978 reputation
518
bio website activemesa.com
location Stockholm, Sweden
age 29
visits member for 3 years, 3 months
seen yesterday
  • 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
12
comment Free and tested optimization, statistical and visualization packages for C#
@Aksakal the Excel solver is rather widely used by those who need quick-and-dirty optimization.
Mar
10
comment Free and tested optimization, statistical and visualization packages for C#
"Do I recommend it? Of course, not" -- you need to explain why not.
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
Sep
7
comment Question about option theta
Calculations with your input data give me $P=37.60$ and $\Theta=-20$.
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?
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.
Nov
24
comment using quantlib function in my c++ program
If my answer helped, please mark it as answer - thanks!
May
10
comment When pricing options, what precision should I work with?
Thanks for these. Excel parity is, in fact, important.
Apr
22
comment Is F# used in trading systems?
@ToddMoses F# is a natural choice in your situation
Apr
6
comment Means of inferring trading algorithms from competition trade data
I have the actual trades of the participants. And things aren't as simple as correlating bars to profits.
Mar
31
comment What programming languages are most commonly used in quantitative finance?
The great thing about F# as opposed to most other programming languages is that it's got a scripting interface (F# Interactive, fsi.exe). What this means is you can edit your code and see the results instantly. For example, I've got an editor that re-runs the script on any change. That way, I see errors and failing tests immediately.
Mar
17
comment Why is C++ still a very popular language in quantitative finance?
@Dan Does the Quant community use Clang, though? I had the impression that most stick to Microsoft C++. I'm an Intel C++ user myself, but am very tempted by C++ AMP.
Mar
5
comment What C++ math libraries are typically used by quants?
@DirkEddelbuettel exactly!
Feb
17
comment Why is C++ still a very popular language in quantitative finance?
@user492238 This is a Pro-C++ argument because the C++ compiler is supposed to vectorize more. I use a vendor-specific compiler (Intel), so I trust it to generate instructions taking advantage of my specific processor. Yes, performance will suck on AMD, but then I'm not sharing code :)