Karol Piczak

999 reputation

31022

bio	website	karol.piczak.com
	location	Warsaw, Poland
	age	26
visits	member for	2 years, 3 months
	seen	May 16 at 12:33
stats	profile views	207

One-liner: Mashup of Finance, IT/CS/AI/ML and other buzz words. Garnish with music composition and some sound design.

Educational background: Master of Finance, now pursuing a PhD in Computer Science (audio data analysis in recommender systems).

My online ID: karol.dvl.pl

	999 reputation	bio	website	karol.piczak.com	visits	member for	2 years, 3 months
31022 badges		location	Warsaw, Poland		seen	May 16 at 12:33

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29 Comments

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May 16	comment	GJR-GARCH Model In R @Tal OK. Got it.
May 16	comment	GJR-GARCH Model In R @Tal, I think it's borderline. We have econometrics explicitly stated in the FAQ as OK, so I doubt it's that off. Especially, since we have a number of similar questions with a long history on the site and ARCH modelling is quite common in quant finance.
Mar 27	comment	Creating a financial market I think this belongs to Money.SE, for sure not Quant.SE. Not a long time ago this would have been closed immediately. I'm surprised there are no close votes yet. To the OP: it's nothing personal - just seems like a good question in a bad place.
Jan 8	comment	How do you mix quantitative asset allocation with qualitative views? Superb answer. ;-)
Dec 10	comment	What is the best data structure/implementation for representing a time series? Additionally, if you have some data in mostly regular intervals (e.g. daily) you can use estimates of the actual position (knowing start/end dates and frequency) to further beef up performance for even more juice.
Dec 10	comment	What tools and libraries may be used to model limit/stop systematic trading? quantstrat is probably the closest one can get out of the box, but I agree with @SRKX - writing your own solution is a viable option. Especially if you need some specific functionality, writing from scratch may be easier in the long run than trying to adapt preexisting solutions (talking from my perspective and small problems like this). Depends on how much testing you need performed.
Aug 23	comment	What kind of specialized hardware is used in trading? From my understanding Dmitri asks what kind of hardware is used in professional trading apart from commodity servers/workstations.
Jul 1	comment	Comparing backtesting returns with real trading returns Cross posting your question that fast is generally not considered good taste. Please wait at least a couple of days before reposting on another site.
Jun 5	comment	Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$) Maybe I'm missing some point here, but I'm not sure how you're able to "squeeze out" the risk premium by using the proposed construct. Could you elaborate a bit?
May 5	comment	Correct way to find the mean of annual geometric returns of monthly returns? I don't think in this case your LHS ordering is important. It's simple multiplication only.
May 5	comment	Correct way to find the mean of annual geometric returns of monthly returns? Hmm, I see there's no easy way to deal with long MathJax lines. And there are some issues with multi-line equations too, which I will report on meta. But it was a nice primer on using LaTeX on SE. I didn't realize I forgot that much syntax. ;-)
May 2	comment	Understanding CDOs @chris Haven't seen that yet. Informative and hilarious. I loved the leverage part. ;-)
May 2	comment	Understanding CDOs I think this question fits better at money.stackexchange.com
Apr 14	comment	Library to solve optimization problems In that case I'm afraid I don't know of any free, non-GPL, explicitly C# solutions.
Apr 14	comment	Library to solve optimization problems Then I assume you mean free as in free beer. ;-)
Apr 13	comment	How do I calculate weighted mean with negative weights? I don't really get it. Your average purchase price is still 100. And your current position is worth: `current share price * number of shares`. Maybe you need to rephrase your question. And BTW, I don't think it's very on topic here in its current form.
Apr 13	comment	How do I calculate weighted mean with negative weights? Do you mean you buy 4 shares of company A and then sell 2 of the them (same stock)?
Apr 9	comment	Efficiently storing real-time intraday data in an application agnostic way And commenting on the last point. No, I'm not an institution. Just individual curiosity, I would call it. It's always starting small and thinking big, despite the fact that premature optimization is the root of all evil. :-)
Apr 9	comment	Efficiently storing real-time intraday data in an application agnostic way "One key is don't be afraid to store multiple copies of your data for different research tasks" - thanks, that's a valid point you bring up. Though I think I can feel a bit uneasy about this at first, it can be a really helpful and straightforward solution in some situations. One problem I see is keeping those derived datasets synchronized with recent updates so that they all present the same state. Nevertheless, my concerns are theoretical, I would have to verify it in some practical context.
Apr 9	comment	Efficiently storing real-time intraday data in an application agnostic way I see, indeed I found later yesterday that with Kdb+ it was an implementation decision (append only) to maintain performance. Infobright also has limitations on DML operations in its free version. But I don't like it. It's like taking away a knife from your kitchen so that you accidentally don't get hurt. InfiniDB approach seems more relaxed here. Full DML is supported. And it's left to the user to know the impact. Sure, inserting something at the front of a column is essentially equal to rewriting it from scratch. But randomly updating non-sorted values shouldn't be a problem.