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network profile
| bio | website | statalgo.com |
|---|---|---|
| location | New York, NY | |
| age | 34 | |
| visits | member for | 2 years, 3 months |
| seen | Apr 14 at 18:57 | |
| stats | profile views | 599 |
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.
- Twitter: @statalgo
- Blog: http://www.statalgo.com (largely inactive)
- Former moderator on data analysis stack exchange site: http://stats.stackexchange.com/
- Proposer of Quantitative Finance stack exchange site: http://area51.stackexchange.com/proposals/117/quantitative-finance?referrer=EZoOPpokWeo1
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Feb 1 |
answered | Are there any good tools for back testing options strategies? |
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Feb 1 |
awarded | Mortarboard |
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Feb 1 |
comment |
How does pair trading work? I don't disagree, but during the private beta we really want to have high quality questions and answers to set a precedent for the rest of the site. I think that you can just expand a little on your question and improve it in the process... |
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Feb 1 |
comment |
Mean reverting strategies "Those who say don't know. Those who know don't say. Lao-tzu, Tao Te Ching" |
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Feb 1 |
comment |
How does pair trading work? See wikipedia: en.wikipedia.org/wiki/Pairs_trade. Can you try to put a little more effort into this question? |
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Feb 1 |
revised |
How are risk management practices applied to ML/AI-based automated trading systems added 15 characters in body |
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Feb 1 |
answered | How are risk management practices applied to ML/AI-based automated trading systems |
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Feb 1 |
comment |
What is the difference between the methods for calculating VaR? @richardh Yes it is. One simple way to see this is to look at the most popular vendor for these statistics: RiskMetrics. They market shortfall and scenario testing almost as much as VaR. |
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Feb 1 |
answered | What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework? |
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Feb 1 |
revised |
Is there a standard model for market impact? added 507 characters in body |
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Feb 1 |
comment |
How are risk management practices applied to ML/AI-based automated trading systems As it stands, I think this question cannot be answered. Please give more detail about the kind of "ML/AI-based trading system" that you're envisioning. Does it just say whether to go long/short, does it give a confidence interval, etc.? What kind of model? Is it really black-box (because many ML models can be interpreted)? |
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Feb 1 |
awarded | Editor |
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Feb 1 |
answered | Is there a standard model for market impact? |
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Feb 1 |
revised |
is beta of a portfolio always meaningful? added 379 characters in body |
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Jan 31 |
answered | is beta of a portfolio always meaningful? |
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Jan 31 |
answered | Option pricing before Black-Scholes |
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Jan 31 |
awarded | Precognitive |
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Jan 31 |
awarded | Student |
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Jan 31 |
answered | What blogs or articles online should I read to get started with quantitative finance? |
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Jan 31 |
asked | What is the difference between the methods for calculating VaR? |
