6,108 reputation
31558
bio website chrisaycock.com
location New York, NY
age 32
visits member for 3 years, 2 months
seen Feb 13 at 20:30

Jan
20
comment Vanna - any practical uses for risk or pnl attribution purposes?
Ok, so what is the practical use for Vanna in trading?
Jan
19
revised Can duration gap analysis be applied to mortgages?
LaTeX
Jan
16
comment Why doesn't Black-Scholes work in discrete time?
Ah, excellent. I've deleted your original posted link so just this would stand out. And yes, the $\LaTeX$ shows-up just fine in my browser.
Jan
16
revised Why doesn't Black-Scholes work in discrete time?
Removed the name and date, since those are redundant.
Jan
16
revised Why do expected return models and risk models use different factors?
added 3 characters in body
Jan
11
comment What C++ math libraries are typically used by quants?
So, you're just advocating C++ over R, eh? ;)
Jan
10
comment What C++ math libraries are typically used by quants?
Hey Dirk, I thought R already used BLAS. If so, what does Armadillo add for an R user?
Jan
10
awarded  Announcer
Jan
9
comment How much data is needed to validate a short-horizon trading strategy?
@SumindaSirinathSalpitikorala I get a "This room has been automatically deleted for inactivity" error. There isn't anything for "completeness" anyway; Tal and I had a back-and-forth about examples that ultimately became the answer you see now. Feel free to look at the edit history to see how different my first draft was.
Jan
8
comment Is equity market making a game of speed?
This question suffers from the same predicament as your one on pairs trading: nobody who's found success with a particular trading strategy is going to publicly admit to it.
Jan
6
reviewed Reject suggested edit on How does an option's time value depend on moneyness?
Jan
5
comment How does an option's time value depend on moneyness?
I'm still not sure what the original poster was asking, but this edited question is now pretty decent. More over, the answer from @SpeedBoots is a solid solution.
Jan
5
comment How does an option's time value depend on moneyness?
Hi rtybase, the question is on time value. I'm sure the OP already knows what "at-the-money" means.
Jan
5
comment Has high frequency trading (HFT) been a net benefit or cost to society?
-1 The SEC statement blamed an unnamed mutual fund (widely believed to be Waddell & Reed) for initiating the crash.
Jan
4
comment How to account for jumps in intraday data when calculating beta?
@RobertKubrick A five-period average should work well.
Jan
4
comment How to account for jumps in intraday data when calculating beta?
Smooth the returns because that will decrease momentary variation.
Jan
4
comment How does an option's time value depend on moneyness?
Did you learn nothing from your suspension? You were put on a time-out because of your low-quality "contributions".
Jan
4
revised How to account for jumps in intraday data when calculating beta?
Easier to read
Jan
4
revised Why do expected return models and risk models use different factors?
deleted 2 characters in body
Jan
4
answered How to account for jumps in intraday data when calculating beta?