6,163 reputation
31558
bio website chrisaycock.com
location New York, NY
age 32
visits member for 3 years, 6 months
seen Aug 14 at 23:22

Jun
21
revised How to calculate unsystematic risk?
I've edited QuantGuy's post. No one can see @mentions in an answer.
Jun
21
revised How to calculate unsystematic risk?
LaTeX
Jun
21
revised How does Cornish-Fisher VaR (aka modified VaR) scale with time?
Removed signature line.
Jun
21
revised How does Cornish-Fisher VaR (aka modified VaR) scale with time?
Removed signature, inlined link, fixed-up grammar.
Jun
20
comment Normalized data
Found via Google: Determining the mean and standard deviation in real time
Jun
17
awarded  Good Answer
Jun
14
comment What is “Flow Interest Rates”?
Seriously, your answer is just embarrassing. Don't post this nonsense on here.
Jun
11
comment How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
Could you give an example? I didn't understand how to compare frequencies from the paper you linked to.
Jun
10
answered How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
Jun
9
awarded  Good Answer
Jun
9
comment Why isn't all market data free?
Why is [tick data] any more proprietary or the property of a market than the outcome of a baseball game? Wow, that's actually a really insightful question. I will say that the smaller exchanges like BATS and DirectEdge often give-out data for free. As for NYSE and NASDAQ, they charge because they can.
Jun
7
comment How to quickly estimate a lower bound on correlation for a large number of stocks?
Is this supposed to be a joke? The upper bound for correlation is 1?
Jun
4
comment Commerical delayed stock quote feed that is redistributable?
I thought commercial redistribution was basically the same regardless of vendor since they supposedly pay the same amount to the exchange. I can't imagine pricing would be too different. By the way, the NYSE Amex has been renamed NYSE MKT.
Jun
4
comment What latency should I use for backtesting a high-frequency strategy?
The value of X is heavily dependent on your set-up. No one here will be able to answer that for you; you'll have to determine it empirically.
Jun
3
comment Is there an open source alternative to Reuters Kondor+?
Marc, you need to point-out that you work for OpenGamma. Otherwise it's an undisclosed conflict of interest to post this.
Jun
3
comment How to account for transaction costs in a simulated market environment?
+1 I also think the OP is curious about slippage rather than mere transaction cost.
Jun
1
comment Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
Luna, if you're going to keep cross-posting to Nuclear Phynance, then don't bother to come here. Seriously. You also keep writing your questions in a way that makes it obvious you haven't read other questions on here. It's embarrassing. And you've never answered a single question across Stack Exchange. I'm not sure what you bring here. It's time you find a different outlet.
May
31
revised Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
Restructured
May
30
reviewed Approve suggested edit on Reseach on when people/institutions sell?
May
29
comment generating (or tracking) the DJUBS commodity index
Can you show the code that you wrote? We might be able to debug it here.