6,122 reputation
12848
bio website statalgo.com
location New York, NY
age 35
visits member for 3 years, 11 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
7
comment What is the intuition behind cointegration?
I agree completely and gave you a +1. Your answer was spot on for the question.
Feb
7
comment Deterministic interpretation of stochastic differential equation
Your chances of getting an answer might increase if you split these questions up. I often find people can be intimidated by too many questions on here.
Feb
7
comment Paradoxes in quantitative finance
Can you clarify a little further how this question differs from this one? quant.stackexchange.com/questions/156/…
Feb
6
comment The Application of Quantitative Finance in Sports Betting
I don't think that this is on-topic, so I'm voting to close. See meta discussion here: meta.quant.stackexchange.com/questions/36/…
Feb
6
comment What concepts are the most dangerous ones in quantitative finance work?
@quant_dev I wasn't disputing market efficiency in general, but just that $\beta$ can be effectively used for allocation (in the traditional CAPM framework).
Feb
6
comment Appropriate measure of Volatility for economic returns from an asset?
@Harpeet That's a fair point; I raised this on meta: meta.quant.stackexchange.com/questions/35/…
Feb
5
comment Appropriate measure of Volatility for economic returns from an asset?
Not a fan of the "real" tag here. What's intended? Realized volatility or a real, physical commodity?
Feb
5
comment What concepts are the most dangerous ones in quantitative finance work?
+1 This is a good one; a really abused statistic.
Feb
3
comment What concepts are the most dangerous ones in quantitative finance work?
@Dirk Added a link to a Fama/French paper.
Feb
3
comment What are the key risks to the quantitative strategy development process?
@Dirk Yes, but I'm doing a little SEO for our site. :)
Feb
3
comment What are the key risks to the quantitative strategy development process?
@Zarbouzou Sounds like a good new question to ask. :)
Feb
3
comment What are the key risks to the quantitative strategy development process?
+1 This is a great list, thanks for providing it.
Feb
3
comment Trading a synthetic replication of the VIX index
@pteetor + $\infty$
Feb
3
comment What are the popular methodologies to minimize data snooping?
@Zarbouzou I posted a follow up question here: quant.stackexchange.com/questions/147/…. Maybe provide an answer on this distinction there?
Feb
3
comment What are the popular methodologies to minimize data snooping?
@Zarbouzou I would be interested to know more about what you mean there. Maybe either add a new answer or edit your question to go into more detail about this distinction?
Feb
3
comment What are the popular methodologies to minimize data snooping?
Do you view data snooping as different than overfitting?
Feb
3
comment Trading a synthetic replication of the VIX index
@pteetor Just to add one final comment: I think that you've already listed the primary vehicles (futures, ETF's) for this. Short of either (a) doing a swap or (b) developing an algorithm, I think that you may be out of options. :)
Feb
3
comment What are the popular methodologies to minimize data snooping?
For reference: your answer here would generally be better as a comment on an existing answer.
Feb
3
comment What are the popular methodologies to minimize data snooping?
You will always have variance in your out of sample performance because the future isn't exactly like the past. There's a reason that this is hard.
Feb
3
comment Trading a synthetic replication of the VIX index
@pteetor Great point. I have heard of short term strategies that trade the S&P that replicate this, but I'm not going to venture into how that can be done (assuming that it's even desirable). My other suggestion: you would need to be an institutional investor (with an ISDA), but you might be able to do a variance swap with a bank based on the VIX.