150 reputation
4
bio website linkedin.com/in/crntaylor
location London, United Kingdom
age 30
visits member for 2 years, 11 months
seen Feb 13 at 17:45

I'm broadly interested in very applied math. I try to apply ideas from mathematics, statistics, machine learning, formal systems and computer science to solve real-world problems. Mostly in applied finance/quantitative trading, but in other areas if the mood takes me.


The following is for my own use, but feel free to borrow it -

Hi. It looks like you are new here. We are generally very willing to help, but we like users to show the work that they've done towards solving the problem on their own first. If you can edit your question to show the code you've written so far, and where you are stuck, then you will get a much better response.


Feb
13
awarded  Critic
Dec
18
answered How can I calculate the margin requirements for a Bitcoin futures contract?
Nov
14
answered Synthesize a futures spread option
Oct
15
awarded  Teacher
Oct
15
answered Minimum variance hedge with more than one asset
Sep
19
comment Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
I feel compelled to point out that plugging your t statistic into the t distribution does not give you the probability that the excess returns were from luck. Instead, it gives you the probability that the fund manager would have earned those returns if he was unskilled (your null hypothesis), and if your distributional assumptions are correct (which they're almost certainly not).
Jul
25
comment Trading a stock (or other asset) based on Bollinger Bands.
"There are people who make a killing trading ... bollinger bands, and there are on the other hand 1000s of others who lose money day in day out." -- I feel obliged to point out that if you get thousands of people to trade a strategy, and they all implement it slightly differently, then you expect some of them to make great profits through chance alone. Even if the strategy has negative expectation overall. That doesn't mean that they're great traders or that they are smarter, or put in more work. It means they got lucky.
May
25
awarded  Supporter
May
25
awarded  Autobiographer