978 reputation
518
bio website activemesa.com
location Stockholm, Sweden
age 29
visits member for 3 years, 3 months
seen Oct 18 at 9:49
  • 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

Jul
11
revised Why is C++ still a very popular language in quantitative finance?
update info
Jul
7
awarded  Good Answer
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