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| bio | website | statalgo.com |
|---|---|---|
| location | New York, NY | |
| age | 34 | |
| visits | member for | 2 years, 3 months |
| seen | Apr 14 at 18:57 | |
| stats | profile views | 599 |
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.
- Twitter: @statalgo
- Blog: http://www.statalgo.com (largely inactive)
- Former moderator on data analysis stack exchange site: http://stats.stackexchange.com/
- Proposer of Quantitative Finance stack exchange site: http://area51.stackexchange.com/proposals/117/quantitative-finance?referrer=EZoOPpokWeo1
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Sep 28 |
awarded | Enlightened |
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Sep 27 |
awarded | Nice Answer |
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Sep 25 |
awarded | Nice Answer |
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Sep 11 |
awarded | Good Answer |
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Aug 27 |
awarded | Notable Question |
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Aug 17 |
awarded | Nice Answer |
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Aug 2 |
answered | Historical Hedge Fund Index Data |
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Aug 1 |
answered | How do I calculate the skewness of a portfolio of assets? |
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Jul 7 |
awarded | Enlightened |
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Jun 23 |
comment |
Control for bid/ask bounce in high-frequency trade data? Do you happen to know of any papers that discuss this? |
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Jun 23 |
comment |
Measuring liquidity One problem with the bid-ask spread is that it doesn't necessarily reflect the "market". For instance, I was looking at Greek CDS bid-ask prices around the vote yesterday, and the spread was surprisingly tight. But just because quotes existed, doesn't mean that anyone would transact at that level. |
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Jun 23 |
asked | Control for bid/ask bounce in high-frequency trade data? |
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Jun 9 |
awarded | Nice Question |
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May 24 |
awarded | Enlightened |
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May 24 |
awarded | Nice Answer |
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Apr 26 |
awarded | Enlightened |
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Apr 26 |
awarded | Nice Answer |
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Apr 16 |
comment |
George Soros models @richardh That's funny, because I would call it "momentum". |
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Apr 13 |
awarded | Popular Question |
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Apr 13 |
awarded | Good Answer |
