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visits member for 3 years, 10 months
seen Jul 2 '12 at 15:08

Jul
2
comment Calculate historical (ATM) option prices with public data
Stutzer's paper indeed has everything you need. It just takes a bit of time to put things together.
Jul
1
comment Calculate historical (ATM) option prices with public data
I was hoping to get an example or some (R,C,Excel) code to do it. It is the first time I try it so I don't understand all the variables yet.
Jun
20
comment Monthly data for popular indices (constituents).
Hi again Thomas, I want to try to download daily data now. Have you tried to do that automagically for long periods?
Jun
20
comment data on historical stock price of bankrupt companies
The company might still be around even after bankruptcy but you need to know the ticker to get the data from yahoo. For lehman brothers it would be LEHMQ finance.yahoo.com/q/bc?s=LEHMQ.PK
Jun
20
comment How stressful is work of quants?
i.e. how long is a piece of string? :D ... It depends on the country, boss, team, company, salary, market, weather, etc. It would be interesting to see people commenting on their particular situation but I doubt they will be willing to give too much information.
Jun
8
comment Monthly data for popular indices (constituents).
Thanks a lot Thomas! Unfortunately, I saw the answer a little bit late. I spent the whole afternoon yesterday doing that. The good thing is that I can confirm that it works! ... now, if I could only find an easy way to do the same but with daily data...
Jun
4
comment Monthly data for popular indices (constituents).
It would be nice to point out that you are the one selling the data. It is part of what I am looking for, but I still want the prices and other indices.
Jun
4
comment Monthly data for popular indices (constituents).
You can do it for the current components, sure. But what websites are you going to visit if you want to extract the info for the 1990's?
Apr
11
comment FX Tick Data question
The GAIN data is quite unreliable (unordered and with gaps). The best place for free data I have found is dukascopy: dukascopy.com/swiss/english/data_feed/historical , although it would be great to see how that compares to a real provider.
Mar
30
comment How to design a custom equity backtester?
What happens if the signal is triggered during the last bar of the day? Do you assume you buy at the close or would you buy at the next (day) open?
Feb
9
comment How 'High' is the frequency in HFT?
Thanks! The article is exactly what I was looking for.
Feb
8
comment Categories of systematic trading strategies?
@Shane Please be my guest, you can probably phrase it better than me. Second try: "What are the subcategories for 'Trend Following' and 'Mean Reversion' strategies?. I know only of moving average crossovers for the former and pair trading for the latter. "
Feb
8
comment Categories of systematic trading strategies?
Saw it coming ;)... At least I know what kind of thing not to ask now.
Feb
8
comment Categories of systematic trading strategies?
Thanks for the answer! According to that I can say I am interested on "Price" since all the Fundamental stuff is too complicated for the moment, now I just have to find pointers for "Trend" and "Reversal" strategies. Why are chartists astrologists? it looks reasonable to write an algorithm looking for ascending triangles and buying at the break point. You could look at historical data and say that strategy works 62% of times with a win/loss ratio of 2$/1$. Then you test it live to see if you get the same numbers... (I'm really curious about the horoscope comparison)