6,092 reputation
12848
bio website statalgo.com
location New York, NY
age 35
visits member for 3 years, 10 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.


Feb
8
comment Categories of systematic trading strategies?
@Michael I don't know what to do with this question: it seems so wrong on so many levels based on being (a) too introductory and (b) asking about specific strategy development, but on the other hand it does seem like there should be a correct answer (i.e. there are families of quantitative trading strategies: just ask any fund-of-fund's analyst for a set of definitions, and there will be general agreement). @Terco: Please try to rephrase your question to be more general and objective, or else I might edit it for you. :)
Feb
8
revised Categories of systematic trading strategies?
edited tags
Feb
8
comment How significant is slippage in a successful quant fund?
IMO, this question is impossible to answer. There is no "typical" amount, certainly not that anyone here could address. Please try rephrasing it in terms like "how important is slippage in [specific area] quantitative equity trading and what techniques are used to address it?"
Feb
8
comment QuantLib in industry
I think that this question is basically impossible to answer and so I'm voting to close. I particularly take issue with the concept of "street cred". Raised on meta: meta.quant.stackexchange.com/questions/54/…
Feb
8
comment Wealth Management Vs Asset Management
Removed the "general" tag because meta tags are discouraged on StackExchange.
Feb
8
revised Wealth Management Vs Asset Management
edited tags
Feb
8
comment Wealth Management Vs Asset Management
Started a discussion about whether this should be within the scope: meta.quant.stackexchange.com/questions/51/…
Feb
8
reviewed Approve suggested edit on Wealth Management Vs Asset Management
Feb
8
comment How do strategies deal with corporate actions?
I am certainly in full agreement with your last point.
Feb
8
comment What concepts are the most dangerous ones in quantitative finance work?
@user212 What evidence?
Feb
7
reviewed Approve suggested edit on Solving Path Integral Problem in Quantitative Finance using Computer
Feb
7
comment What is a stationary process?
I just think that it's something visual which can be understood easily, which is why I provided it.
Feb
7
awarded  Beta
Feb
7
comment What is a stationary process?
I don't remember saying anything about independence...
Feb
7
awarded  Nice Question
Feb
7
revised What is the intuition behind cointegration?
added 169 characters in body
Feb
7
revised What is the intuition behind cointegration?
added 303 characters in body; added 164 characters in body
Feb
7
comment What is the intuition behind cointegration?
I agree completely and gave you a +1. Your answer was spot on for the question.
Feb
7
answered What is the intuition behind cointegration?
Feb
7
comment Deterministic interpretation of stochastic differential equation
Your chances of getting an answer might increase if you split these questions up. I often find people can be intimidated by too many questions on here.