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bio website abremod.com
location Austin, TX
age 48
visits member for 3 years, 3 months
seen Dec 16 at 15:47

Operations Research Analyst


Dec
9
comment Min VaR and Min TE as second order cone program
@Richard my answer stays the same. Trading linearly constrained problem with a nonlinear objective for a nonlinearly constrained problem with a linear objective isn't progress. I suggest you take your current .mps file and try it with gurobi and cplex.
Dec
9
revised Market overview trading platforms (with OTC)
removed personal comment, spelling
Dec
9
suggested approved edit on Market overview trading platforms (with OTC)
Dec
8
comment Min VaR and Min TE as second order cone program
@Richard if you are using the built-in solver that comes with LINDO, then you can likely get at least a 10x speed-up with gurobi or cplex, even without improving your formulation. If you extract an .mps or .lp file, you can easily try the other solvers.
Dec
7
revised Min VaR and Min TE as second order cone program
added more details to the mixed-integer formulation
Dec
7
comment Min VaR and Min TE as second order cone program
@Richard linear problems with convex quadratic objectives are usually easier to solve than general SOCPs, but the gap is closing.
Dec
5
comment Min VaR and Min TE as second order cone program
@Richard It's possible that a continuous SOCP will solve faster than even a linear mixed-integer problem of similar size. It's probably not practical to model a problem with inherently discrete constraints as a continuous SOCP.
Dec
5
revised Min VaR and Min TE as second order cone program
added more details
Dec
5
revised Min VaR and Min TE as second order cone program
added an example
Dec
5
answered Min VaR and Min TE as second order cone program
Jan
30
revised What are the options for a mathematician to break into QF without working for a fund?
removed personal comment, grammar, formatting
Jan
30
suggested approved edit on What are the options for a mathematician to break into QF without working for a fund?
Oct
12
revised Searching for pairs-trading in sub O(n^2 t) time
removed personal comment, language
Oct
12
suggested approved edit on Searching for pairs-trading in sub O(n^2 t) time
Oct
5
revised Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
removed personal comment, spelling
Oct
5
suggested approved edit on Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
Sep
22
awarded  Yearling
Sep
20
revised Accounting for Withdrawals
removed personal comment, added tag
Sep
20
suggested approved edit on Accounting for Withdrawals
Sep
17
revised Calculate the “ten year zero rate” given two bonds with two prices
edited tags