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visits member for 3 years, 8 months
seen 2 days ago

Jan
28
awarded  Critic
Sep
18
comment How to identify technical analysis chart patterns algorithmically?
Worse than random . . . hmm . . . worth shorting? :p
Sep
15
comment How useful is the genetic algorithm for financial market forecasting?
@BoinformaticsGal I don't understand how the inclusion of mutation functions allows us to avoid data snooping. After the search, there's a fitness function which makes each generation 'fit' the data ever more. Or am I not understanding you correctly?
Sep
15
awarded  Scholar
Sep
15
comment Time Series Regression with Overlapping Data
Tal, Louis thanks.
Sep
15
accepted Time Series Regression with Overlapping Data
Jun
13
answered Using linear regression on (lagged) returns of one stock to predict returns of another
Apr
12
awarded  Student
Mar
16
asked Time Series Regression with Overlapping Data
Feb
6
comment Is there a way to estimate (predict) the half life of a quantitative trading system?
Thanks. I got the 'impossibility' or proof-by-contradiction sense of it, but I was hoping to extract technical wisdom from Dirk :-)
Feb
4
awarded  Supporter
Feb
4
comment Is there a way to estimate (predict) the half life of a quantitative trading system?
Dirk, I am curious about how you would go about defining a meta-model of the market as a whole. If there 'exists' a meta-model 'out there', what features would it have?
Feb
1
awarded  Teacher
Feb
1
answered What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?