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Sep
12
comment Long/Short portfolio return
This question is answered several times in other questions on this site. Please search for "compounding returns", "aggregate returns"
Sep
11
comment Index arbitrage with Options when not all underlyings have options listed?
very good points. +1. Clearly "arbitrage" might as well be voted one of the most misused terms in today's finance.
Sep
11
comment Index arbitrage with Options when not all underlyings have options listed?
What are you attempting to arbitrage here? Your setup would only make sense if you look to extract alpha through trading implied volatility. Can you be more specific in order to understand what you are attempting to do? "Arbitrage" is nowadays such a misnomer describing anything and everything while in actuality arbitrage has a very closely defined meaning.
Sep
11
comment Should I use QuickFix or a 3rd-party commercial API to connect to the CME
...which just means that the exchange, like most other vendors that host fix connectivity, want to ensure a minimum safety check framework is maintained. I fail to understand why you relate this to the FIX engine. Certification is about testing FIX connectivity, order submission, handling, and fill management and it applies to whatever FIX engine you end up using. Obviously some proprietary FIX engines help with those tests and some open-source engines are less feature rich.
Sep
10
comment Should I use QuickFix or a 3rd-party commercial API to connect to the CME
Why are we talking certification when you just told me that you do not need to deal with it?
Sep
10
comment Should I use QuickFix or a 3rd-party commercial API to connect to the CME
As long as you do not mind about additional latency in the double digit millisecond realm you can safely go with QuickFix. I actually also use QuickFix for non latency sensitive order submission and it works fine despite a number bizarre design issues (such as MessageCracker,...)
Sep
10
comment Should I use QuickFix or a 3rd-party commercial API to connect to the CME
It completely depends on your use case. Do you require certification at the company you work at? Also, QuickFix requires quite an amount of additional code, most proprietary FIX engines already provide solutions to connect with most brokers, ECNs, and Exchanges. Then there is of course the question what latencies are acceptable to you. Quickfix is not the fastest out there, forget hft using Quickfix.
Sep
4
awarded  Nice Answer
Sep
1
comment Monte Carlo Options Probability Calculation
That was my point, there are ultimately unlimited ways how to model stock prices, some of which more standard than others. I am afraid your question is too broad and to answer it properly requires writing a whole book. Hence my suggestion to search for MC-related posts on this site, play with some of those suggestions and come back and ask more targeted questions (search for "Monte Carlo stocks").
Sep
1
comment For a interdays trading backtest system, should I put day open, close, high, low, volume separately into array?
I second your latter paragraph. In some cases storing the data in segregated arrays will be computationally more intensive than storing data of identical time stamp in a struct or class. I coded up my own binary data store and query engine and it ended up to be a lot faster than kdb for standard queries. The data store manages blobs by time stamp rather than segregating out by columns. Obviously my own custom solution only supports what I need and a fraction of what kdb offers. It all comes down what queries need to be supported.
Sep
1
comment Monte Carlo Options Probability Calculation
BS: Simpler computationally speaking but very limited in regards to payoff functions, most non vanilla options do not have closed form solutions. MC: More computationally intensive but very flexible in its usage, including your choice of underlying price driven process. But this is not a forum to walk people through the basics of option pricing or Monte Carlo applications. Please google those topics for solid introductions and/or search this forum because questions about MC already exist here.
Aug
29
comment VSTOXX Implied Volatility Calculation
thanks for additional comments, I still feel 1.4-1.6 is extraordinarily high even for near expiries but not saying its impossible.
Aug
23
revised Japan day count conventions
added 149 characters in body
Aug
23
answered Currency forwards implied interest rates
Aug
23
answered Japan day count conventions
Aug
22
comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices
@JoaoSerafim, I deleted my comments because I felt they were misleading. Quick summary of what I have been trying to say: The Black model is just the base framework. Depending on the underlying-forward/futures relationship (equity futures, commodity futures, currency futures, index f), the Black framework needs to be slightly adjusted and you end up with an extension of the Black framework, such as with Garman-Kohlhagen.
Aug
22
comment VSTOXX Implied Volatility Calculation
thanks for the update. Could you please comment on the y-axis units? It says ImpliedVol but the values do not correspond to reasonable implied volatility levels.
Aug
21
comment VSTOXX Implied Volatility Calculation
@Eli, would you mind sharing some of your findings? Of course only material you do not define as edge, I am simply curious what kind of analysis you have performed and the results you found as far as you feel comfortable commenting on. Would be a rare but highly pleasant treat.
Aug
21
answered How do I take an unbiased, sector neutral sample from a stock index?
Aug
17
comment How to compute a sector's volatility within a portfolio?
So, you want to calculate the variance of a specific portfolio subset (= sector), then why would you need the correlations of assets in the other sectors? All you need is the same inputs as if you calculate portfolio variance (asset weights (need to sum up to one within the sector), asset variance, and pairwise asset correlations within the same sector).