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Oct
30
comment How to compare volatility models?
@user2763361 Not duplicates; this is asking how to compare models, while that other question asks whether explicit models have been compared.
Oct
30
answered How to compare volatility models?
Oct
26
comment Market making: buy on bid/sell on ask
@LouisMarascio Wow...I didn't even notice that was reversed. That's insane. Would be nice if everyone did a little googling before asking a question.
Oct
26
revised Market making: buy on bid/sell on ask
Corrected confusion
Oct
25
answered Does HFT make sense in a pro-rata market?
Oct
25
answered Market making: buy on bid/sell on ask
Sep
16
awarded  Notable Question
Aug
26
answered Increasing Market Depth
May
30
awarded  Notable Question
May
4
awarded  Nice Answer
Jan
31
awarded  Yearling
Jan
16
awarded  Popular Question
Jan
1
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Jan
1
comment Control for bid/ask bounce in high-frequency trade data?
Thanks. Weighted mid-price is the best approach that I can find.
Jan
1
accepted Control for bid/ask bounce in high-frequency trade data?
Dec
31
revised How can I go about applying machine learning algorithms to stock markets?
added 852 characters in body
Nov
28
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Nov
28
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Nov
14
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Nov
14
comment What concepts are the most dangerous ones in quantitative finance work?
@Jase How about pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf?