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visits member for 2 years, 1 month
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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.
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
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.
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?