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| bio | website | chrisaycock.com |
|---|---|---|
| location | New York, NY | |
| age | 31 | |
| visits | member for | 2 years, 3 months |
| seen | 6 hours ago | |
| stats | profile views | 1,513 |
I do high-frequency trading, mostly in C++ and q/kdb+. I am a pro tem moderator of Quant SE. 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
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20h |
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Quality of GAINDATA timestamps I didn't downvote you. I rolled-back your question because you edited it to leave a comment asking why you were downvoted. You aren't new to Stack Exchange; you know by now that questions do not have comments asking why they were downvoted. Stop doing this. |
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1d |
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Is Unexpected Loss ever used in Basel II? Could you rewrite the equations here to use $\LaTeX$? |
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2d |
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Which brokers offer a .NET stock trading API? What is it with you and the TradeStation WebAPI?! You know, we do expect people who post on here to actually work as professional quants. See the FAQ. |
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2d |
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Option trading API other than Interactive Brokers TradeStation has already been mentioned a few times. |
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May 16 |
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Market Exposure and Hedging Do you know what a risk model is, or how to do principal component analysis? It sounds like you just want to hedge against few factors. So pick some sector ETFs that replicate your portfolio's primary risk factors. |
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May 15 |
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Quantitative Finance in Asset Allocation This is a site intended for professionals, i.e. people who do this for a living. See the FAQ. |
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May 15 |
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Profiting from price discrepancies between stock exchanges @lmorin This is turning into an extended discussion; you should post your scenario as a separate question. As part of that, think about a specific example first. |
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May 15 |
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Profiting from price discrepancies between stock exchanges @lmorin Any exchange could just make a rule that states no order may be canceled until one second after submission. But really, is "instant" cancellation a problem? Should Amazon require shoppers to spend a certain amount of time on their site before allowing them to cancel their shopping basket? |
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May 15 |
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Profiting from price discrepancies between stock exchanges @GoodGuyMike HFT is the media-friendly term for automated market making. Some HFTs will occasionally engage in "pick-offs" against each other, but mostly the game is providing liquidity. NANEX is claiming that HFTs "jam" the networks with quotes for nefarious purposes. That's a pretty strong accusation. |
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May 14 |
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Basic Trading Strategies based on mean-reversion / momentum This is a site intended for professionals, i.e. people who work in the industry. See the FAQ. |
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May 11 |
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State-space representation of Ornstein–Uhlenbeck and CIR processes @Veeken I rejected your edit because changing an equation can fundamentally alter the question. If you suspect a formula is wrong, the best bet is to leave a comment as you've done here. All the same, thank you for pointing-out a suspicious post. |
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May 10 |
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Is there an all Java options-pricing library (preferably open source) besides jquantlib? Can you update your answer to state this? Also, JRockit isn't a real-time java. Did you mean a JIT? |
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May 8 |
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Best way to store hourly/daily options data for research purposes Have you seen this earlier question? The topic of tick storage comes-up a lot on here. |
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May 6 |
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How to test the efficiency of Exponential Moving Averages as a trading startegy? This is a site intended for professional quants, i.e. people who do this for a living. I migrated your last question to bitcoin.SE (where you actually had cross-posted) but you didn't seem to take the hint. I'm closing this question. |
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May 5 |
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Multi Factor Credit Risk Models Can you summarize the contents of that presentation in the body of your answer? |
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May 2 |
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Call vs. Put Option Comments have been purged. |
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May 2 |
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Arbitrage: Difference Between Liquidity Taking and Liquidity Making This is a site intended for professional quants, i.e. who do this for a living. See the FAQ. |
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Apr 29 |
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Wich online Forex Brokers accept connections with black box solutions developed in visual basic? Trading on margin involves a lot of risk and is for sophisticated investors only. If you don't have that kind of capital, then leverage is probably not for you. This is a site for professional quants, ie people who do this for a living. See the FAQ. |
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Apr 29 |
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How to use PCA for trading Sounds like a hammer looking for a nail. |
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Apr 28 |
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Good source for S&P multiplier Bloomberg works. |
