332 reputation
15
bio website
location New York, NY
age
visits member for 2 years
seen Nov 22 at 16:02

I work at a quant fund in NY.

I'm generally interested in statistical learning and optimization.


Nov
21
awarded  Yearling
Nov
21
answered What math concepts are used in designing volatility models
Sep
24
awarded  Autobiographer
Jun
30
awarded  Revival
Jun
30
answered How to better understand trading signals?
Jun
30
answered Distribution of profit/loss for retail traders in FX
Jun
30
answered Does mean-variance portfolio optimization provide a real edge to those who use it?
Jun
30
answered Do hedge fund trading desks use portfolio optimization?
Jun
12
comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
Richard- I didn't write $E\{...\}$ for any distributions. Also, I don't understand what your point is RE: $\mu_0 = \mu_1$. In that case the solution is a constant, but this is just a special case. In any event, since the OP is trading based on an HMM, it is quite unlikely that $\mu_0 = \mu_1$ here.
Jun
12
awarded  Editor
Jun
12
comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
Added detailed proof of Sharpe ratio <> mean-variance equivalence. This is a standard result though.
Jun
12
revised Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
Explained Sharpe ratio optimization step
Jun
12
comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
Richard- The forward backward algorithm is exact, so no.
Jun
12
answered Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
Jun
12
answered Determining optimal trading signals (buy/sell) from past data
Jun
10
awarded  Supporter
Jun
10
answered Directional/Non-Directional Risk
Jun
10
answered Why shrink the covariance matrix?
Jun
10
comment Why shrink the covariance matrix?
Positive definite implies non-singular
Jun
9
answered How do I find the most diversified portfolio, or least correlated subset, of stocks?