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visits member for 2 years, 7 months
seen Oct 23 at 7:04

Jul
9
comment American Swaption Heding with Malliavin Calculus
Sorry, I meant the other delta in front of the summation sigma in C. It might be just a constant? Hm, maybe it is not a delta at all... So the hat does not denote some kind of averaging but R^hat is simply a constant, correct?
Jul
9
comment American Swaption Heding with Malliavin Calculus
Could you define delta, Z and R^hat, please?
Apr
11
awarded  Yearling
Feb
21
answered how to back out levels from a forecast of differenced series
Feb
19
answered How do I simulate stock prices for a 10 asset portfolio, over a period of 10 years in MATLAB?
Feb
15
comment Change of order size
You do not lose queue priority then. But check for the exchange and market you are interested in. This might differ from exchange to exchange and from market to market.
Feb
12
answered Change of order size
Jan
16
awarded  Nice Answer
Apr
11
awarded  Yearling
Oct
20
comment Alternative liquidity measures
If you explain what Amhiud is, I might give you another one.
Oct
19
comment .NET statistical packages recommendation
It's not .NET or C(++/#), but you could use python or call it from these languages. There you could use pandas. If you can write C, you'll learn Python in an hour. Knowing Matlab would be a plus.
Oct
17
accepted Order and position management in (semi-)automated trading system
Oct
17
comment Order and position management in (semi-)automated trading system
Simple database: save sent orders, save broker/exchange response, i.e. logging. Positions are deduced from responses. History and currently active orders/positions should be separated (flag as active). Maybe I overcomplicated by thinking about design patterns.
Oct
17
revised Order and position management in (semi-)automated trading system
added 293 characters in body
Oct
17
revised Order and position management in (semi-)automated trading system
added 30 characters in body
Oct
16
asked Order and position management in (semi-)automated trading system
Oct
14
comment Resources for performance statistics of trading systems
It's just monthly data, but maybe state of trend following is of interest to you. There are monthly posts at least for a couple of years. see automated-trading-system.com/…
Oct
14
revised Analyzing tick data
added 216 characters in body
Oct
13
comment Resources for performance statistics of trading systems
With 'successful trading systems' I see 2 difficulties: 1) 'successful' is debatetable and depends on your definition (is a year of non-negative returns enough, although ultimately you lost 75% in 3 years?) 2) I believe truely successful strategies are not disclosed and those that are, might suffer from survivorship bias. Maybe looking at (hedge) fund performances would be a viable alternative, although survivorship bias might apply as well.
Oct
10
comment Analyzing tick data
1, 2, 3 & 4 are options, not steps. Either 1, 2, 3 or 4. ad 2) treat time as some variable tightly related to the original time series, maybe forecasting both in order to know where price goes and when it goes there. ad 3) find some small time increment such that all oservations of the original time series roughly fit on some time of your new equidistant time series. ad 4) summarize your data maybe per 500 microseconds and create for example open/high/low/close information for each 500 microsecond batch