Finance PhD candidate at Stanford. Worked in quant credit research and electronic FX trading before.
8 Fama-French 3-factor model: factors implying risk Oct 22 '13
3 Derivation of the tangency (maximum Sharpe Ratio) portfolio in Markowitz Portfolio Theory? Jul 30 '13
3 How to optimize an arbitrage portfolio when taking into account different speeds of mean reversion? Feb 21
3 Is there evidence that illiquid stocks, held less by institutions, have more price momentum? Mar 11 '14
1 Converting time series returns into euro Jul 28 '13
1 Are there alternatives to the Box-Tiao decomposition in identifying mean reverting portfolios? Feb 5