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location Irvine, CA
visits member for 2 years, 1 month
seen Dec 2 '13 at 17:27

I love creating elegant software solutions to novel problems.

Data is the future. Optimization is not our enemy.

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.
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.
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.