615 reputation
516
bio website dcook.org/work
location Tokyo, Japan
age
visits member for 3 years
seen Nov 11 at 22:13

UPDATE: My new book, "Data Push Apps with HTML5 SSE" is out and selling! Get it from O'Reilly here: http://shop.oreilly.com/product/0636920030928.do Or from Amazon here: http://www.amazon.com/dp/1449371930 Or from any good bookseller.


I'm director at QQ Trends, a company that solves difficult data and software challenges for our clients. (We often have freelance projects, so get in touch if interested.)

UPDATE: currently looking for a part-time CSS/JS programmer. 理想は東京所在、日本語が読める方。Interesting project(s), you will definitely learn something.

(And, of course, please do get in touch if you have interesting challenges that you would like our world-class experts to work on!)

Typical work: doing fun stuff with data (fixing, mining, etc.), web sites (front and back-ends), trading strategies. Research: trading strategies, computer go, machine translation, understanding context, AI search algorithms. Languages: C++, PHP, R, javascript, and many more.

I'm British, living and working in Tokyo for almost 20 years. Human Languages: English, Japanese (fairly fluent, 1 kyu), some German, Chinese and Arabic.

(Contact me at dc at qqtrend dot com: please mention you are coming from StackOverflow, so I know it is not spam.)


Easy ways to irritate me on StackExchange sites (whether my own question or someone else's): 1. Downvote without a comment (N/A/ if someone already left a comment and you just agree with it, of course); 2. Answer in comments. Other than that I'm a really easy-going pragmatic guy :-)


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?
Dec
15
revised How to calculate historical intraday volatility?
Changed subject to explicitly say intraday, as it appears that that matters, and that is what is being answered.
Dec
15
awarded  Commentator
Dec
14
comment How to calculate historical intraday volatility?
More questions, sorry. It is statistical, not implied, volatility I'm interested in. You are contrasting it with variance, not s.d.; does that mean the only difference between stastical volatility and variance is the square. I.e. stastical volatility and standard deviation are the same? Because the standard deviation of log returns in a time period and the standard deviation of actual prices in the same period appear to be quite different (i.e. peaks on the two charts are in different places).
Dec
14
comment How to calculate historical intraday volatility?
Thanks for the answer. Cutting to your short answer, does "calculate lag-number of log returns" mean the same as the R code I've written? Or do I have it wrong?
Dec
14
asked How to calculate historical intraday volatility?
Dec
14
awarded  Critic
Dec
14
comment Free intra-day equity data source
Unfortunately, ignoring the discussion of what counts as free, IB sucks for historical data: interactivebrokers.com/php/apiUsersGuide/apiguide/api/… (Even hourly data is only kept for one month.)
Dec
1
comment How can I go about applying machine learning algorithms to stock markets?
Perhaps it was actually: "Goldman Sachs lost $800M in 2008 due to the AI voodoo going wrong" :-)
Nov
30
comment Do markets typically fall fast, and rise slowly
Could this effect (if statistically real at all time periods) be due to the traders who set stop losses (causing the price to fall further and more stop losses to trigger), and trailing stops, but don't set limit orders? I.e. cut your losses early and ride your winners.
Nov
23
comment How useful is the genetic algorithm for financial market forecasting?
Is that a different process than you would use before trusting any other trading strategy? (If so, it is not clear to me what you gain from making a GA model using data to time t, then testing until t+N before trusting it, versus using data to time t-N, testing from t-N to t, and using it immediately.)
Nov
17
comment Evaluating automated trading strategies: accepted practice
Having now finished Quantitative Trading, and enjoyed it, could you expand on the issues you thought he was incomplete/misleading on?
Nov
15
answered What close price to assume for thinly traded stocks?
Oct
30
awarded  Nice Question