matlh + stats hacker, faking it in R; father of boys; HCSSiM alum, CMU grad, postdoc survivor; former ML quant now working in the movies.
15 Approximately what proportion of a stock’s volatility is explained by market movement? Jan 31 '11
14 is beta of a portfolio always meaningful? Jan 31 '11
14 Is there a standard model for market impact? Feb 1 '11
14 How do you evaluate a covariance forecast? Feb 1 '11
11 How would you test the hypothesis “There are no idiosyncratic returns available in the market”? Feb 18 '11
11 How can one compute the Greeks on VIX Futures Sep 7 '11