6,082 reputation
12847
bio website statalgo.com
location New York, NY
age 35
visits member for 3 years, 9 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
3
answered What is the role of stochastic calculus in day-to-day trading?
Feb
3
comment What are the key risks to the quantitative strategy development process?
@Dirk Yes, but I'm doing a little SEO for our site. :)
Feb
3
comment What are the key risks to the quantitative strategy development process?
@Zarbouzou Sounds like a good new question to ask. :)
Feb
3
comment What are the key risks to the quantitative strategy development process?
+1 This is a great list, thanks for providing it.
Feb
3
comment Trading a synthetic replication of the VIX index
@pteetor + $\infty$
Feb
3
revised How to calculate future distribution of price using volatility?
added 2 characters in body; edited body
Feb
3
comment What are the popular methodologies to minimize data snooping?
@Zarbouzou I posted a follow up question here: quant.stackexchange.com/questions/147/…. Maybe provide an answer on this distinction there?
Feb
3
asked What are the key risks to the quantitative strategy development process?
Feb
3
comment What are the popular methodologies to minimize data snooping?
@Zarbouzou I would be interested to know more about what you mean there. Maybe either add a new answer or edit your question to go into more detail about this distinction?
Feb
3
comment What are the popular methodologies to minimize data snooping?
Do you view data snooping as different than overfitting?
Feb
3
comment Trading a synthetic replication of the VIX index
@pteetor Just to add one final comment: I think that you've already listed the primary vehicles (futures, ETF's) for this. Short of either (a) doing a swap or (b) developing an algorithm, I think that you may be out of options. :)
Feb
3
comment What are the popular methodologies to minimize data snooping?
For reference: your answer here would generally be better as a comment on an existing answer.
Feb
3
comment What are the popular methodologies to minimize data snooping?
You will always have variance in your out of sample performance because the future isn't exactly like the past. There's a reason that this is hard.
Feb
3
comment Trading a synthetic replication of the VIX index
@pteetor Great point. I have heard of short term strategies that trade the S&P that replicate this, but I'm not going to venture into how that can be done (assuming that it's even desirable). My other suggestion: you would need to be an institutional investor (with an ISDA), but you might be able to do a variance swap with a bank based on the VIX.
Feb
3
answered Trading a synthetic replication of the VIX index
Feb
3
revised What are the popular methodologies to minimize data snooping?
added 201 characters in body
Feb
3
comment Trading a synthetic replication of the VIX index
@barrycarter He mentions the VIX futures in the second paragraph, so I would infer that he's familiar...
Feb
3
answered What are the popular methodologies to minimize data snooping?
Feb
2
awarded  Nice Answer
Feb
2
awarded  Suffrage