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| bio | website | chrisaycock.com |
|---|---|---|
| location | New York, NY | |
| age | 31 | |
| visits | member for | 2 years, 3 months |
| seen | 1 hour ago | |
| stats | profile views | 1,515 |
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
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Apr 25 |
comment |
What exactly is an ISO order? @PalaceChan They don't. |
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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". |
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Apr 25 |
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Daily Abnormal Return There was another UMich student who asked about "abnormal returns" a couple weeks ago. Any relation? |
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Apr 25 |
answered | What exactly is an ISO order? |
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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. |
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Apr 25 |
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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. |
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Apr 24 |
reviewed | Edit suggested edit on How does Hanson's Market Maker (LMSR) work? |
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Apr 24 |
revised |
How does Hanson's Market Maker (LMSR) work? LaTeX |
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Apr 24 |
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Literature in Quantitative Finance This is specifically listed in the FAQ: What books should I read?. That's in addition to the link @SRKX pointed you to for being an exact duplicate. |
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Apr 24 |
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How does Hanson's Market Maker (LMSR) work? Is this related to your university project? |
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Apr 24 |
reviewed | Leave Open How can I cope missing data values with excel? or any other software? |
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Apr 24 |
reviewed | No Action Needed How to simulate correlated Geometric brownian motion for n assets? |
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Apr 24 |
reviewed | No Action Needed In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$? |
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Apr 24 |
reviewed | Reviewed Trading days or calendar days for Black-Scholes parameters? |
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Apr 24 |
revised |
Trading days or calendar days for Black-Scholes parameters? More idiomatic |
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Apr 24 |
reviewed | Reviewed What data sources are available online? |
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Apr 24 |
revised |
What is the difference between convertible bond and bond with warrant? Corrected LaTeX dollar signs |
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Apr 24 |
reviewed | Approve suggested edit on How is the MESA sine wave calculated? |
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Apr 23 |
comment |
How can I cope missing data values with excel? or any other software? The question of missing tick data has been asked on here before [ 1, 2 ]; the answer is heavily dependent on your application. |
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Apr 22 |
reviewed | No Action Needed portfolio optimization with a loop |
