6,082 reputation
12847
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.


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
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.