Shane

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5,098 reputation
12444
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.


116 Comments

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Jan
1
 comment Control for bid/ask bounce in high-frequency trade data?
Thanks. Weighted mid-price is the best approach that I can find.
Nov
14
 comment What concepts are the most dangerous ones in quantitative finance work?
@Jase How about pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf?
Oct
29
 comment Where can I find exercises on building a project finance spreadsheet?
It's possible that I'm wrong, but I think that project financing is off-topic.
Oct
14
 comment Analyzing tick data
That's funny given that I spent the day on Friday with him.
Oct
10
 comment How to account for bid/ask spread when backtesting?
Thanks, Chris! Might try to poke my head in a little more.
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.
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.
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.
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
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/…
Oct
29
 comment Calculating Portfolio Skewness & Kurtosis
Please define the "matrices method".
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
 comment What are the most common/popular exotics in the interest rate markets these days?
As much as I hate to discourage questions, asking about the most "popular" asset feels overly subjective for the site. Might be better suited to something like a Willmott forum.
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.
Apr
16
 comment George Soros models
@richardh That's funny, because I would call it "momentum".
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