6,082 reputation
12847
bio website statalgo.com
location New York, NY
age 35
visits member for 3 years, 8 months
seen Aug 4 at 22:49

Quantitative researcher focusing on statistics and machine learning methods in finance. Primarily use R, C++, Python, various databases (including OneTick and KDB), and LaTeX on a daily basis.


Oct
17
awarded  Enlightened
Oct
17
awarded  Nice Answer
Sep
30
awarded  Explainer
Jun
11
awarded  Nice Answer
Jan
31
awarded  Yearling
Nov
24
comment Long-term vs short-term strategies \ investing
Please clarify the question further. It's really unclear.
Nov
20
comment What are common methods for modeling intraday trading volume?
Awesome. Can't wait for your new book!
Nov
17
comment Correlated Wiener processes of different factors
This is a comment (or another question), not an answer.
Nov
7
revised Is the risk-reward ratio considered in Quantitative Finance?
added 309 characters in body
Nov
7
comment Is the risk-reward ratio considered in Quantitative Finance?
@MattWolf Not sure how you define "Quants", but it seems to me that this is at the heart of our field.
Nov
7
answered Is the risk-reward ratio considered in Quantitative Finance?
Nov
3
comment Implementing Orders with Interval Estimates
This is unclear to me. Can you provide more background/references?
Oct
31
answered Price functions based on order book events
Oct
30
revised How to compare volatility models?
added 434 characters in body
Oct
30
comment How to compare volatility models?
@user2763361 Others might disagree with me, but I view these questions as entirely different. One is about what models exist (both the question and answer) and the other is about how to compare the existing models.
Oct
30
comment How to compare volatility models?
@user2763361 Not duplicates; this is asking how to compare models, while that other question asks whether explicit models have been compared.
Oct
30
answered How to compare volatility models?
Oct
26
comment Market making: buy on bid/sell on ask
@LouisMarascio Wow...I didn't even notice that was reversed. That's insane. Would be nice if everyone did a little googling before asking a question.
Oct
26
revised Market making: buy on bid/sell on ask
Corrected confusion
Oct
25
answered Does HFT make sense in a pro-rata market?