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Jul
9
reviewed Looks OK Appropriate method for calculating negative returns on a trading strategy?
Jul
9
reviewed Delete where to get long time historical intraday data?
Jul
9
comment where to get long time historical intraday data?
While this link may answer the question, it is better to include the essential parts of the answer here and provide the link for reference. Link-only answers can become invalid if the linked page changes.
Jul
9
comment where to get long time historical intraday data?
Please post this kind of answer as a comment or be more versatile.
Jul
9
comment Orderbook Arbitrage
@emcor I am not sure gaming has to be over estimated (see the update of my answer)
Jul
9
revised Orderbook Arbitrage
added 600 characters in body
Jul
8
reviewed Approve market-efficiency tag wiki
Jul
8
comment Orderbook Arbitrage
@emcor : price manipulation is not allowed, regulators are monitoring orderbooks to detect this. If you nevertheless want to protect yourself against it, it is not that hard to monitor the midprices and quantities at first limits to avoid to be gamed.
Jul
8
revised Orderbook Arbitrage
added 1 character in body
Jul
8
answered Orderbook Arbitrage
Jul
8
reviewed Approve What are Barra style factors useful for?
Jul
8
reviewed No Action Needed How to construct a cointegrating vector using more than 2 price series in R?
Jul
8
reviewed No Action Needed What are Barra style factors useful for?
Jun
27
reviewed No Action Needed Are there any good tools for back testing options strategies?
Jun
27
reviewed No Action Needed How can I calculate $Cov\left(\int_{0}^{s}W_u\,du\,\,\,,\,\int_{0}^{t}W_v\,dv\right)$
Jun
19
reviewed Leave Open Suppose you bought a July ITM call and sold an August ATM put, am I net long or short?
Jun
17
reviewed No Action Needed Parameters variation in fundraising financial model
Jun
17
reviewed Close What sources would you recommend for Real Time Market Data other than Bloomberg/Reuters?
Jun
17
revised out-of-sample variance using rolling window
edited tags
Jun
17
comment Importance Sampling - where to center the sampling distribution?
I would recommend this paper arxiv.org/abs/math/0702473 . It makes a link between importance sampling and large deviations, and give some applications to finance.