SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by yuryr
March 3rd, 2014, 1:33 pm
Forum: Careers Forum
Topic: data protection act - does it work with HH?
Replies: 9
Views: 6101

data protection act - does it work with HH?

<t>QuoteOriginally posted by: DominicConnorThe short answer is you can use it but you won't....How hard is it to get proof in this day and age ? I don't know you yuyr, but you no doubt have technical skills and significantly above average general intelligence, you're telling me you can't get evidenc...
by yuryr
February 21st, 2014, 8:31 am
Forum: Careers Forum
Topic: data protection act - does it work with HH?
Replies: 9
Views: 6101

data protection act - does it work with HH?

<t>I am curious to hear the forum members' opinion on the following strategy.I am not comfortable with too many HH companies holding sensitive info about me for many years, calling me to collect some info rather than find some jobs for me etc. etc.. I find these companies incredibly lax about protec...
by yuryr
June 8th, 2012, 9:03 am
Forum: Programming and Software Forum
Topic: How to make thread synchronization without using mutex, semorphore, spinLock and futex ?
Replies: 11
Views: 14215

How to make thread synchronization without using mutex, semorphore, spinLock and futex ?

<t>What you describe is called "barier synchronization". Your 5 threads are waiting for a barier to open. It is usually additionally specified how you want the barier to open - all at once or one-by-one after a short time-slice. This distinction might/might not be important for the choice of syncron...
by yuryr
May 23rd, 2012, 9:31 am
Forum: Brainteaser Forum
Topic: Coin Toss Again
Replies: 24
Views: 15688

Coin Toss Again

<t>I think we have to start with a prior probability of coing being fair, not with prior probability for heads/tails!Having said that, the problem cannot be simplified to just "having 100 tosses". Need to define what exactly we know before observing the outcomes and how do we quantify our knowledge....
by yuryr
April 18th, 2012, 12:15 pm
Forum: Trading Forum
Topic: Guaranteed vwap for smaller order sizes
Replies: 1
Views: 14507

Guaranteed vwap for smaller order sizes

<t>don't quite understand the question.Your small order can be filled in one chunk creating the vwap price for that particular moment against which the fill price is compared-)): Vwap only makes sense for relatively large orders, although for very large orders (comparable to daily volume) you get si...
by yuryr
April 5th, 2012, 7:18 am
Forum: Careers Forum
Topic: Machine learning for Quant
Replies: 9
Views: 15670

Machine learning for Quant

<t>to add a bit more color, mentioning ML and statistics in general might attract some critisism upfront on interview in IB because: a) many people indeed mention all sorts of ANNs, SVMs etc.. on their CVs but unable to solve simple problems, let alone make ANNs work for a particular application, b)...
by yuryr
April 5th, 2012, 7:10 am
Forum: Careers Forum
Topic: work life balance in nyc Vs london
Replies: 24
Views: 16597

work life balance in nyc Vs london

<t>QuoteOriginally posted by: tu160QuoteOriginally posted by: ShaikVacation days in major IBs are probably comparable with small advantage of London. Leaves of absence etc are longer in UK, but London colleagues say that UK healthcare sucks a big time in comparison with US.UK has healthcare?! Surpri...
by yuryr
April 2nd, 2012, 8:17 am
Forum: Careers Forum
Topic: Machine learning for Quant
Replies: 9
Views: 15670

Machine learning for Quant

quants without even basic statistical modelling skills are abound, especially on the sell side. Any knowledge and a bit of practical experience in ML would give you an unfair advantage and is, therefore, frowned upon...
by yuryr
March 26th, 2012, 8:11 am
Forum: Trading Forum
Topic: Problem with performance measure
Replies: 8
Views: 15499

Problem with performance measure

the only thing I don't understand about either Sharpe or Omega ratio is that they are indifferent as to how many data points are used in estimating it. 2 trades or 2 million, 12 monthly returns or 250 daily returns - which one would be more trustworthy?forgive my trading illiteracy...
by yuryr
March 21st, 2012, 8:22 am
Forum: Technical Forum
Topic: Question on mixed data sampling (MIDAS) regression
Replies: 3
Views: 14868

Question on mixed data sampling (MIDAS) regression

gaussian processes is the answer (the trick is to use time difference as distance measure in cov function and only time)
by yuryr
March 19th, 2012, 1:31 pm
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17946

Buy-Sell-Hold classification with Neural network

<t>that is right, but I was referring to the convexity of the optimization task that you eventually perform with SVMsIf the two sets to be separated in the original space are convex or not is irrelevant.What I meant is that not every problem can be turned into convex optimization task. Perhaps, theo...
by yuryr
March 13th, 2012, 2:05 pm
Forum: Technical Forum
Topic: rolling regression window size
Replies: 5
Views: 15870

rolling regression window size

could go bayesian for that task and use all possible window sizes at once!
by yuryr
March 13th, 2012, 2:02 pm
Forum: Technical Forum
Topic: Buy-Sell-Hold classification with Neural network
Replies: 22
Views: 17946

Buy-Sell-Hold classification with Neural network

<t>I will never understand why one would use proper ML techniques like NN, SVM, etc. and then plug in technical analysis input.If you want your tool to dig out some signal, why obscure the signal first? or is it a part of some sort of complex genetic algorithm with predator/prey/survival of fittest?...
by yuryr
February 27th, 2012, 9:32 am
Forum: Trading Forum
Topic: Crossing ones own order
Replies: 12
Views: 16309

Crossing ones own order

<t>In general, self-crossing is frowned upon by exchanges and regulators, especially if in large volumes. Simply because it increases reported trading volume and triggers different algos (like percent Vol) to trade more - it is one of the forms of market manipulation and therefore, taken very seriou...
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