5,992 reputation
12745
bio website statalgo.com
location New York, NY
age 35
visits member for 3 years, 7 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
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".
Apr
8
comment FX Tick Data question
For reference: a quote is the top of the book bid/ask spread provided by a market maker or limit order book. In this case, all of Gain's data is quote data: they don't seem to provide transaction prices.
Apr
8
comment FX Tick Data question
@Andy See my update; sorry, I was confused based on my prior experience with FX data. Don't use Gain myself, I use major banks and ECN's; Gain tends to serve retail clients more than institutions. See Mebane Faber's recent critique of Gain and company: mebanefaber.com/2011/04/03/currency-trading.
Apr
6
comment penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
@Gortaur I just approved your edits. Thanks for improving it!
Mar
31
comment better estimator of volatility for small samples
"As we all know, the best known sample estimator of volatility is the standard deviation of the log returns.". Really? Evidence?
Mar
20
comment On my way to becoming a Quant
Voting to close. This kind of question has been closed in the past. This site is intended for professionals and researchers. See, for instance, meta.quant.stackexchange.com/questions/68/….
Mar
20
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
@ralph No need to close, just edit the title as @richardh suggests. As stated, open interest is some very specific.
Mar
20
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
I think that you misread the article. It says "open interest" (i.e. the number of contracts outstanding), which is totally different than the market opening.
Feb
19
comment Technology stack used in Bloomberg
What reading? Any references would be helpful.
Feb
19
comment Innovative ways of visualizing financial data
@Andy Neat! Maybe provide some of your experience as an answer?
Feb
19
comment Innovative ways of visualizing financial data
@Andy For interactive web visualization, I find either (a) you use one of the commercial tools (which I believe can all read XML/JSON data) or (b) expect to put in a fair amount of effort. Another option is the google visualization toolkit mentioned below. Using either Protovis or Processing can result in amazing stuff, but they are both very low level, so expect to get your hands dirty. ggplot isn't really intended for that kind of usage (IMO). One of the vendors might provide it to you for free with some advertising (try Tableau first: tableausoftware.com/products/digital).
Feb
19
comment Innovative ways of visualizing financial data
@Andy Which are you talking about specifically? Protovis is a javascript library, so that's straight forward. Processing is Java so that can be used from the web in any number of different ways. R doesn't have a specific web framework yet, but there are solutions (such as calling it from a foreign language interface). The commercial tools all have server versions.
Feb
17
comment Which CEP platform is most popular for trading systems?
CEP is certainly on-topic, but I agree with @chrisaycock: this question isn't appropriate for the site. There is no way to answer which is the most popular, especially when you start to include things like open source solutions.