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Jul
28
awarded  Student
Jul
28
revised soft vs hard contraints in portfolio optimizations
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Jul
28
revised soft vs hard contraints in portfolio optimizations
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Jul
28
asked soft vs hard contraints in portfolio optimizations
Jul
25
awarded  Scholar
Jul
25
comment optimization with absolute constraints
thanks. that's totally makes sense!
Jul
25
accepted optimization with absolute constraints
Jul
25
asked optimization with absolute constraints
May
28
comment Is R being replaced by Python at quant desks?
@statquant, :-) given how you are persistent on data.table, I will try it for purely numeric data and test out if it is faster than pandas. thanks for sharing the link. That .SDcols option might not have been there two years ago when I was trying to use data.table extensively (or may be I overlooked it).
May
28
comment Is R being replaced by Python at quant desks?
@statquant, another issue with data.table is that their founders and followers are somewhat too protective (although similar in the case of pandas too) and any sign of mentioning issues with data.table you can expect your post on SO to get rapidly downgraded. At least in the case of pandas, (1) the source code is available on github (you can do an easy search on web without downloading) versus downloading the sources code from CRAN, (2) you can easily overwrite pandas to customize your own subclass of pandas dataframes (I use two such specialized subclasses for my work).
May
28
comment Is R being replaced by Python at quant desks?
@statquant, nope it is not. frequently breaks down for mixed text and number CSV and you will tired of writing on SO, where R experts will remind you frequently to give reproducible test cases even if you mention that you are reading a 2 GB csv file, etc.
May
28
comment Is R being replaced by Python at quant desks?
Every now and then there will be stuff that you will not be able to do with data.table which will cause you to use regular R data.frame and curse yourself that you had started off with pandas instead. For instance, data.table can fail to read many CSV files that both regular R data.frame and Pandas can read easily. Or, try working with data that has 600 columns & writing loops over columns. In data.frame or pandas, you can loop over for i in x.columns: and do something like x.loc[:,i] = .., but in data.table you might need 600 lines for each columns
May
28
comment Is R being replaced by Python at quant desks?
packages that were originally written for 2.x and aren't made compatible for handling both 2.x and 3.x will unlikely work without errors in 3.x. But the list of such packages is really very small - vast majority of the packages like numpy, pandas, etc., work well with both 2.x and 3.x.
May
24
comment Is R being replaced by Python at quant desks?
thought to share link about Man AHL (a firm that I known well as an outsider): computerweekly.com/news/2240238397/… . The article talks about MongoDB, but somewhere in the middle, it talks about how they consolidated their codes to Python
May
24
awarded  Commentator
May
24
comment Is R being replaced by Python at quant desks?
also, regarding R packages or Python packages, a lot of real world stuff involves modifications that standard packages can't handle. For example, let's say if you want to do create a tradable ICA or PCA from tradable time-series (e.g. time-series of stock prices or futures prices), you wanted to a liquidity-weighted ICA or liquidity-weighted PCA to avoid the top ICA or PCA factors to loading up some penny cap stocks etc. So, you will end up looking a the source codes of ICA or PCA in either R or Python and rewrite your own codes
May
24
comment Is R being replaced by Python at quant desks?
If you migrate from R to Python 3.x, you have less to worry about backward compatibility, but if you migrate from R to Python 2.x, you will have to worry about backward compatibility if you later decide to switch from Python 2.x to Python 3.x
May
24
revised Is R being replaced by Python at quant desks?
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May
24
answered Is R being replaced by Python at quant desks?
Apr
29
answered Why the expected return rate of a stock has nothing to do with its option price?