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visits member for 3 years, 2 months
seen May 22 '12 at 18:51

Jan
8
awarded  Nice Answer
Apr
24
asked Entry and exit points for very short mean-reverting timeseries
Dec
10
comment Can momentum strategies be quantitative in nature?
I would say moving averages are quantitative in nature too. Isn't this more of a question of whether you describe a strategy as model-based vs. technical rules-based. And just to rephrase your question, you state that you are surprised that momentum strategies tend to be described as technical rules (moving averages etc)?
Oct
18
awarded  Supporter
Oct
17
awarded  Necromancer
Oct
16
comment Applying models with normality assumption on tick data?
@SRKX, I'm pretty convinced HF models incorporate ideas from finance research even if the systems described in papers are not profitable anymore. E.g. Jonathan Kinlay summarises the most influential papers for HF here
Oct
16
comment Applying models with normality assumption on tick data?
@RYogi, yes I should have done that from the start. Edited the post.
Oct
16
revised Applying models with normality assumption on tick data?
added reference
Oct
16
comment Applying models with normality assumption on tick data?
Agreed Tal, though it's a bit a too broad answer to something very specific: tick data is not normally distributed, how can so many papers apply models to it which clearly violate the model's assumptions? Of course, I'm not saying they are wrong, I'm saying I'm not understanding it.
Oct
16
awarded  Student
Oct
16
asked Applying models with normality assumption on tick data?
Oct
15
comment Switching from C++ to R - limitations/applications
I would say R is excellent for rapid prototyping of ideas/strategies/analyses, perhaps even using a broker API for testing purposes. However the actual implementation is much more robust and maintainable in C++/Java.
Oct
3
comment Any research on how natural language processing can be used to forecast stocks?
I assume you mean Natural Language Processing; neuro-linguistic programming is something very different.
Sep
15
comment Is F# used in trading systems?
Not only for "some valuation tasks". Credit Suisse's Modelling and Analytics Group in London develops (entirely?) in F# as far as I know.
Sep
10
awarded  Teacher
Sep
10
awarded  Editor
Sep
10
revised How fast is QuickFix ?
added 408 characters in body
Sep
10
comment How fast is QuickFix ?
Quickfixj sits at the end of the OMS connecting to various counterparties and is in use since 2009, I think. Number of orders vary, possibly 150-450 a day, obviously with a lot more fills coming back than that number. Latency from an order entering the OMS to the fix message being sent is perhaps 150ms -- we are not aiming to be low latency at all though. Using quickfixj is absolutely pain free.
Sep
10
answered How fast is QuickFix ?