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Sep
22
answered Is there a contradiciton between option prices being martingales and the use of options for speculation?
Sep
22
comment Implied term structure from risky discount curve: does it make sense?
No offending behavior at all in particular, I merely pointed out that your accept rate seems very low. You could perhaps glance over all your past questions which you have not selected as answers and select answers that you find address your question.
Sep
22
comment Implied term structure from risky discount curve: does it make sense?
not trying to be too investigative, but you find 50% of questions you asked and received multiple answers for not worthy commenting on or marking as sought after answer? Maybe a comment that you do not find any of the answers properly answered would help?
Sep
22
comment Implied term structure from risky discount curve: does it make sense?
Just my 2 cents, if you would work a little to slightly improve your answer accept rate then more people (well at least I) would feel inclined to make more effort to answer this and your future questions...at least, that is how, I think, the dynamics work on this site, the community lives from answers, feedback given on answers (through comments or accepting answers).
Sep
19
comment Robust Returns-Based Style Analysis
I do not see why a risk-adjusted return analysis (which Sharpe is) is flawed just because a fund frequently changes strategies. Sharpe calculations have nothing to do with linear regressions. Of course there are improvements that can be made, I am not saying that Sharpe measures are perfect, but it still is industry standard by which you, funds, anyone is measured before people take a closer look.
Sep
18
comment Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?
What I listed are key concerns that determine whether the arbitrage makes or loses money, they are far from being operational. Your answer links to the no arbitrage argument to price a future/forward.
Sep
17
comment Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?
this has very little to nothing to do with the question at hand. The challenges arising from index arb are the necessity to execute multiple orders at very low latencies and to overcome the bid-offer spread in the underlyings, traded, the probability of getting filled when submitting orders around mid levels (its almost a given that index arb turns out to be a negative expected value proposition when being forced to be a complete market-taker), and the challenges to remain fully hedged when trading the arb.
Sep
17
comment Pre-Trade Slippage Costs For Option Spread Execution
you are omitting the most crucial piece, which is queue priority and how aggressive/defensive market makers are.
Sep
16
comment Time series analysis on illiquid price data?
what makes you think it is initially mispriced? And towards which theoretical mean, given there is no reference level to gravitate towards? As said, using other asset's time series is possibly one of the worst proxies you could pick. But that is just my 2 cents without exhaustive research on the topic. Why don't you test on your theory on past IPOs?
Sep
16
comment Time series analysis on illiquid price data?
I would strongly discourage you to estimate the first trading price of A as function of current (and even historical time series) of comparable companies. The opening trading price is best estimated from A's own fundamentals as well as subscription price, support period price bands, which banks underwrote the stock, how much the company intents to float, public interest, .... You are in for a tough exercise with tons of margin for error if you attempt to price the trading range based on where comparables trade(d)
Sep
13
awarded  Quorum
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").