203 reputation
16
bio website saveitep.org
location Moscow, Russia
age 40
visits member for 1 year, 11 months
seen Dec 14 at 18:04

Mathematician

http://ru.linkedin.com/pub/alexander-chervov/57/447/a93

http://mathoverflow.net/users/10446/alexander-chervov

http://arxiv.org/find/all/1/all:+chervov/0/1/0/all/0/1

http://saveitep.org
Started as A.A. Kirillov's student in rerpresentation theory in Moscow State University. Got PhD in 1999. Worked in ITEP Moscow for 10 years somewhere in between representation theory, integrable systems and algebraic geometry, in particular geometric Lanlgands and its connection to Hitchin-Gaudin integrable systems. Currently in industry: quantitative finance, previosly in wireless telecommunication doing applied math.: information theory, error-correcting codes, statistical estimation theory, numerical algorithms. Deeply worried about the ITEP very unfortunate situation: http://saveitep.org http://n-vetlitskaya.livejournal.com/241846.html Leading Russian research center is in danger. More than 850 scientists signed letter to president and prime-minister asking for help. Fields medalists M. Atiyah, L. Lafforgue, E. Witten, Nobel Prize winner D. Gross, mathematicians A. Beilinson, I. Cherednik, B. Dubrovin, P. Etingof, B. Feigin, A. Kirillov, I. Krichever, N. Reshetikhin, E. Vinberg, physicists J. Cardy (Oxford), M. Douglas, J. Froehlich, J. Maldacen (IAS), N. Nekrasov(IHES, ITEP), B. de Wit, are among them. You can join support letter here: https://sites.google.com/site/itep2012/english

Nature, 27.01.2012 , Geoff Brumfiel 'Russian physicists protest government consolidation' http://www.nature.com/news/russian-physicists-protest-government-consolidation-1.9921


Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf Have you backtested some "open-source" strategy ? On at least 1 year data ? If yes - please share results.
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf "There are obviously no statistics out in public domain that quantify the average return", results of PAMM accounts you can see for free. As far as I heard regulations ask hedge-funds to publish their average returns, am I right ? But I am not asking about very profound things.
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf Context: I need some starting point, I am not asking about secret strategies. 1) There are many strategies which are "everywhere described" - combinations of moving averages, "internal day" (not sure about English name), Bollinger bands and so on an so forth. HOWEVER I have not seen serious backtesting results for these strategies. I have googled for many hours. It is NOT problem to make such backtesting - I can do it by myself, just it would take quite a time. And I am quite sure that lots of people have done this work - just I cannot google it.
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
I agree. But just as a starting point i would like to get info on the question as it is. I do not mind if the answer would be: "I have tested strategies "..." and got that on 1 year data all them lose ... say 10% of deposit."
Nov
3
comment Automatic trading strategies - what are benchmarks for PL on serious backtesting?
@MattWolf "Serious" means say at least 1 year data. I agree that the question is broad, but it seems to me that this can be a problem if there would be overhelming number of answers, but according to my experience it would be good if I would receive 1 constructive answer. That is why I make a question broad.
Jun
5
comment Usage of Bollinger bands
Thank you very much!
Jun
1
comment Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
Thank you very much! Let me think over it. May I kindly ask you to look at mathoverflow.net/questions/132430/…
Jun
1
comment Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
@Ilya Thank you for your comment, if you can extend more on it would be very helpful. PS " I would say that one needs to know joint probabilities rather than 1-time-moment distributions." Yes, I meant joint probability of the event p(t_k) =p_k k=1...N
May
30
comment Statistical models for exchange rates?
Thank you very much !
May
30
comment Statistical models for exchange rates?
Thank you very much !
May
12
comment Distribution of profit/loss for retail traders in FX
What is the reason for downvote ?