chrisaycock

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3,777 reputation
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bio website chrisaycock.com
location New York, NY
age 30
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I do high-frequency trading, mostly in C++ and q/kdb+. I am a pro tem moderator of Quant SE. My views are my own and do not reflect the same of my employer.

My favorite answers:

Separating the wheat from the chaff

How much data is needed to validate a trading strategy

Time-series similarity measures

Column-oriented storage for tick data

A new programming language can only succeed if it capitalizes on an emerging frontier


3,777 Reputation

+40 Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock?
+10 Order submission strategies of a rational market maker?
+10 Exercising an American call option early
+10 HFT: What is the big differentiator in comparison to other time scales?
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performance-evaluation
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