6,122 reputation
12848
bio website statalgo.com
location New York, NY
age 35
visits member for 3 years, 10 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.


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?
added 456 characters in body
Jan
3
answered What quantitative strategies were successful through the 2008 crisis?
Nov
20
revised optimal re-balancing strategy with asynchronous alpha signal
added 377 characters in body
Nov
20
answered optimal re-balancing strategy with asynchronous alpha signal
Nov
17
comment Which algorithm should I look into to kick off my research in algorithmic trading?
I disagree with this answer: trend following is not "algorithmic trading". It is systematic, but algorithmic trading has a specific meaning related to order execution.
Nov
17
answered Which algorithm should I look into to kick off my research in algorithmic trading?
Nov
14
revised How to check if a timeseries is stationary?
added 253 characters in body
Nov
14
answered How to check if a timeseries is stationary?
Nov
5
comment TA/Pattern algorithm analysis
Is there a question here? I would be fairly sure that someone else has fit curves to different timeframes...maybe a better question would be who hasn't done that.
Nov
3
comment Can social media be applied to algorithmic trading?
Yes. globalpublicsquare.blogs.cnn.com/2011/08/17/…
Nov
1
answered How can I compare distributions using only mean and standard deviation?
Oct
30
awarded  Nice Question
Oct
29
comment Calculating Portfolio Skewness & Kurtosis
Please define the "matrices method".
Oct
29
revised Calculating Portfolio Skewness & Kurtosis
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Oct
29
comment Probability distributions in quantitative finance
Certainly off-topic as it's currently phrased. Asking about the "most popular" is inappropriate on any StackExchange site...
Oct
29
answered Evaluating automated trading strategies: accepted practice