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bio website rtybase.blogspot.com
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visits member for 2 years, 9 months
seen Sep 11 at 20:22

Jan
30
comment Portfolio Optimization : Shrinkage of Covariance Matrix when data is available
In Richard's example, with 250 days worth of data you still can compute returns and variances for each individual asset and covariance pairwise, en.wikipedia.org/wiki/Modern_portfolio_theory
Jan
30
comment Portfolio Optimization : Shrinkage of Covariance Matrix when data is available
What do you mean by data points in terms of "Portfolio Optimization"?
Sep
19
answered Time-series similarity measures
Sep
19
comment How to choose a window for curve fitting and prediction?
There are plenty of regression methods, start with linear/polynomial regression. Or try using filters like Kalman filters which are self adaptable.
Jan
22
answered When hiring a quant, how can I protect my IP?
May
8
comment How to model the daily return using intraday data?
I mentioned the following condition "if we assume convergence", otherwise I certainly may be wrong.
Apr
12
answered Excellent information source on advanced machine learning / data mining based trading?
Apr
10
awarded  Supporter
Apr
6
awarded  Enthusiast
Mar
29
answered How to optimize a portfolio under *both* maximum diversity ratio and minimum variance
Mar
12
revised How to model the daily return using intraday data?
added 741 characters in body
Mar
10
answered How to model the daily return using intraday data?
Mar
9
awarded  Teacher
Mar
9
answered Kalman Filter Vs Hough Transform
Jan
26
comment How to calculate expected return based on historical data for Mean Variance Analysis
@chrisaycock - fixed! ;)
Jan
26
revised How to calculate expected return based on historical data for Mean Variance Analysis
added 145 characters in body
Jan
26
revised How to calculate expected return based on historical data for Mean Variance Analysis
added 145 characters in body
Jan
26
answered How to calculate expected return based on historical data for Mean Variance Analysis
Jan
5
revised How does an option's time value depend on moneyness?
Added the link to investopedia.com ...
Jan
5
comment How does an option's time value depend on moneyness?
Probably he knows :) but there is an element of uncertainty in the question "In other words, how does the time value change as the underlying price changes?"