1,166 reputation
726
bio website twitter.com/shabbychef
location San Francisco, CA
age 42
visits member for 3 years, 10 months
seen Nov 26 at 6:20

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


Feb
1
comment How are risk management practices applied to ML/AI-based automated trading systems
@Lirik these are very serious risks. Beyond that, I am not sure one will have much success e.g. trying to reverse-engineer a black box ML/AI system in order to detect when it has gone haywire. If you are just receiving the trades out of the thing, I am afraid there is not much one can do beyond checking concentration limits and leverage constraints.
Feb
1
answered How can I go about applying machine learning algorithms to stock markets?
Feb
1
asked How do you evaluate a covariance forecast?
Feb
1
comment How can I go about applying machine learning algorithms to stock markets?
survival analysis seems better suited for this kind of thing...
Feb
1
comment Approximately what proportion of a stock’s volatility is explained by market movement?
not a problem. I think I was looking less for 'the answer' (which I can figure out from the data), but for what experts believe, with a given amount of uncertainty on that belief.
Feb
1
answered What is a “coherent” risk measure?
Feb
1
comment Approximately what proportion of a stock’s volatility is explained by market movement?
my question is about the decomposition of variance of the stock returns. If you think about CAPM as a linear regression, I am looking for the $R^2$.
Feb
1
comment Why does the VIX index have *any* correlation to the market?
should there be an observable volume effect because of this? for example, should this imply a spike in trading volume or interest when volatility spikes up?
Feb
1
answered How are risk management practices applied to ML/AI-based automated trading systems
Feb
1
comment How are risk management practices applied to ML/AI-based automated trading systems
This form of the Kelly criterion seems only appropriate for binary outcomes.
Feb
1
comment How to calculate future distribution of price using volatility?
The volatility scales as the square root of time. So in one month, you would have $\sigma / \sqrt{12}$, not $\sigma / 12$. This has nothing to do with being log normal, though.
Feb
1
awarded  Teacher
Feb
1
answered How to calculate future distribution of price using volatility?
Feb
1
asked Is there a standard model for market impact?
Jan
31
asked Why does the VIX index have *any* correlation to the market?
Jan
31
awarded  Student
Jan
31
asked Approximately what proportion of a stock’s volatility is explained by market movement?
Jan
31
asked is beta of a portfolio always meaningful?
Jan
31
awarded  Supporter
Jan
31
awarded  Autobiographer