: The Jewish Life and Learning community employs a unique means of encouragi...