6,243 reputation
31660
bio website chrisaycock.com
location New York, NY
age 33
visits member for 3 years, 10 months
seen Nov 12 at 21:39

I do high-frequency trading, mostly in C++ and Python (formerly q/kdb+). 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


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?
Jan
3
answered Why do expected return models and risk models use different factors?
Dec
31
comment How to improve the consistency of explained variance statistics in a linear equity model?
@RobertKubrick You could use daily beta, but that could be a very different number from some phenomenon you're trying to capture. Just compute your own one-minute factors/betas and see what happens.
Dec
31
comment How to improve the consistency of explained variance statistics in a linear equity model?
@RobertKubrick Yeah, gappy correctly points to the Epps effect, which essentially says that correlation becomes harder to measure for higher-frequency data samples because of asynchronous trading. Note, though, that Epps wrote his paper in 1979. Most S&P 500 stocks today trade so often that one-minute discretization should be wide enough. (From experience, there are a few of the high-dollar S&P stocks that don't actually trade very often, but those are very rare and shouldn't impact PCA.)
Dec
31
comment How to improve the consistency of explained variance statistics in a linear equity model?
@RobertKubrick Any computation of beta has an implicit time frame. If you're using EOD data to derive beta, then you'll get an EOD beta. The same can be same for using PCA to derive factors and exposures. Just use intra-day data consistently for your calculations, and you'll get an intrad-day model.
Dec
31
answered How to improve the consistency of explained variance statistics in a linear equity model?
Dec
31
comment How does an option's time value depend on moneyness?
I'm not sure if you're asking about the volatility smile or how Black Scholes works, but your question is impossible to parse. The option's price isn't derived from volatility. It's derived from volatility, spot, strike, risk-free rate, and time to expiration. So yes, the moneyness impacts option value. That's why quotes listed on an option chain are different at each price level.