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

Jul
20
comment How we can forecast stock prices using chaos theory?
This is not a good question at all. Someone who asks about using chaos theory in finance clearly doesn't understand chaos theory or finance. This reminds me a lot of this question on machine learning. I'm going to echo Shane's advice: Learn statistics first. Then learn backtesting. Any concepts stated here are going to be useless without a solid foundation in quant trading first.
Jul
19
comment Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?
The only commercial portfolio optimizer I've used took "error" (excess return) terms in addition to the coefficient matrix of betas. I'm not sure what the optimizer did under-the-hood, but I figure it's better to have more information than less.
Jul
15
comment Market Data For Project
I agree with @richardh. It seems like our most common question here is, "where can I find free data online?" (Our second most common is, "what free software can I use to implement my trading platform?")
Jul
8
awarded  Synonymizer
Jul
8
comment Efficiently storing real-time intraday data in an application agnostic way
For the uninitiated, FastBit is a column-oriented data store.
Jul
7
awarded  Nice Answer
Jul
7
comment How to calculate expected return based on historical data for Mean Variance Analysis
Did your last sentence get cut off?
Jul
7
revised How to calculate expected return based on historical data for Mean Variance Analysis
Proper punctuation
Jul
3
comment Comparing backtesting returns with real trading returns
I wish @shabbychef would cross-post his answer here.
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.
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.
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.
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.)
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.
Jun
23
revised Measuring liquidity
Made the quote size more clear as the focus of the answer.
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.
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.
Jun
22
answered Measuring liquidity
Jun
20
comment Divergence issue with my monte carlo pricer…
Damn, Dirk. Three accepts in a row. Are you coming back to Quant.SE?
Jun
20
revised How does order fulfillment proceed with larger orders?
More jargony.