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| bio | website | chrisaycock.com |
|---|---|---|
| location | New York, NY | |
| age | 31 | |
| visits | member for | 2 years, 3 months |
| seen | 25 mins 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
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Aug 23 |
comment |
What kind of specialized hardware is used in trading? Are you asking about What programming languages are most commonly used in quantitative finance? Or are you asking about what kind of programming languages are used for FPGAs? |
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Aug 23 |
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What programming language is best suited for implementing DeMark? @Dmitri Is that an F#-ism? I've only ever used OCaml and SML/NJ. |
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Aug 23 |
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What programming language is best suited for implementing DeMark? I'll add that one nice thing about pattern matching in a language like ML is that the compiler can warn the programmer if the cases are non-exhaustive. That will hopefully reduce errors. |
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Aug 21 |
answered | Is QuantLib more trouble than it's worth? |
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Aug 21 |
revised |
Is QuantLib more trouble than it's worth? grammar |
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Aug 18 |
revised |
Why does this Co-integrated basket look too good to be true? Embedded image |
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Aug 18 |
comment |
How do I find the most diversified portfolio, or least correlated subset, of stocks? Weighing by 1-correlation is already a pretty simple method. Could you elaborate on why that's difficult? |
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Aug 17 |
reviewed | Approve suggested edit on research tag wiki excerpt |
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Aug 15 |
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Why do high frequency traders use rapidly cancelled limit orders? I've undone my down vote. The paper you cite, however, should already answer your question. |
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Aug 15 |
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Why do high frequency traders use rapidly cancelled limit orders? -1 Flash orders are not "orders that are cancelled almost immediately after they are sent". See this diagram. Also, all the major US equities exchanges have voluntarily stopped flash orders [ 1, 2 ], though the SEC has long considered banning the practice themselves. |
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Aug 15 |
answered | Is there a quantitative finance ranking system for universities? |
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Aug 12 |
revised |
Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones? Compromise title |
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Aug 12 |
answered | Why are exotic options most popular in FX? |
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Aug 12 |
awarded | Cleanup |
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Aug 12 |
revised |
Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones? rolled back to a previous revision |
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Aug 9 |
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What are the best sources for equity quantitative research? I've converted to community wiki. |
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Aug 6 |
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What would be the impact of the US Credit Rating downgrade on Crude Oil Prices? This doesn't look like a real question; it sounds like you're attempting to advertise your business services. |
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Jul 28 |
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What data sources are available online? A different trader wanted it for a few months for his model. I didn't use the data myself, so I'm not sure what its quality is like. |
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Jul 27 |
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What data sources are available online? I've used Livevol in the past. They gave me a URL that I was supposed to download a CSV from every 30 seconds. I wrote a script to wget the file and check its embedded timestamp, then save to disk. A "subscriber" would monitor the destination directory via inotify() and load any new CSV. Effectively, I had used the file system as a ticker plant, which got around the API issue. |
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Jul 27 |
reviewed | Approve suggested edit on credit tag wiki excerpt |
