André Christoffer Andersen

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visits member for 1 year, 11 months
seen Jun 1 at 15:45

Apr
30
comment How can I go about applying machine learning algorithms to stock markets?
@Jase As one of the authors of the mentioned master's thesis I can quote my own work and say: "If anyone actually achieves profitable results there is no incentive to share them, as it would negate their advantage." Although our results might lend support to the market hypothesis it doesn't preclude the existence of systems that work. It might be like probability theory: "It is speculated that breakthroughs in the field of probability theory has happened several times, but never shared. This [could be] due to its practical application in gambling." Then again, maybe this is all modern alchemy.
Jan
12
answered Video lectures and presentations on quantitative finance
Jan
12
awarded  Editor
Jan
12
comment Regressor: Nominal return, continuous return or first difference?
I have updated the answer.
Jan
12
revised Regressor: Nominal return, continuous return or first difference?
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Dec
23
comment Regressor: Nominal return, continuous return or first difference?
Look up Symbolic Regression using Genetic Programming. In essence you are building an expression tree and evolving it to find a model which fits your regression analysis best. Be warned: This might be prone to overfitting, so make sure to leave out some data for testing.
Dec
16
answered Regressor: Nominal return, continuous return or first difference?
Aug
10
awarded  Teacher
Aug
10
answered portfolio optimisation with VaR (or CVaR) constraints