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Mar
6
accepted How to use a realized kernel?
Feb
28
awarded  Promoter
Feb
6
awarded  Popular Question
Dec
2
comment Why doesn't a simulated delta hedging process go to zero?
@ChristianFries couldn't find this demo in the source code (searched for 'delta'), would welcome a pointer
Dec
1
asked How to use a realized kernel?
Nov
28
accepted Why doesn't a simulated delta hedging process go to zero?
Sep
7
comment Question about option theta
Calculations with your input data give me $P=37.60$ and $\Theta=-20$.
Aug
14
awarded  Yearling
Aug
7
awarded  Popular Question
Jul
28
awarded  Nice Answer
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?