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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 | 1,522 |
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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Jul 8 |
awarded | Synonymizer |
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Jul 8 |
comment |
Efficiently storing real-time intraday data in an application agnostic way For the uninitiated, FastBit is a column-oriented data store. |
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Jul 7 |
awarded | Nice Answer |
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Jul 7 |
comment |
How to calculate expected return based on historical data for Mean Variance Analysis Did your last sentence get cut off? |
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Jul 7 |
revised |
How to calculate expected return based on historical data for Mean Variance Analysis Proper punctuation |
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Jul 3 |
comment |
Comparing backtesting returns with real trading returns I wish @shabbychef would cross-post his answer here. |
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Jul 2 |
comment |
Usage of NoSQL storage in Finance @Dirk Yes, Sybase IQ (now part of SAP) is also in this space. There's Vhayu (part of Thomson Reuters) too, though I haven't heard much from them in a while. I'm still confused as to what SciDB actually does. |
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Jul 2 |
comment |
Usage of NoSQL storage in Finance In the finance world, most quants use column-oriented storage. This is particularly true for time-series data, like tick history. |
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Jul 2 |
comment |
Reading recommendation on using statistical analysis in online fraud prevention I'm not sure what fraud prevention has to do with Quantitative Finance. |
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Jul 2 |
comment |
Usage of NoSQL storage in Finance Kdb+ and OneTick are column-oriented stores, which is a frequent topic here. Stonebreaker's own column-oriented DB is Vertica, which was recently bought by HP. (VoltDB is row-oriented and intended for OLTP applications, whereas the column-oriented products here are intended for OLAP.) |
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Jun 26 |
comment |
Innovative ways of visualizing financial data You should point-out that you are affiliated with the service you're mentioning. You know, potential conflict of interest and all. |
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Jun 23 |
revised |
Measuring liquidity Made the quote size more clear as the focus of the answer. |
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Jun 23 |
comment |
Control for bid/ask bounce in high-frequency trade data? Given sufficient liquidity, I just mark positions to mid; the last trade price can highly variable. |
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Jun 22 |
comment |
Measuring liquidity @Ted AAPL's lower basis-point spread only exists because sub-penny quotes aren't currently allowed. Also, my answer was about quote size; AAPL's unnatural "advantage" disappears once the client places larger orders. |
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Jun 22 |
answered | Measuring liquidity |
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Jun 20 |
comment |
Divergence issue with my monte carlo pricer… Damn, Dirk. Three accepts in a row. Are you coming back to Quant.SE? |
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Jun 20 |
revised |
How does order fulfillment proceed with larger orders? More jargony. |
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Jun 20 |
revised |
How can I quantitatively test the validity of momentum indicators? Readability |
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Jun 20 |
comment |
How stressful is work of quants? From the FAQ: The Quantitative Finance Stack Exchange is intended for professionals and academics involved in securities valuations, risk modeling, and other topics related to quant modeling or trading. Basically, if you aren't earning a living at this, it's probably off topic. |
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Jun 20 |
revised |
Divergence issue with my monte carlo pricer… No signature line on SE. |
