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Mar
21
awarded  Notable Question
Feb
6
awarded  Popular Question
Feb
1
awarded  Yearling
Oct
30
awarded  Popular Question
Jul
22
awarded  Good Question
Feb
1
awarded  Yearling
Dec
14
awarded  Popular Question
Oct
14
awarded  Popular Question
Oct
2
comment Running a simple alpha estimation test for statistical significance of a signal
They way you ask your question makes me think that you are looking for somekind of bootstrap test. A related paper on that would be : Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev. Of course this will not actually tell you if you have found alpha. For this I think you should be looking at parametrical test.
Sep
23
reviewed Approve suggested edit on Hedging stocks with VIX futures
Sep
21
awarded  Custodian
Aug
15
reviewed Approve suggested edit on portfolio optimisation with VaR (or CVaR) constraints
Jul
29
comment Is it more accurate to analyze returns on a calendar day basis than a trading day basis?
Agree with @chrisaycock and JL344. It is definetly not standard but assuming friday to monday returns come from the same distribution as thursday to friday is a bit insane. (most people might be)
Jul
17
comment Multilayer Perceptron (Neural Network) for Time Series Prediction
@lehalle excellent answser
Jul
5
comment How to better understand trading signals?
The problem with Principle component analysis is that you moght lose information about what really drives your returns. Also as a rule of thumbs, before assuming that you have a non linear relationship make sure that a linear methods realy results in underfitting your problem. If you want to reduce the number of variables you could use shrinkage regression for example.
Jun
21
comment How does Cornish-Fisher VaR (aka modified VaR) scale with time?
Have you tried to do the calculation yourself? In the case of IID returns it shouldn't be too complicated. Write log returns of aggredated returns as the sum of individual log returns. Then calculate the skewness and Kurtosis of the sum.
Jun
10
comment How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
It also has to be done that way because almost everyone out there is doing it on daily returns. This enables clearer comparisons between strategies.
Jun
2
awarded  Enthusiast
May
30
accepted Optimal execution and reinforcement learning
May
29
revised Optimal execution and reinforcement learning
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