457 reputation
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bio website twitter.com/experquisite
location Vancouver, Canada
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visits member for 1 year, 8 months
seen 19 hours ago

Derivatives pricing in C++, automated trading in Scala.


1d
comment Testing for the presence of a positive or negative gamma effect
Maybe try a high-frequency hurst exponent test?
Aug
16
comment Calculating short/long order percentages?
You will not be able to tell short orders from sell orders, and furthermore, it doesn't look like you have any trade data at all. All you have is orders to sell and orders to buy. The problem you are going to (eventually) have is you cannot determine whether a reduction of the size on one side of the order book is caused by a fill (someone selling via taking liquidity) or by someone cancelling their resting buy order (possibly in anticipation of buying via taking liquidity).
Aug
11
comment How good is managed code for algo trading?
FWIW these days, anyone doing trading on the JVM will eventually be investigating Azul's Zing JVM, which features absolutely pause-less GC
Aug
7
comment High correlation will help detect spurious regression over cointegration?
I am not sure that the correlation really has anything to do with whether a cointegration model is spurious or not. You might get some additional insight from a principal components analysis?
Aug
3
comment Backtesting with Simulated Historical Data?
Marcos de Prado has a great paper on at least detecting this bias: trajectablog.files.wordpress.com/2013/09/…
Aug
3
comment How to build an execution trading system with CQG API?
This sort of thing is probably better automated with NinjaTrader, or perhaps Quantopian. Definitely it doesn't seem like a question for quant.SE?
Aug
2
comment Models for volatility estimation of high frequency data?
The key thing is to filter out irrelevant trades using their trade condition codes, and then handle the bid/ask bounce perhaps by marking at the mid price just smoothing it out. quant.stackexchange.com/questions/11484/… I am also hoping that amazon.com/… will cover these techniques, though I haven't gotten around to reading it yet.
Jul
23
comment What happens when bond price is less than the recovery rate
Well, if its very simple, you could set the recovery rate to 0?
Jul
23
comment What happens when bond price is less than the recovery rate
The recovery rate is not guaranteed at all, at maturity or otherwise. It's an estimate of the eventual proceeds of the sale of assets of the company, as they accrue to each particular bondholder with their rights and seniority in bankruptcy.
Jul
23
answered What happens when bond price is less than the recovery rate
Jul
5
answered What are the unfair order execution/routing advantages HFT firms apparently have?
Jul
4
answered What is the Most Efficient Way to Calculate the Internal Rate of Return IRR?
Jun
26
answered economic facts that causes the financial time series to be heavy tailed
Jun
26
comment How to combine trading signals to achieve higher capital efficiency?
It is possible to online calculation of most of what you would need, see: thalesians.com/archive/public/academic/finance/papers/… But, as you say, perhaps that wouldn't be fast enough if you are doing HFT.
Jun
26
comment How to combine trading signals to achieve higher capital efficiency?
I've pointed out an approach that takes into account the covariance of the strategies' returns, the strength of the trading signals as well as your own risk tolerance. This is all well-trodden ground. The next level is stochastic control. But if you want to mess around talking about manually mixing and matching strategies, I guess that's your prerogative.
Jun
25
answered How to combine trading signals to achieve higher capital efficiency?
Jun
23
answered Do quants need to know Accounting?
Jun
20
comment What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?
I am evaluating activetick right now, so far so good. Next test is for cloud-hosted latency.
Jun
5
comment Why is the VIX futures market usually in a state of contango?
To get a handle on this, you need to look beyond the VIX futures to the VIX itself, what it means, how it's calculated, and what drives options prices. It's important to understand that the VIX futures are not futures on some fungible spot commodity, they are futures on an index calculated from different sets of option volatilities. Option implied volatilities exhibit rich skews and term structures by virtue of the limitations of the Black-Scholes model in expressing traders' views of actual supply vs demand, so the VIX futures contango problem is a deep one.
Jun
3
comment What exactly is the OIS Black VOL?
Yes, there is a way, but I am not aware of a easy way - the only way I am aware of is to price all the swaptions with the OIS vol to get their premium, then restrip them back to LIBOR vols. EDIT: that said, I don't know why you would need to, BBG has all the Libor vols too. EUSV011 Curncy vs EUVE11 Curncy for instance (LIBOR vs OIS)