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| bio | website | dcook.org/work |
|---|---|---|
| location | Tokyo, Japan | |
| age | ||
| visits | member for | 1 year, 7 months |
| seen | yesterday | |
| stats | profile views | 77 |
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.) (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 15+ years. Human Languages: English, Japanese (fairly fluent, 1 kyu), some German, Chinese and Arabic.
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Apr 3 |
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Stochastic modelling of derivatives on dividends @Richard, I see the same, so I think I misunderstood your question. Sorry it was no help. |
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Mar 12 |
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What different methods of pairs selection exists? (For Pairs trading) @cf16 Thanks; not being a mathematician I suspect I am using the word correlation sloppily: I mean finding a function of the price movements of two symbols that is mean-reverting. |
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Mar 12 |
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What different methods of pairs selection exists? (For Pairs trading) @GoodGuyMike Your original question was about what is hot in this area, so you might be interested in the 2012 paper mentioned here: en.wikipedia.org/wiki/Cointelation |
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Mar 12 |
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What different methods of pairs selection exists? (For Pairs trading) @cf16 Was the "this" as a response to GoodGuyMike's comment, or directed more generally at my answer? |
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Mar 5 |
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How to implement a long-term trade on oil? Like Freddy I'd also question the idea that oil price is guaranteed to go up long-term. Personally I think it will, but lower-demand (eco pressures meaning alternative fuels taking hold) and more supply (new discoveries, fracking, etc.) are significant risks, so it is not a dead cert. |
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Mar 5 |
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How to implement a long-term trade on oil? This was my first thought (depending on the curve vs. your target price of course). The long-dated contracts exist for that purpose: people who want to lock in a lower price now. |
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Feb 24 |
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What different methods of pairs selection exists? (For Pairs trading) @GoodGuyMike I think 'spuriously cointegrated' means the same as what I mean by data mining noise. If you analyze 1000s of pairs that genuinely have no connection your analysis will still suggest dozens of seemingly good candidates. |
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Feb 22 |
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What different methods of pairs selection exists? (For Pairs trading) @GoodGuyMike Yes, news analysis can be included in automated trading, but that might not count as "easy". However your question was about pair discovery: my point was only look at symbol pairs that have something in common; anything else you discover will most likely be data mining noise. |
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Jan 30 |
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A non parametric study of VaR with kernel density @pyCthon Don't keep us in suspense, do you want to list some of them? :-) |
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Jan 28 |
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Generate tick data from candlestick @geektrader P.S. The website in your profile gives a "Not Found" page. |
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Jan 28 |
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Generate tick data from candlestick @geektrader That is misunderstanding the purpose: the 4 ticks are from a bar for a system that will then create a bar, but can only do it from ticks. OHLC vs. OLHC makes no difference (the candlestick looks the same). You can validly do backtesting at the bar-level (as your data at that level is genuine), but cannot backtest a strategy using ticks made from bar data. As I said, if you really want to backtest with ticks, add lots of random jitter, and repeat a few times. I suspect you will see variance in results, and so can prove to yourself, quantitatively, that it is a bad idea :-) |
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Jan 22 |
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When hiring a quant, how can I protect my IP? P.S. If you want to talk more about your project, off-line, I'd be happy to. My email is in my profile. |
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Nov 7 |
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Generate tick data from candlestick @Freddy It was a real, commercial system, being used by real traders. Not my system, I was just dealing with it. That you won't become their customer has been noted :-) |
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Nov 7 |
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Generate tick data from candlestick @Freddy Read the first half again. Working with a system where I needed to backfill data but we only had 1 minute bars, not ticks. The system in question didn't allow importing bars, it only allowed importing ticks. |
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Nov 7 |
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Generate tick data from candlestick @Freddy Just to be clear, I personally always use real tick data when I want to backtest a tick stategy, and use bar data when I want to backtest a strategy that uses bars. I think we're in full agreement that it would be foolish to do otherwise. |
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Nov 7 |
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Generate tick data from candlestick @Freddy My answer shows the mechanics to answer the OP's question; that does not deserve a downvote. (Unless you are disagreeing with part of those mechanics, rather than just when you should apply them.) |
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Nov 7 |
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Generate tick data from candlestick @Freddy I was just answering the question that was asked. There are systems that are built around ticks; if you want to use those systems for a lower frequency strategy, and you only have bar data, then of course you have to convert the bars to ticks. As mentioned in the first half of my answer, when I've done this I've done it in such a way that makes it obvious to anyone looking at it that the ticks came from bars. |
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Nov 7 |
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Generate tick data from candlestick @Freddy I went to respond to why you might want to create ticks from bar data, but it got too long, so I posted a full answer :-) (But, I do agree with what you've written here.) |
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Oct 3 |
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Government bonds with negative yield Regarding your second point, cash counts as an A1 asset too (assuming A1 == level 1 in the reference I found: "Level 1 assets are cash, certain government securities and other 0% risk-weighted assets under Basel II.") |
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Sep 4 |
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ROC: difference between discrete and continuous? Thanks, that is a very clear example. |
