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visits member for 2 years, 7 months
seen 8 hours ago

May
9
comment Looking for C# library that provides/contains performance analytics
...but by all means if you think your suggestion is the best you can think of feel free to write up a 1-2 liner as answer...it is definitely A way to solve the question at hand.
May
9
comment Looking for C# library that provides/contains performance analytics
@Dirk Eddelbuettel, slightly bizarre is all I can say. Not sure whether you would also convince your coworkers or bosses to use 2-3 detours to force them into R when a Java or C++ solution is asked for. PerformanceAnalytics is a great R package if I wanted to use pure R. But to ship a large time series across the .Net-R interface and having to wait literally an eternity just does not make it feasable for me to go this route.
May
9
revised Looking for C# library that provides/contains performance analytics
added 165 characters in body
May
9
comment Looking for C# library that provides/contains performance analytics
@DirkEddelbuettel, nobody disputed that a package for R exists and I acknowledge your expertise on the R side (among most likely other, to me unknown, areas) . But I think I made clear that I look for a C# library, not an R package. I am a bit irritated why the condescending tone, if you do not know of such library or dislike Windows or .Net for that matter, why having to comment?
May
9
awarded  Promoter
May
9
comment What does “true”volatility mean in volatility comparison?
Do you have backup for this claim? I am not aware that institutional vol traders peruse specific compressed bar data to calculate realized vol. Some may, but to my knowledge there is no best practices that refer in any way to 5 minute data.
May
8
revised Calculate correlation between two sub portfolios and the combined portfolio
added 4 characters in body
May
8
answered Calculate correlation between two sub portfolios and the combined portfolio
May
8
answered What does “true”volatility mean in volatility comparison?
May
6
comment Looking for C# library that provides/contains performance analytics
@Joshua Ulrich, I am familiar with the library and have coded against it but at this point I rather like to perform all computations natively in C# or else export the dataset (most likely through Redis) and run the analytics in R. At the moment I prefer to run within C# only. R.NET is good at running a couple commands but shipping larger datasets through the API seems very slow.
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