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Apr
14
comment Relationship between Beta and Standard Deviation
beta is not volatility: it is the multiplier to apply to the benchmark returns to obtain the best estimate of the instrument returns: r = beta * b + TE, where TE is the tracking error. Hence you can have a very low beta if you are independent from the benchmark, and a large volatility.
Apr
14
comment How does a small recovery in oil prices equate to risk appetite?
I'm voting to close this question as off-topic because it is not a quant question, it is one on economics
Apr
14
comment How does a small recovery in oil prices equate to risk appetite?
I did not voted down, but this is a quant stackexchange, and your question is rather on economics.
Apr
14
comment Getting quote stream via fix-api 4.3
I'm voting to close this question as off-topic because it is a pure IT question (hence off topic)
Apr
14
comment How to work with two instruments in quantstrat
I'm voting to close this question as off-topic because it is a pure IT question (hence off-topic here)
Apr
14
comment American option - Upper bound
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. - From Review
Mar
10
comment Template for Bloomberg terminal
I'm voting to close this question as off-topic because it is not a quant question at all
Dec
9
comment Solving inequality constraint
I'm voting to close this question as off-topic because I m not sure it this a financial question, but a programming one
Nov
20
comment open problems in mathematical finance
I think we can keep the question here
Nov
11
comment How to calculate unsystematic risk?
just a point, your 'unsystematic' risk is usually termed 'idiosyncratic' risk.
Nov
11
comment How difficult/easy it is to migrate from CME FAST to CME MDP3.0?
I'm voting to close this question as off-topic because it is not related to quant finance but to IT
Nov
11
comment Order ID or Broker information from TAQ or Limit Order book?
no, you have to implement an algorithm assuming for instance that as far as the timestamps are "close enough" and prices compatibles, it is part of a large marketable order consuming several resting orders in the book. It the market is fragmented it is more difficult...
Oct
18
comment How are we underestimating liquidity risk?
Fully agreed @bushmanov, I wanted to make sure there is not in the discussion an implicit view like "liquidity cannot be modelled". It is not true at all. Of course (as usual with models) you have stationarity issues.
Oct
12
comment Cost of revenue vs SG&A
I'm voting to close this question as off-topic because it is not quant finance
Oct
10
comment Execution quality for illiquid securities
Could you give examples of securities you have in mind?
Sep
10
comment why is there a cancel/replace message in FIX?
Welcome to quant.exchange Amsh, +1 for your answer
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
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.