meta user
network profile
| bio | website | activemesa.com |
|---|---|---|
| location | Stockholm, Sweden | |
| age | 28 | |
| visits | member for | 1 year, 9 months |
| seen | May 16 at 13:10 | |
| stats | profile views | 289 |
- B.Sc. Computer Science (University of Southampton); currently studying Quant Finance
- >10 years in software development (C#/F#/C++)
- Microsoft MVP – Visual C# (since 2009)
- ReSharper Evangelist
|
Mar 16 |
answered | Scanning a stock database for errors/flaws |
|
Mar 3 |
revised |
Is it worth preserving orderbook structure when building it from individual orders? added 155 characters in body |
|
Mar 3 |
comment |
Is it worth preserving orderbook structure when building it from individual orders? @all this is a non-US feed; the information regarding which specific order was filled is not available. |
|
Mar 3 |
comment |
What concepts are the most dangerous ones in quantitative finance work? Not just that, but backtesting doesn't (cannot) include your own impact on the market. |
|
Mar 3 |
comment |
Is it worth preserving orderbook structure when building it from individual orders? Thanks, but this is not the way data actually comes in. Data comes in as 'someone canceled their order for 200 shares' and 'deal executed for 100 shares'. |
|
Mar 2 |
comment |
Is it worth preserving orderbook structure when building it from individual orders? yes, of course, I get that info. The question is whether the microstructure is of any trading benefit whatsoever. I mean, should I be analyzing 'dark liquidity' or just let it be? |
|
Mar 2 |
comment |
Is it worth preserving orderbook structure when building it from individual orders? @Freddy my question concerns whether volumes should be aggregated per price or not |
|
Mar 2 |
comment |
Is it worth preserving orderbook structure when building it from individual orders? Why should I care that the orders come from different participants? If I see an offer for X units and I take it, it's the exchange's responsibility to split my order into several and execute them against the sellers. Right? |
|
Mar 1 |
answered | Implementing data-structures in a Limit order book |
|
Mar 1 |
asked | Is it worth preserving orderbook structure when building it from individual orders? |
|
Feb 9 |
comment |
Why doesn't a simulated delta hedging process go to zero? @AlexeyKalmykov yep, exactly. I know it shouldn't be, but it seems the rehedging is affected mainly by the fact that every time we use the underlying it's got a different price. (in other words, we suffer from exposure to an underlying position even though in theory the option should counterbalance it) |
|
Feb 8 |
comment |
Why doesn't a simulated delta hedging process go to zero? Wait, that doesn't sound correct - if I long some and then short some, I don't end up with separate long and short position, my long position is reduced by short amount and vice versa. |
|
Feb 8 |
asked | Why doesn't a simulated delta hedging process go to zero? |
|
Dec 31 |
answered | BS and delta hedging questions |
|
Dec 18 |
accepted | Is MATLAB-generated code good enough for use in live trading? |
|
Dec 17 |
asked | Is MATLAB-generated code good enough for use in live trading? |
|
Nov 24 |
comment |
using quantlib function in my c++ program If my answer helped, please mark it as answer - thanks! |
|
Nov 24 |
asked | Changes to option valuation for dollar-pegged underlying |
|
Sep 13 |
awarded | Popular Question |
|
Aug 14 |
awarded | Yearling |
