chrisaycock
Reputation
117/100 score
 Nov 21 revised Accrued Interest in CVA DVA Removed signature and cleared-up some of the writing, though it's still hard to read. Nov 21 reviewed Approve Finding Probabilities Using The Binomial Model Nov 21 reviewed Reject What is the difference between volatility and variance? Nov 21 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. Nov 20 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. Nov 19 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. Nov 19 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? Nov 18 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? Nov 17 answered How do I calculate Sharpe ratio from P&L? Nov 17 revised How do I calculate Sharpe ratio from P&L? Idiomatic English. Removed nonsensical paragraph. Nov 17 answered Question about weighted midpoint formula Nov 16 answered How to convert trasaction log to bid-ask ticks Nov 15 comment How to convert trasaction log to bid-ask ticks If you don't know what the quotes are, then you can't recreate the quotes. The trades don't tell you anything. There could be hidden liquidity. The bids and asks could have moved around a lot. Etc. You can't just recreate the quotes given a list of trades. 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 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?