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visits member for 3 years, 8 months
seen 2 days ago

Feb
14
awarded  Yearling
Apr
10
awarded  Nice Answer
Feb
14
awarded  Yearling
Dec
31
awarded  Taxonomist
Dec
29
awarded  Nice Answer
Feb
14
awarded  Yearling
Feb
1
answered Why does the minimum variance portfolio provide good returns?
Jan
30
awarded  Enlightened
Jan
30
awarded  Nice Answer
Nov
29
answered Links to the risk model methodologies of the major providers?
Nov
12
answered What exactly is meant by “microstructure noise”?
Nov
7
comment What programming languages are most commonly used in quantitative finance?
APL is quite powerful. I've spent a lot of time with Dyalog and its ability to go backwards in the debugger is very powerful. That said, as a language it's hard for me to recommend these days. Its disadvantages outweigh its advantages, IMO, as many alternatives have far better publicly available libraries (both numerical and otherwise), performance and community. q/kdb+ called from a high-level stats language like R (leveraging the former's in-memory database and the latter's robust numerical libraries) is hard to beat. I'm not familiar with SmartArrays - will check out, thanks.
Aug
21
awarded  Editor
Aug
21
revised Random matrix theory (RMT) in finance
Added link to CFM.
Aug
20
answered How can I select the least correlated portfolio of assets?
Aug
15
answered Should I use currency hedged or unhedged returns for a global equity allocation model?
Aug
3
answered How do I graphically represent the evolution of a covariance matrix over time?
Mar
10
awarded  Student
Mar
10
asked Quant PMs need to know the following…
Mar
8
answered Switching from Matlab to Python for Quant Trading and Research