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May
26
awarded  Popular Question
Apr
18
accepted How to remove the risk element from a set of fixed rate mortgage offerings?
Apr
18
accepted Evaluating automated trading strategies: accepted practice
Apr
16
comment Free intra-day equity data source
Answering my own question, Google Finance keeps 15 days of intraday data, 3 years of EOD daily data (I couldn't find an authoritative source, but a few blogs gave these numbers).
Apr
15
comment Free intra-day equity data source
Thanks, that is a useful source. How far back does the minute data go back? I tried with one stock, requesting 720d, but it only went back 18 days (March 26th to April 13th). Is there a way to specify start and/or end date and make multiple requests to get it further back?
Apr
11
comment Free intra-day equity data source
@user508 Great tip, thanks! I've just been playing with the IBrokers package, and I was indeed able to get minute bars for a day a year ago (for a Japanese equity). It also worked for an expired Mini-Nikkei futures contract for one day a year ago. OTOH, I couldn't get minute data for even a week ago for EUR/USD.
Mar
7
comment Is there an open source alternative to Reuters Kondor+?
Incidentally, anyone have a reliable link to a page about Kondor+ ? Reuters website keeps giving me 404s, even when following links in their own search results!
Feb
29
answered local price return and volume relationship
Feb
21
answered Which brokers offer a .NET stock trading API?
Feb
9
answered Why is C++ still a very popular language in quantitative finance?
Feb
9
comment Why is C++ still a very popular language in quantitative finance?
This is a good point: I've been forced the write something in C# the past month because an API was only available in C#. They claimed C++ was supported, but gave no usage examples, and basically refused to answer C++ related questions.
Feb
9
comment What concepts are the most dangerous ones in quantitative finance work?
What didn't you like about the Wired article? It made a complex subject quite readable I thought; were their any factual errors, or was it just too dumbed down for your taste? (Incidentally the T. Mikosch paper was published Nov 2005; he must have felt vindicated come 2008 :-)
Feb
9
comment How to remove the risk element from a set of fixed rate mortgage offerings?
Thanks for the interesting answer Brian, though it left me confused: if there is no risk premium involved, why do the fixed rates go up the longer the term? Or do you mean there is nothing for me to remove and it is "pure" prediction about the way this bank thinks the BOJ benchmark rate will go? E.g. that it will go from 0.00% to 0.425% in the next year.
Feb
8
answered R: How feasible is it to store — and work with — tick data in a database connected to R?
Feb
8
asked How to remove the risk element from a set of fixed rate mortgage offerings?
Dec
18
comment How to calculate historical intraday volatility?
@TalFishman Thanks for the edits Tal; I also moved my comment over to your answer.
Dec
18
comment How to calculate historical intraday volatility?
Thanks for "Historical volatility is defined by two parameters"; now it becomes clear. When someone asks me for a volatility measure I now know I need to ask them two questions, not just one.
Dec
16
comment How to calculate historical intraday volatility?
Thanks @LazyCat Knowing that all the sources I've seen are being deliberately vague on implementation details, not just being brief, was the thing I needed to know. My eyes glazed over on parts of that PDF, but the comment at the top of p.10 (people generally use "ad hoc" sampling) and the suggestion at the end to compute across a range of parameters and not trust a result that varies a lot, was very helpful.
Dec
16
awarded  Scholar
Dec
16
accepted How to calculate historical intraday volatility?