1,237 reputation
41230
bio website karol.piczak.com
location Warsaw, Poland
age 27
visits member for 3 years, 8 months
seen Oct 6 at 21:47

One-liner: Finance/data tinkerer by day, hobbyist composer by night. Academically interested in AI/ML and machine perception (currently working on a PhD in sound classification with machine audition techniques).


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

Professional interests:

  • Quantitative finance
  • Financial markets

Academic interests:

  • Machine perception, audio data analysis, music recommender systems, MIR, signal processing and identification, audio mining
  • Artificial intelligence, machine learning, data mining, statistical analysis

Personal interests:

  • Music composition and sound design
  • Foreign languages
  • Fantasy books

My business card: karol.piczak.com

My web presence: karol.dvl.pl


Feb
10
comment Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory?
It is advisable that you also quote the relevant part instead of simply referring to an external link. External references are not permanent and have a tendency to become unreachable as time passes.
Jun
24
comment Pricing Assets in the S&P Dynamic Asset Exchange
Are you talking about returns or price levels? Your question and comment differ in that regard. And no, I had another procedure in mind - just try to adjust the variable through multiplying by a scaling factor. E.g. $$P_{t_0}=25 \wedge P_{t_{+1}} = 30 \Rightarrow P_{t_0}^*=100 \wedge P_{t_{+1}}^* = {100\over25} \times30=120$$ At least that's what I think they meant by normalizing.
May
30
comment What methods do you use to improve expected return estimates when constructing a portfolio in a mean-variance framework?
Thank you for your input and welcome to QF.SE.
May
23
comment How is the dividend payment calculated when an asset is disposed on the ex date?
I doubt this question fits the Quant.SE format. I suppose Money.SE would be a better place.
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.