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.


Sep
9
awarded  Popular Question
Aug
22
awarded  Popular Question
Aug
7
awarded  Good Question
Jul
12
awarded  Guru
May
7
awarded  Popular Question
Apr
26
awarded  Famous Question
Feb
20
comment Excellent information source on advanced machine learning / data mining based trading?
Machine learning is in scope on cross validated: stats.stackexchange.com. So this other site is redundant.
Feb
11
comment What is a good broker for HFT?
Definitely off topic. Voting to close.
Feb
8
awarded  Good Answer
Feb
3
answered Why does the minimum variance portfolio provide good returns?
Jan
31
awarded  Yearling
Jan
30
awarded  Enlightened
Jan
30
awarded  Nice Answer
Jan
19
comment Python library for Portfolio Optimization
Nothing in Python matches Rmetrics, etc. That being said, there could be plenty of reasons to just do this in Python, and some of the other comments/answers already address this. The answer to "python library for portfolio optimization" is not R.
Jan
19
comment Python library for Portfolio Optimization
I agree. cvxopt is the best solution at this stage.
Jan
19
comment Python library for Portfolio Optimization
Pandas doesn't contain MVO. Look at cvxopt, as suggested by @philippe.
Jan
19
comment Python library for Portfolio Optimization
@Tal Pandas is widely used in Finance, including for this problem, although it is only tangentially related. Wouldn't consider this SPAM, just uninformed.
Jan
10
awarded  Announcer
Jan
5
answered How do you remove expected returns from asset allocation strategies?
Jan
3
revised What quantitative strategies were successful through the 2008 crisis?
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