6,233 reputation
31560
bio website chrisaycock.com
location New York, NY
age 33
visits member for 3 years, 8 months
seen 2 days ago

Nov
4
comment What is a good site to download historical stock 'events' such as earnings releases?
"Where can I get (free) data online?" is the most over-asked question on here. Please please please look at the search results before posting this question yet again.
Oct
29
revised How are limit orders selected from the order book?
Typo correction: "Regulation NM[S]"
Oct
29
answered How are limit orders selected from the order book?
Oct
5
comment Switching from C++ to R - limitations/applications
This question has hit the front page of Hacker News.
Oct
3
awarded  Enlightened
Oct
3
awarded  Nice Answer
Oct
3
awarded  Enlightened
Oct
3
awarded  Nice Answer
Sep
22
awarded  Nice Answer
Sep
20
awarded  Nice Answer
Sep
19
answered What is more appropriate: the EMA of the option price or the EMA of the underlying?
Sep
17
revised How to price a volatility-index option?
More idiomatic
Sep
17
comment How should you manage lot sizes in this situation?
You need to also consider (1) the variation in returns of each trading scenario, and (2) the covariance among the trading scenarios.
Sep
16
comment Open source alternative to excel for investment and portfolio calculations
@Tal The real reason I hate this question (beyond the amateurish nature of it) is that the asker has refused to use what his course's instructor told him to use. Even worse, the OP didn't ask his instructor directly what an acceptable alternative would have been. The sheer arrogance from someone who doesn't know anything about the industry to presuppose that he can skirt his education is incredibly off-putting.
Sep
16
comment Open source alternative to excel for investment and portfolio calculations
You know something, it looks absolutely dreadful when you ask almost a thousand questions and basically provide no answers. Did the immediate closure of your last question teach you nothing? I'm going to leave this one open just out of morbid curiosity for how the community responds.
Sep
14
comment Are shorter holding period strategies better?
I don't have a quantitative answer, but I prefer shorter holding periods simply because they require less capital commitment. All else being equal, it's less of a headache.
Sep
14
revised How much data is needed to validate a short-horizon trading strategy?
Examples have better layout.
Sep
14
revised How much data is needed to validate a short-horizon trading strategy?
Added low-frequency explanation.
Sep
14
comment How much data is needed to validate a short-horizon trading strategy?
Discussion moved to chat
Sep
14
revised How much data is needed to validate a short-horizon trading strategy?
Added explanation of how to pick "distance" parameter.