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visits member for 3 years, 2 months
seen Apr 10 at 17:20

Apr
15
comment Mean reverting Indicator
:) good luck Zarbouzou, others have tried before you
Apr
15
revised Library to solve optimization problems
added 199 characters in body; added 2 characters in body
Apr
14
comment What types of neural networks are most appropriate for trading?
ok thnaks. would be interested to read more about your testing setup indeed.
Apr
14
answered Library to solve optimization problems
Apr
13
comment What types of neural networks are most appropriate for trading?
"Today, we use HCNN forecasts to predict prices for energy and precious metals to optimize the timing of procurement decisions." Who's "we"?
Apr
12
accepted better estimator of volatility for small samples
Apr
12
awarded  Scholar
Apr
12
accepted illiquid american options pricing
Apr
12
accepted Can the concept of entropy be applied to financial time series?
Apr
12
comment How does return-based analysis calculate expected return of a trading system?
@ MilkTrader. To answer specifically your question, I disagree. What counts is the number of times your indicator changes. Consider your strategy with milliseconds if you want, you won't change the fact that you have 10 trading decisions in 4 years
Apr
12
comment How does return-based analysis calculate expected return of a trading system?
I don't have access to the book, what is this test?
Apr
12
comment How to determine if one player moved a price
I guess you have to look at the ladder. But I'm not sure will give you here solutions for your problem
Apr
12
comment How does return-based analysis calculate expected return of a trading system?
If your position changed only 10 times in 4 years, I would be a bit worried about data mining
Apr
7
comment Good quant finance jokes
illiquid options theory required
Apr
5
revised penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
latex format
Apr
5
suggested suggested edit on penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
Apr
4
comment Trading C++ Libraries
C or C++? It is not the same
Apr
4
comment Role of skewness in portfolio optimization?
Type of portfolio optimization? Skewness of what? Can you detail a bit your question? It would help clarify it.
Apr
1
comment Can the concept of entropy be applied to financial time series?
just went through your first paper. Very good, thank you for the link
Apr
1
comment How does pair trading work?
but I agree with your point. One can create any quantitative strategy with two pairs.