Freddy

5,629 reputation

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	5,629 reputation	bio	website		visits	member for	1 year, 2 months
1316 badges		location	Tokyo, Japan		seen	51 mins ago

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Mar 4	comment	Does DOM trading using broker data make any sense? Look at who uses X_Trader by Trading Technologies then you can answer the question to yourself. Are you trying to start up a brokerage or why all those odd broker questions?
Mar 4	answered	How to implement a long-term trade on oil?
Mar 3	comment	volatility Table and BS formula You did not provide sufficient information to answer that question. You need to check out the specific day count convention that applies to your product and market. By the way if this is just a modeling exercise then you can call the shots yourself as there is no contract in which two parties agree on the exact expiration date. There is no single right or wrong answer here if no contract is involved. Some fully count weekends others don't and again others partially include them. I recommend reading Taleb's "Dynamic Hedging" for more detail.
Mar 3	comment	volatility Table and BS formula No for any tenor you should optimally derive the precise expiration date using local market conventions.
Mar 3	comment	volatility Table and BS formula generally yes. Its much more precise
Mar 3	answered	volatility Table and BS formula
Mar 3	comment	Is it worth preserving orderbook structure when building it from individual orders? @chrisaycock, just apologized above, you guys are absolutely right. In this case volume should never be aggregated but orders kept segregated till the outstanding order volume was removed or executed.
Mar 3	comment	Is it worth preserving orderbook structure when building it from individual orders? @LouisMarascio, ups my wrong, yes I meant to refer to ITCH. And I stand corrected, you and Chrisaycock seem to be correct in reference to the orderID post an initial orderAdd. My apologies.
Mar 3	comment	Is it worth preserving orderbook structure when building it from individual orders? @LouisMarascio, admittedly I am not too knowledgeable about US feeds, but I am confused by your above statement. The link to the OUCH protocol does not point to that being a order-based feed which operates on IDs. Could you please help me to understand? Thanks.
Mar 2	awarded	Scholar
Mar 2	accepted	Fastest news feed APIs targeting high frequency trading?
Mar 2	comment	effectiveness of linear regression in prediction a) Linear regression is not used in price prediction beyond retail charting products, at least I have not heard of any quant who survived more than a week pitching to his boss the idea to predict asset prices through application of linear regression. b) You are asking for the holy grail. Sorry to sound so extremely selfish, but if I (insert anyone else for that matter) found an approach that worked all the time what do you think the chance would be of me sharing it with the rest of the world? Study about Kalman filters and you are already miles ahead of the pack
Mar 2	comment	Good Model Calibration Books/Papers for Common Option Pricing Models They are each calibrated differently. You need to be more specific if you look for help.
Mar 2	comment	Is it worth preserving orderbook structure when building it from individual orders? It depends on which bids came in, if both prices were equal and they represent the best bid then obviously you should aggregate the volumes. Otherwise, you allocate the volumes to the volume at each price level in the book that your new prices matched with.
Mar 2	comment	Good Model Calibration Books/Papers for Common Option Pricing Models Can you please specify which models you attempt to calibrate? There are at least 100 calibration techniques out there, each pertaining to a different model.
Mar 1	answered	how to derive yield curve from interest rate swap?
Feb 28	awarded	Yearling
Feb 28	comment	Logarithmic returns for realized variance? entirely depends on what you are trying to achieve. Similar question: "Should I buy a car today or in 20 years?"
Feb 27	comment	Why C is still in use especially in area of numerical optimization (instead of C++)? @chrisaycock, 5 votes and 3 votes, respectively. 3 answers, 2 by members with > 1500 points hardly compares to your assertion above. I say this out of principle not because my answer was involved. Not the best question though, I admit.
Feb 27	comment	Why C is still in use especially in area of numerical optimization (instead of C++)? @ClebsonDerivan, with all due respect but please look up the websites of Altera and Xilinx, you will notice that they heavily target Risk Management processes which do involve optimizations. But can we kind of stay on topic if possible? Again, this was just an example where C is preferred over C++.