1,176 reputation
1926
bio website twitter.com/shabbychef
location San Francisco, CA
age 43
visits member for 4 years, 1 month
seen Mar 3 at 0:14

matlab/stats/linux nerd. proud, sleepless, new parent. HCSSiM alum. faking it as a quantitative analyst at a small quant fund in San Francisco.


Mar
9
accepted Is there a standard model for market impact?
Mar
3
answered estimating the accuracy of a method for forecasting the distribution
Mar
1
awarded  Enthusiast
Feb
23
revised Price of Brent versus West Texas Intermediate
latex escaping dollar signs; still renders poorly, tho
Feb
23
suggested approved edit on Price of Brent versus West Texas Intermediate
Feb
20
comment How would you test the hypothesis “There are no idiosyncratic returns available in the market”?
It seems for either of the two proposed tests I will have to correct for the correlation of stocks returns to each other (beyond just via the market) and possibly make some correction for multiple hypothesis tests. I was hoping for a more consolidated approach that looked at all stocks returns simultaneously. The graph presented with the commentary is supposed to be illustrative, I guess, but I am not sure what it tells me.
Feb
20
revised How would you test the hypothesis “There are no idiosyncratic returns available in the market”?
i can unredundant my english
Feb
18
asked How would you test the hypothesis “There are no idiosyncratic returns available in the market”?
Feb
8
answered Expected Growth
Feb
7
awarded  Beta
Feb
7
answered How to combine various equity measures into a single measure (vector magnitude)
Feb
6
comment How to combine various equity measures into a single measure (vector magnitude)
What is the purpose of combining them?
Feb
6
accepted How do you evaluate a covariance forecast?
Feb
4
answered What are the popular methodologies to minimize data snooping?
Feb
4
awarded  Editor
Feb
4
revised How do you evaluate a covariance forecast?
added 746 characters in body
Feb
4
awarded  Scholar
Feb
4
accepted Why does the VIX index have *any* correlation to the market?
Feb
3
comment How are risk management practices applied to ML/AI-based automated trading systems
@Lirik: no, I am thinking about what happens after 6 months of paper trading with mediocre results. Does one give up on finance and become a plumber? Or does one fiddle around with the algorithm, the data, etc? You always have only the data you have today, when you are deciding what to trade tomorrow. If you have any choice and the historical data guides that choice, you have datamining bias.
Feb
2
awarded  Commentator