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.


Feb
15
comment What are some examples of non-financial risks and contingency plans?
To be clear, I never said this would be off-topic. I'm simply trying to narrow the scope of the question as it is written, or possibly get further information about what kinds of risks are under consideration. That being said, if someone else comes along and answers this: that's great.
Feb
15
comment What are some examples of non-financial risks and contingency plans?
@Joshua I don't see how you tightened it up at all. You're still asking about any and every non-financial risk.
Feb
15
comment What are some examples of non-financial risks and contingency plans?
This is a very broad question, including anything under the sun; can you tighten up your definition of non-financial risk a little?
Feb
14
comment What are some computational bottlenecks that quants face?
I agree. Could be an interesting question if it was a little more focused. You tagged it gpu...are you asking what kind of quant problems can be improved by using a gpu?
Feb
14
comment How to show that this weak scheme is a cubature scheme?
This is certainly on-topic here; it may just be that we don't have enough of an appropriate user-base yet.
Feb
11
comment Free data on swap options
This is true for swap data generally; it's hard to get (hence the OTC part of it).
Feb
11
comment Statistical learning libraries
@Zarbouzou Very wise decision.
Feb
11
comment Statistical learning libraries
It is, generally, but can be very fast if used appropriately (vectorized functions, etc.). That being said: I always advise people to have a clear conception of how fast is fast enough for your given project before starting to make decisions. You will have a significantly harder time reproducing ESL in C++, so decide where you want to spend your time. So one common strategy is to do your research in R and then production implementation in C++ (when speed really matters).
Feb
11
comment Statistical learning libraries
This question, as it is currently phrased, would be better suited to CrossValidated: stats.stackexchange.com
Feb
11
comment How to calculate correlations(COT report) in R ?
Just to add, if your question had more relevance to the COT, then this would be on-topic. As it stands, it seems like it's mostly just a pure programming question. Feel free to revise it if you think that you can make it more relevant.
Feb
10
comment Probability - Generating fair outcome using unfair coin
@egoroff So the next question we can expect is "how many manhole covers are in NYC?"
Feb
10
comment Probability - Generating fair outcome using unfair coin
This question belongs on CrossValidated: stats.stackexchange.com.
Feb
10
comment Fundamental Theorem of Asset Pricing (FTAP)
@TheBridge No pressure. Just trying to keep our answer rates in the high percentages. :)
Feb
10
comment Fundamental Theorem of Asset Pricing (FTAP)
@TheBridge Just to chime in on this a little further: you have no answers yet, and I think it's because the question itself isn't sufficiently clear. People don't want to work to hard to understand what's being asked. That's why I really think you will be better served by providing an initial answer, so everyone can follow the example.
Feb
9
comment What is a Structurer?
Voting to close as off topic. Job and other institutional questions like this are not within the scope. As an example: meta.quant.stackexchange.com/questions/51/… That being said, you could ask an appropriate question about structuring, but you would need to provide context/detail.
Feb
9
comment Fundamental Theorem of Asset Pricing (FTAP)
@TheBridge I'd say go ahead whenever you want. As it stands, you have a small chance of someone else going first. Lead by example.
Feb
9
comment Fundamental Theorem of Asset Pricing (FTAP)
@TheBridge I strongly urge you to provide an example answer since you have set up a rather elaborate scheme here.
Feb
9
comment Is there a technique for using xts or zoo objects with options data (i.e., many entries per date) in R?
I think that it's perfectly acceptable here.
Feb
9
comment What is a Quant
I have kept my definition intentionally broad, but this covers many different kinds of careers ranging from structure products, derivatives valuations (and financial engineering), to algorithmic trading. The key common point is that people are providing models for financial markets that are based on mathematics.
Feb
9
comment What is a martingale?
This doesn't address the question w.r.t. EMH.