network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 8 months |
| seen | May 22 '12 at 18:51 | |
| stats | profile views | 24 |
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Apr 24 |
asked | Entry and exit points for very short mean-reverting timeseries |
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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)? |
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Oct 18 |
awarded | Supporter |
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Oct 17 |
awarded | Necromancer |
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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 |
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Oct 16 |
comment |
Applying models with normality assumption on tick data? @RYogi, yes I should have done that from the start. Edited the post. |
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Oct 16 |
revised |
Applying models with normality assumption on tick data? added reference |
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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. |
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Oct 16 |
awarded | Student |
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Oct 16 |
asked | Applying models with normality assumption on tick data? |
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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. |
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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. |
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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. |
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Sep 10 |
awarded | Teacher |
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Sep 10 |
awarded | Editor |
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Sep 10 |
revised |
How fast is QuickFix ? added 408 characters in body |
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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. |
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Sep 10 |
answered | How fast is QuickFix ? |
