161 reputation
6
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location Irvine, CA
age
visits member for 2 years, 4 months
seen Nov 6 at 18:28

I love creating elegant software solutions to novel problems.

Data is the future. Optimization is not our enemy.


Dec
5
comment How to Delta Hedge with Futures?
A factor you have ignored is contango. A risk you have ignored is clearinghouse margin adjustments. There are others, but these two are sufficient to undermine the arbitrage.
Dec
4
comment What advanced statistical techniques are quant researchers using?
What I've found, in writing analytics software, is that many analysts "abuse" statistics to form invalid conclusions. I presume that when trained statisticians (or well published algorithms) disagree with their conclusions that the managers presume their methods are too advanced... when, in reality, they're just fallacious.
Sep
5
comment NYSE Early Close Rules (July 4th and Dec. 25th)
Rather than hard-coding it into your application, you could have it read from a config file since they publish the schedule ahead of time. Also, if you think you're going to code it and not update it at least once a year you're wrong.