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location Hong Kong
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visits member for 2 years, 9 months
seen 4 hours ago

May
6
asked Looking for C# library that provides/contains performance analytics
May
6
comment C# Broker API for FX Trading
For what it's worth, Interactive Brokers just released a native C# .Net API.
May
4
reviewed Close What is shorting a asset that has negative price. Can anyone give me an example?
May
2
comment What should I put on a math finance cheat sheet?
funny, some professors really seem to operate on stringent budgets. +vd
May
2
comment What should I put on a math finance cheat sheet?
(1) Beware of model risk, (2) beware of model risk, (3) beware of model risk. If you always keep this in mind you will do just fine. If someone wakes you up at 3 in the morning and tells you that the trading performance deviated from expected model performance by metric x then you should immediately be able to answer the question whether the model should be retired/improved/reworked. I am telling you because it is not what might happen but what will happen.
May
2
answered What noun is used to describe whether an option is call or put?
Apr
22
answered Option pricing within the Black Scholes model
Mar
27
comment What kind of return can an average algorithmic trading firm achieve today?
I pointed out it is possible but unless you are one of the top high frequency houses (with Sharpe ratios north of 7-10, translating approximately into a single day of losses in like 5 years) achieving 100% returns off the back of alpha generated (and not pure luck) is nearly impossible, especially not on "millions of dollars".
Mar
21
comment Sources of Machine Readable News
yes it is, but please inquire with sales of Newsware regarding cost as I have replaced them with a different service.
Feb
28
awarded  Yearling
Jan
24
comment Free database for storing intraday tick data and querying bar (candle) data on budget hardware
@Nurettin, I do not think you get around the delay using any sort of SQL technology. SQL was not built to handle tick based data nor time series in general particularly well. You should look at column-based databases, do a search on this site there are several sections that deal with this issue
Jan
20
comment a good book on option pricing from theoretical and practical aspect
I disagree that this is a duplicate, OP specifically asked for books that highlight the practical aspect. I would recommend Taleb's "Dynamic Hedging", imho THE best book on options valuation and trading.
Jan
18
comment Normality assumption in Sharpe ratio
@JoshuaUlrich, that is not what I said, of course are the moments different for different distributions. My point was, and sorry if that was not clear, that it is impossible to attach an accurate distributional assumption to any financial asset returns, hence the most often used normal and log-normal assumptions for most asset returns, which validates the usage of mean and stdev under normal distributional assumptions. In fact most all financial asset returns exhibit dynamic distributional features.
Jan
17
reviewed Reviewed How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)
Jan
17
comment Is there a difference between crossing network and ECN
+1,detailed answer. Would you know whether all crossed shares on ECNs and MTFs in the US have to be reported to the exchange for those shares that are listed on a national exchange?
Jan
17
comment Normality assumption in Sharpe ratio
@David, I would argue that this particular observation is not really because of different distributional assumptions but because of the intrinsic flaws of SR itself which is that it penalizes large upside returns because of an increase in volatility such upside returns cause. It is absolutely fair to compare SRs of portfolios of entirely different asset classes with intrinsically different distributional assumptions.
Jan
17
comment Normality assumption in Sharpe ratio
@JoshuaUlrich, I disagree with that notion. SR calculations for any return distributions are 100% accurate. SR of a bond portfolio can be fairly compared with an emerging market stock portfolio. After all the returns are scaled by their own volatility measure. The problem arises due to a problem with the definition of SR itself, it penalizes out-sized returns to the upside, which are desirable yet not properly accounted for in SR computations.
Jan
17
comment Normality assumption in Sharpe ratio
@user6997, you should mark this as correct answer if you think it properly addresses your question
Jan
17
comment How does a cross trade pose a problem to the retail investor
I am not well-versed in US markets but I cannot imagine that crossing between brokers can be accomplished for listed stocks without having to report the trade in any regulated market. In most regulated market even internal crosses (crossing inside the same regulated entity) requires the cross to be reported to the exchange within a certain time period. But to answer your question, crossing itself generally does not harm any other market participants except those who would have otherwise received commission. There are hundreds other practices that harm retail investors more than crossing does.
Jan
17
comment Is there any open-source library, implementing “exchange” to be used for algorithms running on the same computer?
I have not heard and cannot imagine such open source library exists. You would need to write it yourself which is not particularly complex, given the rather simplistic requirements you outlined.