6,173 reputation
31558
bio website chrisaycock.com
location New York, NY
age 32
visits member for 3 years, 5 months
seen Jul 3 at 13:56

Dec
14
comment Why does the adjusted closing price take into account dividends?
@ThomasMcLeod The close is the closing price for any day before the ex-date. You can (and probably should) adjust all prices before the dividend by adding the dividend back. That will allow you to compute cumulative returns over a time period.
Nov
21
comment Can I trade the volume of a security or index?
I've never heard of a volume-linked instrument, but since volume and volatility are often related, you might be able to approximate what you want via a volatility-linked instrument.
Nov
20
comment Efficiently storing real-time intraday data in an application agnostic way
Rather than simply provide a link, you could explain why HDF5 is efficient. How is the data stored? What searching capabilities does it provide? Etc.
Nov
19
comment How do I calculate Sharpe ratio from P&L?
@statquant Let's say your firm posts \$10M with the prime broker. And let's say the firm's P&L at the end of the year is \$1M. That's a 10% return. As I stated in my first paragraph above, returns are computed based on the capital under management. If your employer felt they could get more than 10% returns from an index fund, then surely they would shut the company down and put that \$10M in an ETF. You personally might not consider returns in that light, but the backers of your firm certainly do.
Nov
19
comment How do I calculate Sharpe ratio from P&L?
@statquant How much capital did the firm have at the end of the day? More? Less? How does your employer determine your compensation?
Nov
18
comment Why does the SMA and EMA appear to be relative to the timeframe?
Are you asking why the curve gets smoother if you increase the timescale for the moving average?
Nov
17
comment Better formula than midpoint?
Are you related to this user?
Nov
15
comment How to convert trasaction log to bid-ask ticks
If you don't know what the quotes are, then you can't recreate the quotes. The trades don't tell you anything. There could be hidden liquidity. The bids and asks could have moved around a lot. Etc. You can't just recreate the quotes given a list of trades.
Nov
15
comment How to convert trasaction log to bid-ask ticks
You can't. Your incoming data looks like the day's closing price. There is no way to derive the quotes from that.
Nov
15
comment Binary options and European option is similar?
Wikipedia has a good write-up of this.
Nov
15
comment I want to optimize an equity portfolio for the four central moments can anyone help me with the problem formulation
What are you are doing to optimize for mean and standard deviation?
Nov
12
comment Dirty price of US T bill
@olaker They'll probably just close it on their end.
Nov
11
comment Dirty price of US T bill
@olaker Money.SE isn't going to want this question. They deal with personal finance, like retirement planning and taxation.
Nov
11
comment the law of comparative advantage and exchange rate
Currencies are just agent of trading What about pegged currencies?
Nov
10
comment interpreting huge jumps
Dealing with routine markets movements is just part of the job when designing models.
Nov
7
comment Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
You need to disclose your affiliation, otherwise this is just an ad (and not even a very good one).
Nov
6
comment Is the risk-reward ratio considered in Quantitative Finance?
Do you know what the Sharpe ratio is?
Nov
5
comment How to construct the binomial model for European option?
I've edited your post to use $\LaTeX$. Please make sure it is correct.
Nov
4
comment Training set of tick-by-tick data?
You are the second person affiliated with LOBSTER to comment today. Did a memo go out or something?
Nov
4
comment Question on Barrier Option and Skew
Is this a homework question?