6,082 reputation
12847
bio website statalgo.com
location New York, NY
age 35
visits member for 3 years, 9 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.


Nov
24
comment Long-term vs short-term strategies \ investing
Please clarify the question further. It's really unclear.
Nov
20
comment What are common methods for modeling intraday trading volume?
Awesome. Can't wait for your new book!
Nov
17
comment Correlated Wiener processes of different factors
This is a comment (or another question), not an answer.
Nov
7
comment Is the risk-reward ratio considered in Quantitative Finance?
@MattWolf Not sure how you define "Quants", but it seems to me that this is at the heart of our field.
Nov
3
comment Implementing Orders with Interval Estimates
This is unclear to me. Can you provide more background/references?
Oct
30
comment How to compare volatility models?
@user2763361 Others might disagree with me, but I view these questions as entirely different. One is about what models exist (both the question and answer) and the other is about how to compare the existing models.
Oct
30
comment How to compare volatility models?
@user2763361 Not duplicates; this is asking how to compare models, while that other question asks whether explicit models have been compared.
Oct
26
comment Market making: buy on bid/sell on ask
@LouisMarascio Wow...I didn't even notice that was reversed. That's insane. Would be nice if everyone did a little googling before asking a question.
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.