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visits member for 2 years, 11 months
seen Sep 12 at 21:04

Oct
29
revised How are limit orders selected from the order book?
added 217 characters in body
Oct
29
answered How are limit orders selected from the order book?
Oct
29
awarded  Nice Answer
Oct
29
comment How to annualize Sharpe Ratio?
How about some Latex? ;)
Oct
28
revised How to annualize Sharpe Ratio?
edited body
Oct
27
comment How to cluster stocks and construct an affinity matrix?
@Alchemist: you can't down vote comments, but you can flag them. See the FAQ.
Oct
27
comment How to normalize Futures data(different leverage) for cointegration test?
A "normalization" can be a useful nonlinear transformation quite different from differencing (which should be generally avoided, as you suggest - unless one is dealing with higher order cointegration).
Oct
27
answered How to annualize Sharpe Ratio?
Oct
27
revised What strategy would benefit most from having the fastest connection to the exchange?
fixed link
Oct
27
comment What strategy would benefit most from having the fastest connection to the exchange?
It isn't an established terminology. The gist of the idea is in "negative spreads". In this answer on quant.SE there is a link to a great animation of the LOB. Somewhere there you can see that at times in the consolidated LOB spreads are negative.
Oct
27
answered What strategy would benefit most from having the fastest connection to the exchange?
Oct
24
comment Is there a quantitative finance ranking system for universities?
Andy, thanks for fixing that. It is obvious to me, but most people don't check profiles. Also, from the FAQ: Be careful, because the community frowns on overt self-promotion and tends to vote it down and flag it as spam. Post good, relevant answers, and if some (but not all) happen to be about your product or website, so be it. However, you must disclose your affiliation in your answers.
Oct
24
comment Is there a quantitative finance ranking system for universities?
Andy, since you run quantnet, you should put a disclaimer in your answer.
Oct
21
revised What are the typical “realized latencies” across different products and infrastructures?
Added picture and answer format
Oct
20
awarded  Critic
Oct
19
comment What does T statistics of Information Coefficient indicate?
A better place for asking this question might be stats.SE.
Oct
18
awarded  Citizen Patrol
Oct
18
awarded  Commentator
Oct
18
comment What tools exist for order book analysis and visualization?
+1 - great link.
Oct
18
comment How to execute a large futures order?
@TalFishman: I added premises and findings.