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.


Aug
1
asked How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
Jun
25
answered How to annualize Sharpe Ratio?
Jun
24
answered Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
Nov
9
answered What papers have progressed the field of quantitative finance in recent years (post 2000)?
Nov
8
answered How to combine multiple trading algorithms?
Nov
8
asked What are some common models for one-sided returns?
Sep
7
asked How can one compute the Greeks on VIX Futures
Jul
31
answered Question about equations and risk factors.
Jun
15
answered Using linear regression on (lagged) returns of one stock to predict returns of another
May
1
asked Should Sharpe ratio be computed using log returns or relative returns?
Mar
23
answered How to perform risk factor calculation?
Mar
3
answered estimating the accuracy of a method for forecasting the distribution
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
answered How to combine various equity measures into a single measure (vector magnitude)
Feb
4
answered What are the popular methodologies to minimize data snooping?
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
answered What is a “coherent” risk measure?
Feb
1
answered How are risk management practices applied to ML/AI-based automated trading systems