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
3
comment Trading a synthetic replication of the VIX index
@barrycarter He mentions the VIX futures in the second paragraph, so I would infer that he's familiar...
Feb
1
comment How can I go about applying machine learning algorithms to stock markets?
@zubinmehta Thanks for admitting it. :) I guessed as much from your question. If that was possible, there would be a lot of rich people out there doing it. But it's much more of a black hole than you would hope. And once you understand how to do the analysis, applying it in a specific domain (e.g. finance) follows naturally.
Feb
1
comment How can I go about applying machine learning algorithms to stock markets?
As a shameless plug, I recently started a guided tour of the above book on my blog if you want to follow along (statalgo.com/2011/01/29/…). I will be reproducing the major analysis from the book using R.
Feb
1
comment How do I price OANDA box options?
Raised a question on meta regarding whether this kind of question is appropriate: meta.quant.stackexchange.com/questions/16/…. Please provide your feedback!
Feb
1
comment How can I go about applying machine learning algorithms to stock markets?
It makes reference, but there is nothing concrete (so far as I can recall). Chan's analysis is almost all basic time series modelling (e.g. cointegration). I agree with your latter point: it does put everything together so it's useful as a general beginner reference.
Feb
1
comment How can I go about applying machine learning algorithms to stock markets?
I honestly don't think that this question fits here. See meta.quant.stackexchange.com/questions/11/….
Feb
1
comment How can I go about applying machine learning algorithms to stock markets?
I don't think that this makes much reference to machine learning algorithms.
Feb
1
comment What are the best master programmes for someone interested in a career in quantitative finance?
Join the discussion on whether this question is on-topic on meta: meta.quant.stackexchange.com/questions/13/…
Feb
1
comment How does the “risk-neutral pricing framework” work?
Can you please elaborate on your question a little? "how does it affect you?" Also, maybe provide a link or two to relevant resources?
Feb
1
comment How useful is Markov chain Monte Carlo for quantitative finance?
@quant_dev en.wikipedia.org/wiki/Markov_chain_Monte_Carlo
Feb
1
comment What kind of basic framework or application do you use to run your trading algorithms?
+1 For R; definitely the way to go. :)
Feb
1
comment What kind of basic framework or application do you use to run your trading algorithms?
Please correct the grammar and spelling.
Feb
1
comment Mean reverting strategies
Added a question to meta to discuss this: meta.quant.stackexchange.com/questions/11/…
Feb
1
comment How does pair trading work?
I don't disagree, but during the private beta we really want to have high quality questions and answers to set a precedent for the rest of the site. I think that you can just expand a little on your question and improve it in the process...
Feb
1
comment Mean reverting strategies
"Those who say don't know. Those who know don't say. Lao-tzu, Tao Te Ching"
Feb
1
comment How does pair trading work?
See wikipedia: en.wikipedia.org/wiki/Pairs_trade. Can you try to put a little more effort into this question?
Feb
1
comment What is the difference between the methods for calculating VaR?
@richardh Yes it is. One simple way to see this is to look at the most popular vendor for these statistics: RiskMetrics. They market shortfall and scenario testing almost as much as VaR.
Feb
1
comment How are risk management practices applied to ML/AI-based automated trading systems
As it stands, I think this question cannot be answered. Please give more detail about the kind of "ML/AI-based trading system" that you're envisioning. Does it just say whether to go long/short, does it give a confidence interval, etc.? What kind of model? Is it really black-box (because many ML models can be interpreted)?
Jan
31
comment What blogs or articles online should I read to get started with quantitative finance?
This is another extremely general question. Can you specify further what your interest is in "quantitative finance"?
Jan
31
comment What are some good technical and non-technical books for a math lover to get in to quantitative analysis?
(1) This should be made community wiki and (2) let's limit it to 1 book per answer so that the voting has meaning. Lastly, I really don't like this question because it's way too broad: can you please make it a little more specific?