Quantitative Finance
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shabbychef
  • Member for 12 years, 10 months
  • Last seen more than a month ago
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About

matlh + stats hacker, faking it in R; father of boys; HCSSiM alum, CMU grad, postdoc survivor; former ML quant now working in the movies.

@shabbychef

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2
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6
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24
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3
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9
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5
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All Questions Answers
Score Newest
question
29
Should Sharpe ratio be computed using log returns or relative returns?
May 1, 2011
question
28
Is there a standard model for market impact?
Feb 1, 2011
question
22
How do you evaluate a covariance forecast?
Feb 1, 2011
question
21
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
Aug 1, 2012
question
21
Why does the VIX index have *any* correlation to the market?
Jan 31, 2011
answer
20
How are risk management practices applied to ML/AI-based automated trading systems
Feb 1, 2011
question
17
is beta of a portfolio always meaningful?
Jan 31, 2011
question
17
Approximately what proportion of a stock’s volatility is explained by market movement?
Jan 31, 2011
question
16
How can one compute the Greeks on VIX Futures
Sep 7, 2011
question
15
How would you test the hypothesis "There are no idiosyncratic returns available in the market"?
Feb 18, 2011
Top network posts
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374
Is normality testing 'essentially useless'?
72
Statistics interview questions
53
Will a docker container auto sync time with its host machine?
31
What is the hardest statistical concept to grasp?
31
Test for finite variance?

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