chrisaycock

5,290 reputation

21357

bio	website	chrisaycock.com
	location	New York, NY
	age	31
visits	member for	2 years, 3 months
	seen	4 hours ago
stats	profile views	1,515

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

	5,290 reputation	bio	website	chrisaycock.com	visits	member for	2 years, 3 months
21357 badges		location	New York, NY		seen	4 hours ago

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1,412 Actions

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10h	revised	Are there any new Option pricing models? Removed ill-formed link as it pointed to a user's private sandbox.
1d	reviewed	No Action Needed Early execise of American Call on Non-Dividend paying stock.
1d	comment	Quality of GAINDATA timestamps I didn't downvote you. I rolled-back your question because you edited it to leave a comment asking why you were downvoted. You aren't new to Stack Exchange; you know by now that questions do not have comments asking why they were downvoted. Stop doing this.
1d	revised	Quality of GAINDATA timestamps rolled back to a previous revision
2d	comment	Is Unexpected Loss ever used in Basel II? Could you rewrite the equations here to use $\LaTeX$?
2d	revised	Quality of GAINDATA timestamps rolled back to a previous revision
May 17	comment	Which brokers offer a .NET stock trading API? What is it with you and the TradeStation WebAPI?! You know, we do expect people who post on here to actually work as professional quants. See the FAQ.
May 17	reviewed	No Action Needed characterization of coherent risk measures
May 17	reviewed	No Action Needed Covariance of brownian motion and its time average
May 17	reviewed	No Action Needed How to prove that markets are incomplete under the Stochastic Volatility model?
May 17	reviewed	No Action Needed Overnight Index Swaps
May 17	reviewed	Reviewed Compute a time series of daily volatilities in R
May 17	reviewed	No Action Needed Are public historical time series available for ratings of sovereign debt?
May 17	reviewed	No Action Needed Which brokers offer a Python stock trading API?
May 17	reviewed	Close Compute a time series of daily volatilities in R
May 17	comment	Option trading API other than Interactive Brokers TradeStation has already been mentioned a few times.
May 16	comment	Market Exposure and Hedging Do you know what a risk model is, or how to do principal component analysis? It sounds like you just want to hedge against few factors. So pick some sector ETFs that replicate your portfolio's primary risk factors.
May 16	revised	R Outputs from Johansen test. Linear combination still not stationary? Code formatting in Markdown
May 15	comment	Quantitative Finance in Asset Allocation This is a site intended for professionals, i.e. people who do this for a living. See the FAQ.
May 15	comment	Profiting from price discrepancies between stock exchanges @lmorin This is turning into an extended discussion; you should post your scenario as a separate question. As part of that, think about a specific example first.