chrisaycock

5,278 reputation

21357

bio	website	chrisaycock.com
	location	New York, NY
	age	31
visits	member for	2 years, 3 months
	seen	50 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	50 mins ago

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Jul 28	comment	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.
Jul 27	comment	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.
Jul 27	reviewed	Approve suggested edit on credit tag wiki excerpt
Jul 27	reviewed	Approve suggested edit on vix tag wiki excerpt
Jul 27	reviewed	Approve suggested edit on option-pricing tag wiki excerpt
Jul 27	revised	trading wiki excerpt Shorter
Jul 27	reviewed	Approve suggested edit on implied-volatility tag wiki excerpt
Jul 27	reviewed	Approve suggested edit on risk-management tag wiki excerpt
Jul 25	comment	What programming languages are most commonly used in quantitative finance? +1 Finally, an empirical answer to this. I always tell people that the best language is whatever their boss pays them to use.
Jul 22	comment	Should Sharpe ratio be computed using log returns or relative returns? @shabbychef Correct. Just use the daily P&L in dollars.
Jul 22	comment	Should Sharpe ratio be computed using log returns or relative returns? @shabbychef Neither. Just use the dollar returns.
Jul 21	comment	How to calculate equivalent futures position? @sooprise If this answers your question, you can "accept" vonjd's answer by clicking the green arrow. That will indicate that this is the appropriate solution for anyone who sees your question in the future.
Jul 21	comment	What are the advantages of switching platforms/languages between strategy development and implementation? I take "real-time trading" to mean tick-level data, not one-minute aggregates. You'll be fine with Matlab. By the way, this question gets asked a lot [ 1, 2, 3, 4 ].
Jul 20	comment	How we can forecast stock prices using chaos theory? @mpiktas Just because there's structure doesn't mean the structure is exploitable.
Jul 20	comment	How we can forecast stock prices using chaos theory? This is not a good question at all. Someone who asks about using chaos theory in finance clearly doesn't understand chaos theory or finance. This reminds me a lot of this question on machine learning. I'm going to echo Shane's advice: Learn statistics first. Then learn backtesting. Any concepts stated here are going to be useless without a solid foundation in quant trading first.
Jul 19	comment	Efficiency vs. Robustness - To use a constant or not in single factor time-series regression? The only commercial portfolio optimizer I've used took "error" (excess return) terms in addition to the coefficient matrix of betas. I'm not sure what the optimizer did under-the-hood, but I figure it's better to have more information than less.
Jul 15	comment	Market Data For Project I agree with @richardh. It seems like our most common question here is, "where can I find free data online?" (Our second most common is, "what free software can I use to implement my trading platform?")
Jul 8	awarded	Synonymizer
Jul 8	comment	Efficiently storing real-time intraday data in an application agnostic way For the uninitiated, FastBit is a column-oriented data store.
Jul 7	awarded	Nice Answer