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
28
answered How to normalize Futures data(different leverage) for cointegration test?
Oct
27
answered What strategy would benefit most from having the fastest connection to the exchange?
Oct
15
awarded  Enlightened
Sep
28
awarded  Nice Answer
Sep
28
awarded  Enlightened
Sep
27
awarded  Nice Answer
Sep
25
awarded  Nice Answer
Sep
11
awarded  Good Answer
Aug
27
awarded  Notable Question
Aug
17
awarded  Nice Answer
Aug
2
answered Historical Hedge Fund Index Data
Aug
1
answered How do I calculate the skewness of a portfolio of assets?
Jul
7
awarded  Enlightened
Jun
23
comment Control for bid/ask bounce in high-frequency trade data?
Do you happen to know of any papers that discuss this?
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.
Jun
23
asked Control for bid/ask bounce in high-frequency trade data?
Jun
9
awarded  Nice Question
May
24
awarded  Enlightened
May
24
awarded  Nice Answer
Apr
26
awarded  Enlightened