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
28
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Sep
27
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Aug
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awarded  Notable Question
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Aug
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answered Historical Hedge Fund Index Data
Aug
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answered How do I calculate the skewness of a portfolio of assets?
Jul
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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
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24
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26
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26
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Apr
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comment George Soros models
@richardh That's funny, because I would call it "momentum".
Apr
13
awarded  Popular Question
Apr
13
awarded  Good Answer