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May
23
comment Option pricing within the Black Scholes model
is there one in existence?
May
23
comment Why is USD LIBOR used for USD denominated securities?
I am one of the users with least knowledge of curve construction, there are true experts on this site, addressing this or future curve related questions.
May
23
comment What exactly is the OIS Black VOL?
Agree with DatamineR, please see my answer to another question: quant.stackexchange.com/questions/11400/…
May
23
comment Why is USD LIBOR used for USD denominated securities?
I added my own answer, hence built my earlier comments above into my answer.
May
22
comment The implied volatility surface and the option Greeks - to what extent is the information contained in their daily movements the same?
Not really. It all depends what sensitivities you try to derive. If you look at sensitivities of certain variables to changes in the implied volatility then those hardly correlate with, for example, theta, the sensitivity of the option price to the passage of time.
May
22
comment Implied Correlation using market quotes
I deleted the above comments as I added another answer, credit to your comments.
May
22
comment Implied Correlation using market quotes
I added an answer and hence deleted the other comments.
May
20
comment Which are the popular free/open-source charting controls?
The best free one I have come across in C# space is OxyPlot.
May
20
comment Is there any thing out there as a substitute for KDB?
I was not aware of that, thanks a lot for this update, +1
May
20
comment Databases for storing and querying high frequency tick-level data?
ups, just saw your answer, also recommended it in my comment to the question.
May
20
comment Databases for storing and querying high frequency tick-level data?
@Arman, check out Teafiles, also consider writing your own binary data store, or you could consider document DBs, but other than that there are not a whole lot of open-source columnar DBs out there.
May
19
comment Databases for storing and querying high frequency tick-level data?
out-of-the-box? This concept does not exist in finance, unless of course you want to "trade" bitcoins. Whatever time series store you decide to go with you will not get around doing a lot of performance analytics, tweaking, and customization. Just for your reference, KDB generally sends a host of "consultants" who stay for several days just to setup the initial database structure.
May
18
comment Black-Scholes: Why the focus on volatility?
@DonShanil, are you addressing the above to me or Andrew?
May
17
comment Difference betweem martingale property and adapted filteration
just curious, does Steven Shreve ring a bell for you?
May
17
comment Looking for C# library that provides/contains performance analytics
Thank you very much for pointing me into the rredis direction and indirectly into how to distribute workloads using different R sessions. I have not used R for quite some time as explained in my own answer, but have to admit that especially the capability to distribute workload through multiple R sessions opens up a whole load of new opportunities. Yet, for this specific project I still decided to write my own customized solution (also explained in my own answer). But that in no way diminishes my appreciation for walking me and other users through the options available to connect with R.
May
15
comment What is the equation for Garman-Klass volatility?
Google is your best friend, todaysgroep.nl/media/236846/measuring_historic_volatility.pdf
May
15
comment Looking for C# library that provides/contains performance analytics
that itself would not be the issue, I just wonder whether there is a simple way in R to execute "string commands". I think I could use Parse and Eval...?
May
15
comment Looking for C# library that provides/contains performance analytics
I see that, but I fail to see how I can perform automated command processing off redis queues with rredis. Is my assumption correct that I would have to write the listener and processor myself?
May
15
comment Looking for C# library that provides/contains performance analytics
I posted a question on stackoverflow (stackoverflow.com/questions/23672491/…) because I am getting errors when executing a simple example regarding doRedis. Is doRedis even the right package to use if I just want to have a single worker that picks up commands from the redis queue and stores the results back on redis? I am asking because doRedis seems to really zero in on distributed workload processing through foreach loops. Any hints? Thanks
May
15
comment What is the motivation for index benchmark?
And your last point, while valid, only applies again to relative performance. Yes you may get fired if you underperform all your peers, but nobody questions you nor fires you if even the top performer lost a sizable percentage of money invested. Because of that hardly anyone in the conventional buy side industry (hedge funds excluded) truly searches for outstanding but unconventional trading ideas. I do not only fault the PMs, it is the whole regulatory framework that is to be blamed. The term "Long only" should not even exist in our industry.