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visits member for 2 years, 9 months
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May
12
comment How to price long dated options most efficiently?
BS is not a good model for long-dated European options. Among others put delta is severely understated. Also, you want to keep in mind that implied volatility for long term options exhibits strong auto-correlation with time and reflects a geometric decay pattern. This should lead to the next question then whether the volatility process modeled should not be given much more importance for long-term options over short-term options. Keyword: Stochastic volatility. (contrary, it has been shown that stochastic rate processes do not really improve the model for long-dated options). My 2 cents...
May
12
comment In a mis-matched trade who profits?
would be nice to add a "disclaimer" :-)
May
12
comment Why is “full” Yield Curve (term structure of interest rates) 3 component based?
Look at the "Related" section on this page alone, and you shall find all your questions answered. QLNet provides yield curve building, bootstrapping, and related functions.
May
10
comment Looking for C# library that provides/contains performance analytics
...and running the accompanied sample code and having to deal with runtime errors is a show stopper for me, meaning the library is either hopelessly outdated or the library was coded up in a sloppy fashion. (And yes, I configured RServe correctly). I rest my case with this, if RServe works for you then all the more power to you.
May
10
comment Looking for C# library that provides/contains performance analytics
I am not sure what you are talking about. R is not the right solution for me and I would only go this route if there is no other alternative and here is why: It takes more than 10 seconds to send a simple array/vector with 1,000,000 elements through R.NET. On the other hand the Rserve C# client comes out of the box with runtime errors. Unfortunate but very typical experience for me with many packages and extensions regarding R. The big issue is that a lot of this stuff is not peer reviewed and more often than not packages contain serious bugs.
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
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
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
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
comment C# Broker API for FX Trading
For what it's worth, Interactive Brokers just released a native C# .Net API.
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.
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.