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Jan
5
comment Why do we use GARCH(1,1) to predict volatility?
See quant.stackexchange.com/questions/9351/…
Dec
28
revised Optimizing Principal Component factor weightings over time
grammar, punctuation
Dec
28
awarded  Nice Question
Dec
27
comment One-step ahead forecast of a AR(1) process (GARCH context)
Probably do the microsurgery on your own by looking at this quant.stackexchange.com/questions/9351/…
Dec
21
revised Parameters for numerically fitting t-distribution to log-returns
added 4 characters in body
Oct
8
revised How to treat large (5K-10K) non-positive-definite (particularly near-singular) covariance matrices for Cholesky decomposition?
added 62 characters in body
Oct
8
revised Machine Learning vs Regression and/or Why still use the latter?
deleted 3 characters in body
Oct
1
revised Machine Learning vs Regression and/or Why still use the latter?
spelling
Sep
15
revised Algorithm to fit AR(1)/GARCH(1,1) model of log-returns
moved likelihood step into the algorithm, instead of in a stand-alone sentence after the workflow.
Sep
15
revised How to treat large (5K-10K) non-positive-definite (particularly near-singular) covariance matrices for Cholesky decomposition?
spelling
Nov
3
awarded  Yearling
Oct
26
awarded  Popular Question
Sep
24
awarded  Autobiographer
Mar
28
answered What types of neural networks are most appropriate for trading?
Mar
28
answered What is the best way to “fix” a covariance matrix that is not positive semi-definite?
Mar
28
revised Cleansing covariance matrices via Random matrix theory
models
Mar
28
answered Random matrix theory (RMT) in finance
Mar
28
revised Cleansing covariance matrices via Random matrix theory
grammar, clarity
Mar
28
answered Cleansing covariance matrices via Random matrix theory
Feb
22
answered How to cluster ETFs to reduce cardinality for portfolio selection