166 reputation
6
bio website about.me/cderivan
location Sao Paulo, Brazil
age
visits member for 3 years, 1 month
seen Aug 6 at 17:00

Algorithmic trading developer, more info: http://br.linkedin.com/in/cderivan


Sep
18
comment Definition of “tenor” argument in QuantLib's Schedule class object
it is the frequency of the schedule (e.g. monthly, bimonthly, annual, quarterly...)
Sep
18
comment Definition of “tenor” argument in QuantLib's Schedule class object
Try Period(Bimonthly) as parameter it means every second month, wilmott forums could be a good source of reference.
Jul
1
comment Loading HF stock data into excel
@jessica Yahoo offers 15 minutes delayed stock updates. They have a CSV you can download and parse it quite easily. so in your excel sheet just set a timer using an excel API ( Application.OnTime ) as for example (:
Jun
19
comment Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
I agree with @jeff-m, I tried once, during the tests the results were very positive. however, when I started to send offers at price opportunity identified on the time window, offers were not executed. remaining in the order book until the price took another direction.
Jun
18
comment Heston MC Simulations - Speed up in Matlab
GPU is a good deal and even better you can still using matlab do deal with it OpenCL toolbox for Matlab
Feb
27
comment Usage of NoSQL storage in Finance
what can I say ! its well developed using boost and a modern c++ approach and yes ! It does what they said on they site. it is scalable and high-performance. even the transport protocol is fast and it is JSON based so the maintenance of the database is quite simple. And I am not doing merchandise but the guys did a good work. And even better you can use it to implement the publish–subscribe pattern +.+
Feb
27
comment Why C is still in use especially in area of numerical optimization (instead of C++)?
Freddy top500.org/lists/2012/11 all top computers are CPU/GPU based
Feb
27
comment Why C is still in use especially in area of numerical optimization (instead of C++)?
I understand what you said pyCthon in fact when you need I/O you must think in a CPU like RISC. FGPA runs the whole application in one clock cycle. to create complex applications (eg to calculate a exotic derivative or option) IMHO FPGA is only part of the process. I mean, I could use it to decode market data in a fast way, replacing the ethernet card but I need a software to manage the data and coordinate not only the input but also the output when I need to send an order to a exchange for example.
Feb
27
comment Why C is still in use especially in area of numerical optimization (instead of C++)?
yup and they are porting it to C++11
Sep
15
comment What tools exist for order book analysis and visualization?
Louis, there are some brokers here in Brazil using EclipseTrader as front end to offer market access, take a look: tryd.com.br/tryd.php
Sep
14
comment What tools exist for order book analysis and visualization?
Eclipse Trader is only an terminal, you need to connect it on a trade plataform in order to see the market data ( level one and level 2 )