5,872 reputation
12744
bio website statalgo.com
location New York, NY
age 34
visits member for 3 years, 2 months
seen Mar 26 at 1:55

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.


May
4
awarded  Nice Answer
Jan
31
awarded  Yearling
Jan
16
awarded  Popular Question
Jan
1
awarded  Scholar
Jan
1
comment Control for bid/ask bounce in high-frequency trade data?
Thanks. Weighted mid-price is the best approach that I can find.
Jan
1
accepted Control for bid/ask bounce in high-frequency trade data?
Dec
31
revised How can I go about applying machine learning algorithms to stock markets?
added 852 characters in body
Nov
28
awarded  Enlightened
Nov
28
awarded  Nice Answer
Nov
14
awarded  Favorite Question
Nov
14
comment What concepts are the most dangerous ones in quantitative finance work?
@Jase How about pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf?
Nov
14
answered What are the common trading systems for hedge fund automated trading?
Oct
29
comment Where can I find exercises on building a project finance spreadsheet?
It's possible that I'm wrong, but I think that project financing is off-topic.
Oct
15
awarded  Good Question
Oct
14
comment Analyzing tick data
That's funny given that I spent the day on Friday with him.
Oct
14
answered Analyzing tick data
Oct
10
comment How to account for bid/ask spread when backtesting?
Thanks, Chris! Might try to poke my head in a little more.
Oct
10
answered How to account for bid/ask spread when backtesting?
Sep
21
awarded  Custodian
Sep
20
awarded  Taxonomist