meta user
network profile
| bio | website | twitter.com/shabbychef |
|---|---|---|
| location | San Francisco, CA | |
| age | 41 | |
| visits | member for | 2 years, 3 months |
| seen | May 1 at 17:00 | |
| stats | profile views | 176 |
matlab/stats/linux nerd. proud, sleepless, new parent. HCSSiM alum. faking it as a quantitative analyst at a small quant fund in San Francisco.
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May 15 |
awarded | Nice Question |
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Apr 18 |
awarded | Popular Question |
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Feb 26 |
comment |
How are risk management practices applied to ML/AI-based automated trading systems @wonghang at the current point in time you have to decide how to deploy your money over the next time delta. You can use all the data available to you to both select the best model and estimate its performance. If you do so, your estimate of performance is biased upwards 'by selection.' You can instead partition the data into two sets, one for selection, the other for estimation. This increases the chance of making a selection error and increases the standard error on your performance measure. Representation length can easily be confounded by introns, BTW ... |
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Jan 31 |
awarded | Yearling |
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Jan 4 |
awarded | Popular Question |
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Oct 22 |
awarded | Taxonomist |
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Oct 14 |
awarded | Popular Question |
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Aug 2 |
revised |
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? clarify who the target audience is. |
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Aug 1 |
comment |
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? @Freddy I don't believe it either, and find it absurd. The number is from a backtest performed by a third party. My job is to convince someone that this figure is suspiciously high. If I just tell them I think it is too high, it is my word against someone else's. This is why I am looking for a published account that, presumably, has been vetted and is representative of achieved performance. |
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Aug 1 |
asked | How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? |
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Aug 1 |
awarded | Popular Question |
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Jun 30 |
comment |
Can social media be applied to algorithmic trading? The Bollen paper is very dubious; it has been thoroughly discredited here: sellthenews.tumblr.com/post/21067996377/noitdoesnot |
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Jun 25 |
answered | How to annualize Sharpe Ratio? |
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Jun 24 |
answered | Should I use an arithmetic or a geometric calculation for the Sharpe Ratio? |
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Apr 27 |
revised |
Is there an optimal covariance one would want forecasts to have? latexification |
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Apr 12 |
awarded | Nice Answer |
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Jan 31 |
awarded | Yearling |
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Dec 16 |
awarded | Nice Question |
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Dec 11 |
awarded | Nice Question |
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Nov 9 |
answered | What papers have progressed the field of quantitative finance in recent years (post 2000)? |
