Darren Cook

570 reputation

312

bio	website	dcook.org/work
	location	Tokyo, Japan
	age
visits	member for	1 year, 7 months
	seen	2 days ago
stats	profile views	78

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.

	570 reputation	bio	website	dcook.org/work	visits	member for	1 year, 7 months
312 badges		location	Tokyo, Japan		seen	2 days ago

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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 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	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?
Oct 30	comment	Evaluating automated trading strategies: accepted practice Thanks; that isn't the first strong recommendation for Expected Returns book I've seen, so it is now top of my reading list.
Oct 30	comment	Evaluating automated trading strategies: accepted practice Very interesting idea, and I like the way that gets rid of the apples/oranges comparison.