chrisaycock
Reputation
6,433
94/100 score
 Feb27 awarded Nice Answer Jan31 awarded Yearling Nov10 awarded Taxonomist Oct7 awarded Revival Sep30 awarded Explainer Feb8 awarded Good Answer Jan31 awarded Yearling Jan7 answered HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost Jan7 answered FIX binary decoder Dec14 comment Why does the adjusted closing price take into account dividends? @ThomasMcLeod The close is the closing price for any day before the ex-date. You can (and probably should) adjust all prices before the dividend by adding the dividend back. That will allow you to compute cumulative returns over a time period. Nov21 revised CVA DVA and Bilateral adjustment Removed signature Nov21 revised Accrued Interest in CVA DVA Removed signature and cleared-up some of the writing, though it's still hard to read. Nov21 reviewed Approve Finding Probabilities Using The Binomial Model Nov21 reviewed Reject What is the difference between volatility and variance? Nov21 comment Can I trade the volume of a security or index? I've never heard of a volume-linked instrument, but since volume and volatility are often related, you might be able to approximate what you want via a volatility-linked instrument. Nov20 comment Efficiently storing real-time intraday data in an application agnostic way Rather than simply provide a link, you could explain why HDF5 is efficient. How is the data stored? What searching capabilities does it provide? Etc. Nov19 comment How do I calculate Sharpe ratio from P&L? @statquant Let's say your firm posts \$10M with the prime broker. And let's say the firm's P&L at the end of the year is \$1M. That's a 10% return. As I stated in my first paragraph above, returns are computed based on the capital under management. If your employer felt they could get more than 10% returns from an index fund, then surely they would shut the company down and put that \\$10M in an ETF. You personally might not consider returns in that light, but the backers of your firm certainly do. Nov19 comment How do I calculate Sharpe ratio from P&L? @statquant How much capital did the firm have at the end of the day? More? Less? How does your employer determine your compensation? Nov18 comment Why does the SMA and EMA appear to be relative to the timeframe? Are you asking why the curve gets smoother if you increase the timescale for the moving average? Nov17 answered How do I calculate Sharpe ratio from P&L?