chrisaycock

5,268 reputation

21357

bio	website	chrisaycock.com
	location	New York, NY
	age	31
visits	member for	2 years, 3 months
	seen	1 hour ago
stats	profile views	1,509

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

	5,268 reputation	bio	website	chrisaycock.com	visits	member for	2 years, 3 months
21357 badges		location	New York, NY		seen	1 hour ago

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Apr 28	reviewed	Leave Open How to Maximise Efficiency With hp12c gold calculator
Apr 28	reviewed	Leave Open Calculating spot rate of interest
Apr 28	reviewed	No Action Needed How to measure if variance is greater at a certain time of day?
Apr 28	comment	How could covariance help with pattern prediction? Predicting the future is for fortune tellers and prophets. This is a site intended for people who work in the industry. I pointed you to the FAQ the last time I closed your question.
Apr 27	comment	How to measure contango? I've edited your post to typeset the mathematical notation with $\LaTeX$. Please make sure I got it right.
Apr 27	revised	How to measure contango? LaTeX
Apr 27	comment	Why do expected return models and risk models use different factors? @MikeRand No, the alpha model and risk model are totally different. An alpha model is something that separates bad stocks from good (like the earnings-to-price ratio), whereas a risk model represents an external trend that affects all companies (like interest rates).
Apr 27	comment	Calculating Earnings Per Stock from Financial Statements This is a site for professional quants, i.e. people who work in the industry. See the FAQ. I migrated your last question; this one I'm going to close.
Apr 27	comment	How to measure contango? Could you use the percent difference between the futures price and the spot?
Apr 26	reviewed	Approve suggested edit on How does one use the Johansen cointegration test in a linear time series model?
Apr 26	reviewed	Approve suggested edit on Is there an appropriate sequence to tests during model diagnosis?
Apr 26	reviewed	Approve suggested edit on Implied dividend estimation
Apr 26	revised	How to synchronize put and call option-data? Using StackExchange's Markdown format.
Apr 26	revised	Implied dividend estimation LaTeX
Apr 25	comment	What exactly is an ISO order? @PalaceChan They don't.
Apr 25	comment	What exactly is an ISO order? @PalaceChan There are two key sentences on that second page: "The Exchange does not have an obligation to send the order to an away market if it is an Intermarket Sweep Order" and "Intermarket Sweep Orders sent to the NYSE are not subject to this auto-routing".
Apr 25	comment	Daily Abnormal Return There was another UMich student who asked about "abnormal returns" a couple weeks ago. Any relation?
Apr 25	answered	What exactly is an ISO order?
Apr 25	comment	What does it mean when someone says “FTSE closed at xxx today” This site is intended for professional quants. See the FAQ.
Apr 25	comment	help me compare methods to compute one instrument price from another instrument price @acheong87 Stat arb involves a basket of assets. The trader determines an idealized portfolio based on an alpha model (a score of desirability for each asset) and a risk model (a list of risk-factor exposures for each asset). The OP could be describing pairs trading, though he doesn't indicate whether he takes the opposing position of security A. Inside the Black Box explains these concepts.