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bio website rocko.co.nr
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visits member for 1 year, 4 months
seen Dec 20 '12 at 9:00

ex-quant turned trader.


Dec
20
comment Target daily ROI for a market-making algorithm
Hey forgot to mention, your ROI will also be tied heavily to transaction costs + margin req, which depends on your exchange membership/negotiation with the direct access broker.
Dec
19
awarded  Commentator
Dec
19
comment Trading a synthetic replication of the VVIX (volatility of VIX)
Hey Victor, since your question's around "trading..." a closely replicated product. If you have an edge estimating vix vol, message me privately and I'll walk you through ways to exploit it with vix options. GL
Dec
18
comment How to build an electricity portfolio for an electricity production company?
I've had some very similar homework assignment problems back in good'o undergrad years. Good luck.
Dec
18
answered Trading a synthetic replication of the VVIX (volatility of VIX)
Dec
18
comment How to build an electricity portfolio for an electricity production company?
Question's too broad. I sense this is a part of homework assignment.
Dec
18
comment Trading a synthetic replication of the VVIX (volatility of VIX)
there's mean reversion with any index vol/var
Dec
18
answered Target daily ROI for a market-making algorithm
Dec
18
comment performance attribution
The gist of the idea is to create spreadsheets with prices of products you're trading. Then using various excel functions, you could simulate trades, and review associated stats. :)
Dec
16
comment Cointegration trading: Ignoring pairs that aren't economically related
I think Edouard just made a good point of something that number crunching wouldn't picked up. Gotta do your homework before going live with any trade.
Dec
16
comment Basket option pricing: step by step tutorial for beginners
hi Lisa, yes I'd start the synthetic underlying value as a weighted average of each asset's value. As for the basket variance/vol, I meant to get it empirically by simulating basket (e.g. create a column of the summed prices in excel). That's enough to derive the variables needed for models such as Heston's. Hope that helped!
Dec
16
comment How to improve the Black-Scholes framework?
yes that's why Goldman Sachs didn't care about their high speed trading code taken by an ex-employer intending to distribute for profit. wired.com/threatlevel/2011/03/aleynikov-sentencing Mind you by now I'm sure everyone in town and their grandmas have developed counter strats against this, haha.
Dec
16
comment Cointegration trading: Ignoring pairs that aren't economically related
Hi, what I meant is that the number crunching such as cointegration is only curve fitting, which may not present an actual edge that's likely to persist into the future. You need to focus on discovering exploitable economic inefficiencies; the number crunching is really only to see HOW profitable an edge is.
Dec
16
answered performance attribution
Dec
16
answered Basket option pricing: step by step tutorial for beginners
Dec
16
answered Cointegration trading: Ignoring pairs that aren't economically related
Dec
7
awarded  Teacher
Dec
6
answered How to improve the Black-Scholes framework?
Dec
6
answered Profit estimation with a dice: 10 dollars for 6, -1 dollar for anything else
Dec
6
comment Pair Trading Index Options
Do you know which uncertainties you're trying to exploit? Short term break down of correlations, net difference in vega, getting "free gamma", etc. Until you know what you're working to achieve, it's pretty difficult to give you specific, helpful information.