6,193 reputation
31558
bio website chrisaycock.com
location New York, NY
age 33
visits member for 3 years, 7 months
seen Sep 16 at 2:24

May
4
comment How to model the daily return using intraday data?
The last line of your post concerns me. What if my returns are $X$ bps for each of five hours, and then 0 bps for the sixth hour? Expectation is slightly less than $X$, but your claim is that $r_T$ should be precisely this number, even though we know it is 0 bps!
May
4
revised Why use swap-rates in a yield curve?
Spelling, grammar, the usual.
May
3
comment Utility to download historical Implied Volatility data from Interactive Brokers?
@Craig It used to be a blog about quant finance, but the author shut it down last year. Examples like this are why I hate links without any summary or explanation.
May
2
comment Has high frequency trading (HFT) been a net benefit or cost to society?
-1 Yes, we're all from a science/engineering background. That's why we expect answers to provide solid evidence, not anecdotes. Comparing HFT to Orbitz is what I do when I'm talking to my mother, not other quants.
May
2
revised Real time stock volatility
rolled back to a previous revision
May
2
revised definition for “the viscosity” in financial market data series
rolled back to a previous revision
May
2
revised How to calculate historical intraday volatility?
rolled back to a previous revision
May
2
revised How to annualize intra-day volatility on minute data?
rolled back to a previous revision
May
2
revised What exactly is meant by “microstructure noise”?
rolled back to a previous revision
May
2
revised HFT: What is the big differentiator in comparison to other time scales?
rolled back to a previous revision
May
2
comment Has high frequency trading (HFT) been a net benefit or cost to society?
Posting a link to a website (especially if it's your website) without any sort of summary or explanation in the context of the question doesn't help anybody. Please edit your answer to include a summary of your findings.
May
1
comment Good reference on sample autocorrelation?
Don't cross-post right away like this. Think about what you want to learn from this question. Do you need something only a statistician could answer? Do you need an application to finance? Do you need to write a proof? They can't all be goals, so not all sites should receive this question.
May
1
awarded  Nice Answer
Apr
30
comment Resequencing of MsgSeqNum in FIX 4.2
You're supposed to reset your sequence number, not the exchange's. If the counter-party sequence number is wrong, then you will definitely get an error.
Apr
28
comment Real time stock volatility
Are you asking because you're offering a product in this space?
Apr
26
revised behavioral-finance wiki excerpt
More idiomatic.
Apr
26
revised behavioral-finance wiki description
More idiomatic.
Apr
26
reviewed Approve suggested edit on behavioral-finance tag wiki excerpt
Apr
26
reviewed Approve suggested edit on behavioral-finance tag wiki
Apr
26
awarded  Announcer