2,532 reputation
414
bio website quant.stackexchange.com
location United States
age 37
visits member for 3 years, 10 months
seen 2 days ago
  • primarily trade options(listed equities).
  • math background + quant masters
  • algorithmic developer

Mar
22
awarded  Critic
Mar
22
comment Keeping a track record honest
@barrycarter: tweets, brokerage statements, and attestation by a CPA will get it done. Assuming that this question is not purely academic... what you want is more subscribers, right? With social media, if your service is valuable you can get other subscribers to provide the social proof for you simply by providing valuable selections. They'll retweet, or repost, or whatever... and then the 100% non-repudiation isn't an issue. If someone follows you closely for any length of time, they'll notice if you are playing delete games with your tweet stream. Don't worry about it.
Mar
20
answered Keeping a track record honest
Mar
20
comment Discrete-time model: stock dynamics
@Gortaur: All of those models are suitable for both currencies and stocks. There are several non autoregressive models that are applicable for stocks, but don't work well for currencies.
Mar
18
answered Discrete-time model: stock dynamics
Mar
12
answered Does the gamma function have any application in quantitative finance?
Mar
2
comment How to encode trading strategies mathematically
make a function like this: MA(int numdaysavg){return sum(x[i] thru x[i-numdaysavg] / numdaysavg} then use the results of this function over time, [a time series] along with a time series of returns or prices... (this wouldn't be much of a factor model because you only have one factor (moving avg). You can add as many as you like from there.
Mar
1
answered How to encode trading strategies mathematically
Feb
26
answered USDCAD options vs CADUSD options arbitrage?
Feb
26
answered What is the best data structure/implementation for representing a time series?
Feb
26
answered What is the “delta” option quoting convention about?
Feb
26
comment What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?
@user483: here's a good source to get a handle on the order cancellations that chrisacock talks about and the quote lagging that I referred to: nanex.net/FlashCrash/CCircleDay.html
Feb
26
answered Hedgefund-like behavior for covered call selling account?
Feb
25
comment What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?
@chrisaycock: i should have have been clearer. choose the trade time and sales as your basis, and see how long it takes the quote to catch up to the trades(TAQ, or NBBO, or other). Most HFT, in equities, is based on the lag between RegNMS feed, and the exchange/colo feed.
Feb
25
answered Which risk-free rate to use to price a bond issued in one currency but convertible into equity in another?
Feb
25
comment Price of Brent versus West Texas Intermediate
@bill_080: nothing says that you have to place the spreads at the money. Depending on the vol difference between the two, it's still possible to make money even if the spread doesn't come in before expiration.
Feb
25
answered What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?
Feb
24
comment Price of Brent versus West Texas Intermediate
@bill_080: You could buy a call spread on WTI and a put spread on BRENT, both in the same month. It's not arbitrage, but the risk is well defined...
Feb
23
comment How does UBS hedge its exposure to XVIX ETN?
it still has tracking error. look at the daily return series. (not enormous, but it is present). Wait till vix gets really high like into the 30's, you'll likely see the tracking error increase.
Feb
23
answered How does UBS hedge its exposure to XVIX ETN?