6,113 reputation
31558
bio website chrisaycock.com
location New York, NY
age 32
visits member for 3 years, 2 months
seen Feb 13 at 20:30

Nov
15
comment How to convert trasaction log to bid-ask ticks
You can't. Your incoming data looks like the day's closing price. There is no way to derive the quotes from that.
Nov
15
comment Binary options and European option is similar?
Wikipedia has a good write-up of this.
Nov
15
comment I want to optimize an equity portfolio for the four central moments can anyone help me with the problem formulation
What are you are doing to optimize for mean and standard deviation?
Nov
14
revised Mapping Futures Data Into Mantas
Removed signature
Nov
12
revised Interpretation of cross-correlation matrix when one sample distribution is not normal
Markdown formatting
Nov
12
comment Dirty price of US T bill
@olaker They'll probably just close it on their end.
Nov
11
comment Dirty price of US T bill
@olaker Money.SE isn't going to want this question. They deal with personal finance, like retirement planning and taxation.
Nov
11
comment the law of comparative advantage and exchange rate
Currencies are just agent of trading What about pegged currencies?
Nov
10
comment interpreting huge jumps
Dealing with routine markets movements is just part of the job when designing models.
Nov
7
comment Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
You need to disclose your affiliation, otherwise this is just an ad (and not even a very good one).
Nov
7
reviewed No Action Needed Has spectrum analysis ever been used successfully to analyse historical price data?
Nov
6
revised What is the stochastic differential of a general semimartingale?
Inlined link, and a little more idiomatic.
Nov
6
comment Is the risk-reward ratio considered in Quantitative Finance?
Do you know what the Sharpe ratio is?
Nov
5
comment How to construct the binomial model for European option?
I've edited your post to use $\LaTeX$. Please make sure it is correct.
Nov
5
revised How to construct the binomial model for European option?
LaTeX
Nov
4
comment Training set of tick-by-tick data?
You are the second person affiliated with LOBSTER to comment today. Did a memo go out or something?
Nov
4
comment Question on Barrier Option and Skew
Is this a homework question?
Nov
2
revised IMM rolls: Are there special business day conventions?
Removed signature.
Nov
1
reviewed Edit suggested edit on pairs-trading tag wiki
Nov
1
revised pairs-trading wiki description
deleted 172 characters in body