chrisaycock

5,278 reputation

21357

bio	website	chrisaycock.com
	location	New York, NY
	age	31
visits	member for	2 years, 3 months
	seen	6 mins ago
stats	profile views	1,514

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

	5,278 reputation	bio	website	chrisaycock.com	visits	member for	2 years, 3 months
21357 badges		location	New York, NY		seen	6 mins ago

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May 5	revised	How to implement Maximum Diversification in R? Markdown formatting
May 5	comment	Multi Factor Credit Risk Models Can you summarize the contents of that presentation in the body of your answer?
May 4	reviewed	Leave Open What does it mean to adjust for short-run liquidity in finding risk-free rate of return
May 4	reviewed	Close question about Mean Variance optimization in C#
May 4	answered	Analyze raw tick data
May 4	revised	Analyze raw tick data More idiomatic.
May 4	revised	Is vega of Black-Scholes European type option always positive? LaTeX corrections
May 4	reviewed	Approve suggested edit on Philips-Ouliaris test for cointegration
May 3	reviewed	Approve suggested edit on What does it mean to adjust for short-run liquidity in finding risk-free rate of return
May 2	comment	Call vs. Put Option Comments have been purged.
May 2	comment	Arbitrage: Difference Between Liquidity Taking and Liquidity Making This is a site intended for professional quants, i.e. who do this for a living. See the FAQ.
May 1	reviewed	Leave Open How to Maximise Efficiency With hp12c gold calculator
May 1	reviewed	Leave Open How to calculate unlevered beta
Apr 29	reviewed	Reject suggested edit on Wich online Forex Brokers accept connections with black box solutions developed in visual basic?
Apr 29	reviewed	Leave Open analyze strategy performance with given matrix of weights/time and weekly returns in R
Apr 29	reviewed	Leave Open Black Scholes Formula for Collar Option
Apr 29	reviewed	No Action Needed Is “eoddata” a good data source?
Apr 29	reviewed	No Action Needed Philips-Ouliaris test for cointegration
Apr 29	reviewed	No Action Needed Black Scholes Formula for Collar Option
Apr 29	comment	Wich online Forex Brokers accept connections with black box solutions developed in visual basic? Trading on margin involves a lot of risk and is for sophisticated investors only. If you don't have that kind of capital, then leverage is probably not for you. This is a site for professional quants, ie people who do this for a living. See the FAQ.