9,424 reputation
1530
bio website
location Hong Kong
age
visits member for 2 years, 10 months
seen 6 mins ago

Jan
10
comment How much does a Grid Computing software cost?
I am not suggesting the above are perused by any of the professional firms (as stated my post was supposed to be a starting point to get acquainted). But saying cloud computing and cloud storage is not utilized by banks and hedge funds is absolutely untrue. We are not talking about sensitive items such as email servers or algorithmic code repositories but there are a host of other applications that are stored on the cloud by a host of firms. One such example is an application repository where IT staff can download and install apps on users' machines.
Jan
7
comment Lagged dependent variable, yes or no?
I would strongly recommend to add such lagged variable. If liquidity today indeed has a lot of predictive power to forecast liquidity tomorrow then you should of course include it in your model. I do not see a reason why not. The rest of the market has any and all past/prior information at its disposal and you are missing an important input by not including it. I get the impression you potentially make your life much harder than it has to be...
Jan
7
comment MonteCarlo simulation of stock prices using milstein scheme with dividend yield?
you build the dividend yield directly into your pricing model and evolve the paths. The derivatives will be priced off the final model.
Jan
3
comment How to become a registered market maker on an exchange
and how is your question related to Quantitative Finance in the slightest? It is as unrelated as asking "Is trading currencies cheaper through futures or cash fx"?
Jan
3
comment How to become a registered market maker on an exchange
this is not a quant related question
Dec
24
comment HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost
So, then specify where you look to connect to and I am sure you will get a whole lot more meaningful responses. Merry Xmas.
Dec
23
comment Library for interactive financial charts
take a look at sciChart, you will be blown away. I tried your suggestions some time ago for a C# UI project and performance was abysmal for large data sets (or my development guys could not get a good handle at optimizing the library during the trial)
Dec
23
comment Extrapolating implied volatilities to small time
For such short dated options the iV correlates very highly with the moves of the underlying. Develop a robust model to forecast short term moves in the underlying and you have a model to forecast iV for such short expiries.
Dec
23
comment HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost
@Nikos, which fruit is the healthiest to eat and which will reduce the likelihood of ever getting sick? What do you think your doctor will reply when you ask him such question?
Dec
23
comment How to trade volatility?
Then you should trade the gamma of the underlying options, simple as that, though I highly doubt that you have a reliable point forecast of future realized volatility. But hypothetically speaking if you had then you could profit by buying or selling gamma.
Dec
23
awarded  Informed
Dec
19
comment How can I calculate the margin requirements for a Bitcoin futures contract?
I can hardly wait for futures and other derivatives on an asset that itself changes hands at realized 100%+ (almost no matter over which timeframe) volatility. I guess with the end of the QE program phased in today we all need to start chasing other paper tigers.
Dec
18
comment BS Implied Volatility under Normal returns
How do you define "theoretical prices"? Option prices or the prices of the underlying? Keep in mind that price volatility of the underlying or the option itself are completely different concepts from implied volatility, even the dynamics of their correlations are completely unpredictable.
Dec
16
awarded  Popular Question
Dec
16
comment Random Brownian Simulation Startling Results
I highly suspect you set up something incorrectly on your spread sheet in terms of random number generation. First of all I think we can all agree that theoretically the subsequent results of fair coin flips are independent of each other. Even Excel's basic random number generator is good enough to get you an expected value of almost 0.5 if you simulate, for example, 10000 times. Now, a betting strategy is an entirely different issue but you should first get the basic setup right. Double check your Excel functions
Dec
16
comment Random Brownian Simulation Startling Results
I disagree, for such simple game you can just link the seed to the current seconds/milliseconds passed since 1900. I like to emphasize that we are here talking about a simple thought exercise not a complex system in which a much better random number generation algorithm is demanded.
Dec
2
comment Which measure to determine Risk?
There are no robust methods in risk management, though there are sound and reasonable ones. That is all I can tell you from a practitioner's point of view, someone whose positions have been "frozen" all of a sudden intraday multiple times because the exchange halted the stock and re-opened it days, sometimes weeks, later. Someone who had to deal with multi limit-up/limit-down days. You get the point, I hope; there are no robust risk management models that capture such events. Look to properly handle 95% of the cases, which is what is already provided and deal with the rest on your own.
Dec
1
comment Which measure to determine Risk?
...just adding one additional thought: Does it matter what your professor or even Ito thinks how risk should be defined if you adhere to theoretical models no matter how remote they are from reality if your trading desks lose tens of millions just because traders were not forced earlier to reduce risk. And all that because your "models" did not yet flag limit violations because they are so abstracted from reality.
Dec
1
comment Which measure to determine Risk?
The reason why one gets away pricing derivatives in the risk-neutral probability space (given certain conditions are met) is because the drift is already accounted for through the underlying and because of the hedge argument. This, however, is not the case when you take a straight exposure to cash equity. Of course you can always setup an equity pricing model where you end up with a stochastic differential in which the drift term "vaporized" but I question its usefulness. For pricing its perfectly fine as long as everyone agrees on the same way (such as B-S) but risk?
Nov
30
comment open-source implementation of orderbook from FAST?
@javapowered, with all due respect but it sounds like you are missing some crucial basics here. You can't derive your best bid/offer without building and maintaining the book and that is precisely what Louis has already told you