6,052 reputation
12746
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.


Feb
1
answered Are there any good tools for back testing options strategies?
Feb
1
awarded  Mortarboard
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...
Feb
1
comment Mean reverting strategies
"Those who say don't know. Those who know don't say. Lao-tzu, Tao Te Ching"
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?
Feb
1
revised How are risk management practices applied to ML/AI-based automated trading systems
added 15 characters in body
Feb
1
answered How are risk management practices applied to ML/AI-based automated trading systems
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.
Feb
1
answered What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?
Feb
1
revised Is there a standard model for market impact?
added 507 characters in body
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)?
Feb
1
awarded  Editor
Feb
1
answered Is there a standard model for market impact?
Feb
1
revised is beta of a portfolio always meaningful?
added 379 characters in body
Jan
31
answered is beta of a portfolio always meaningful?
Jan
31
answered Option pricing before Black-Scholes
Jan
31
awarded  Precognitive
Jan
31
awarded  Student
Jan
31
answered What blogs or articles online should I read to get started with quantitative finance?
Jan
31
asked What is the difference between the methods for calculating VaR?