5,924 reputation
21544
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 10 months
seen 12 hours ago

Strats in a commodity trading firm in Hong Kong.


Sep
27
revised Fastest solver possible for portfolio optimization
reformatting, retagged
Sep
27
answered Fastest solver possible for portfolio optimization
Sep
27
comment Fastest solver possible for portfolio optimization
How long does it take now to optimize? For daily mean-variance rebalancing you shouldn't need more than the standard optimizer I guess, even with 100 assets. In short, define better your problem (the size of your constraint set and the optimizing method you use, ..), we might help you from there already.
Sep
27
asked What happens if a custodian bank defaults?
Sep
26
answered Encyclopedia of Statistical Tests
Sep
26
revised Encyclopedia of Statistical Tests
removed courtesies, retag
Sep
26
answered Government bonds with negative yield
Sep
21
awarded  Custodian
Sep
19
asked How do you handle Calendars in a .NET quant system?
Sep
15
comment Portfolio Greek Exposure Equations
@Strange : you should merge your 2 answers and through the "edit" feature and delete one of them.
Sep
15
comment Evaluating forecasting algorithm
So far the question is unclear. What do you mean by "tied to the trading strategy"?
Sep
15
revised Evaluating forecasting algorithm
added 65 characters in body
Sep
7
reviewed Reject What programming languages are most commonly used in quantitative finance?
Sep
3
comment How to define the objective function for a custom optimization problem?
@wguan: indeed, if you have a convex function, then there is no need to use genetic/stochastic algorithms
Sep
3
comment How to define the objective function for a custom optimization problem?
Usually, a good way to formulate the objective function is to make sure that it is convex.
Sep
3
revised How to define the objective function for a custom optimization problem?
rephrased the question, formatting
Sep
3
comment How to define the objective function for a custom optimization problem?
Correct me if I'm wrong, but I'd just add that when you use these "advanced" optimization functions, there is no guarantee of finding the global optima, which might also be something to take into consideration. +1 of course.
Aug
20
reviewed Approve derivation of formula for portfolio skewness and kurtosis
Aug
20
reviewed Approve Exotic option pricing
Aug
13
comment How to normalize different instruments by volatility?
What are you trying to achieve? Portfolio creation? Stock comparison? Define some model?