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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
Feb
1
comment How can I go about applying machine learning algorithms to stock markets?
@zubinmehta Thanks for admitting it. :) I guessed as much from your question. If that was possible, there would be a lot of rich people out there doing it. But it's much more of a black hole than you would hope. And once you understand how to do the analysis, applying it in a specific domain (e.g. finance) follows naturally.
Feb
1
revised Lévy alpha-stable distribution and modelling of stock prices.
added 170 characters in body
Feb
1
answered Lévy alpha-stable distribution and modelling of stock prices.
Feb
1
comment How can I go about applying machine learning algorithms to stock markets?
As a shameless plug, I recently started a guided tour of the above book on my blog if you want to follow along (statalgo.com/2011/01/29/…). I will be reproducing the major analysis from the book using R.
Feb
1
comment How do I price OANDA box options?
Raised a question on meta regarding whether this kind of question is appropriate: meta.quant.stackexchange.com/questions/16/…. Please provide your feedback!