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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?
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.)