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comment For which instruments performs SABR/LMM better than LMM?
To my knowledge, most swaptions traders peruse the SABR or extended SABR model.
Sep
12
awarded  Nice Answer
Sep
12
comment Hedging future USD cost using different IR and forwards
What is the exact question? I suppose it is how many euros you need to pay 6 months hence in order to receive USD 2500? That would be 1/1.30 EUR/USD * 2500 USD = EUR 1923.07. No need for anything else. You look to hedge spot fx risk. This provides the hedge. Keep in mind there does not exist one single hedge in the universe of finance that does not expose you to any risk. It all comes down to which risks you specifically do not want to be exposed to and which risks you can accept exposure to.
Sep
12
comment Filtration and measure change
you beat me to it and Exercise 5.5 shows exactly that.
Aug
28
comment What software should I use for forex arbitrage?
What do you want to arbitrage? I suggest it may be a little late to the game (around 5-10 years to be honest) when you could broker arb in the fx world or meaningfully make money from triangular arb. Also, given you are dependent on json feeds which are inherently "slow" you will not benefit from a system architecture that is faster than your weakest link. Please elaborate on your question because it is very unclear what you actually want!
Aug
6
revised Is there a charting API which allows to replicate Bloomberg chart tool features?
added 29 characters in body
Aug
6
comment How to create charts in WPF finance applications?
@SRKX, I posted a SciChart review based on my extensive testing, quant.stackexchange.com/questions/3158/…
Aug
6
answered Is there a charting API which allows to replicate Bloomberg chart tool features?
Aug
1
comment Looking for Research Paper on Creation of Currency Baskets
@BobJansen, unfortunately not (the paper I came across was a published in 2014, sorry should have mentioned that), but nonetheless thank you for the two links, the first paper I was aware of but unfortunately aims at different objectives (raw material price minimization of variances)
Jul
31
comment Looking for Research Paper on Creation of Currency Baskets
Thanks, I am familiar with the BIS methodology, but I am not looking for trade weighted indices. As mentioned I look for methodologies that exclusively source pricing data and preferably approaches that strip out individual currency strength/weakness
Jul
31
awarded  Curious
Jul
30
revised Looking for Research Paper on Creation of Currency Baskets
added 58 characters in body
Jul
30
asked Looking for Research Paper on Creation of Currency Baskets
Jul
18
comment ETFs have lower tracking error than Futures?
Agree, it depends on the ETF and actual asset class, in case of VIX futures vs VIX ETF (VXX) the ETF has a much larger tracking error. Case in point, VIX Index advanced 39% at some point while the ETF advanced less than 9%. The futures fared a little better. The high tracking error (to the index) is related to several VIX specific issues but this is an example where generally the ETF tracks worse than the futures.
Jul
15
comment How do I calculate Sharpe ratio from P&L?
Of course it makes sense why would it not, it is important to know whether a high frequency trading strategy has sufficient turnover and generates sufficiently positive returns in the context of risk, taken, whether we talk daily Sharpe or annualized Sharpe.And as said bootstrapping, resampling, drawdowns, nor avg win/loss has anything to do with the question at hand. Anything that generates income (even your salary) is somehow capitalized, hence the ability to calcultate returns.
Jul
15
comment How do I calculate Sharpe ratio from P&L?
That is simply incorrect. Of course do any trading strategies allow for the computation of return metrics. How else do you think some hft houses generate and publish 7+ Sharpe ratio performance metrics? With all due respect but you do not sound like a market practitioner at all. Resampling is certainly not done by professionals in this context. And why do you talk about drawdowns or recovery periods when commenting on risk adjusted return metrics?
Jul
15
comment Sharpe ratio in days with no open positions
By the way your definition of information ratio is incorrect. Information provides a return in excess of a defined benchmark in the context of risk. It has nothing to do with signal-to-noise, not sure how you make that connection.
Jul
15
comment Sharpe ratio in days with no open positions
Call it whatever you want as long as you make the proper disclosure you can define and use whatever risk adjusted return measure pleases you. I merely reflected what from my experience in the market seems to be the accepted practice. You have of course a right to disagree and write up your own answer to reflect how you think the world ticks, which you have done. People care about understanding generated returns in the context of risk taken and if that excludes days on which no returns were generated and everyone knows through disclosures then everyone is happy.
Jul
15
comment Sharpe ratio in days with no open positions
Well you do not generate any returns, excess or not, on days you do not have open posions or close open positions.
Jul
15
comment Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Not saying that your answer is in any way deficient, just wanted to add that little bit of information. Cheers