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Apr
2
answered Did farmers really buy options on the CBOE?
Mar
25
comment Heuristics for calculating theoretical probabilities of being ITM at time T for listed options
@Dragan: A heuristic for that is to calculate the breakeven, at price of the underlying for a given position, then take the delta for an option at that strike. that is your probability of success for the trade. (the probability that the underlying reaches that level by expiration it works for any options position)
Mar
24
answered Is statistical arbitrage on FX possible?
Mar
24
answered Heuristics for calculating theoretical probabilities of being ITM at time T for listed options
Mar
22
answered Quanto CDS modeling
Mar
22
answered Ultra-High Frequency Trading Help
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.