chrisaycock

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5,290 reputation
21357
bio website chrisaycock.com
location New York, NY
age 31
visits member for 2 years, 3 months
seen 19 mins ago
stats profile views 1,515

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


317 Reviews

suggestions reviews revisions comments badges posts accepts all
2h
 reviewed No Action Needed Call vs. Put Option
15h
 reviewed No Action Needed What is the difference between Option Adjusted Spread (OAS) and Z-spread?
15h
 reviewed No Action Needed Which brokers offer a Python stock trading API?
1d
 reviewed No Action Needed Early execise of American Call on Non-Dividend paying stock.
May
17
 reviewed No Action Needed characterization of coherent risk measures
May
17
 reviewed No Action Needed Covariance of brownian motion and its time average
May
17
 reviewed No Action Needed How to prove that markets are incomplete under the Stochastic Volatility model?
May
17
 reviewed No Action Needed Overnight Index Swaps
May
17
 reviewed Reviewed Compute a time series of daily volatilities in R
May
17
 reviewed No Action Needed Are public historical time series available for ratings of sovereign debt?
May
17
 reviewed No Action Needed Which brokers offer a Python stock trading API?
May
17
 reviewed Close Compute a time series of daily volatilities in R
May
11
 reviewed Reject suggested edit on Parameter estimation of Ornstein–Uhlenbeck and CIR processes
May
10
 reviewed Reviewed knowing the order of GARCH model
May
9
 reviewed No Action Needed How does the CME set margin requirements on commodity Futures
May
9
 reviewed No Action Needed Proxy for Expected Economic Growth
May
9
 reviewed Reject suggested edit on Ways of treating time in the BS formula
May
6
 reviewed Leave Open analyze strategy performance with given matrix of weights/time and weekly returns in R
May
4
 reviewed Leave Open What does it mean to adjust for short-run liquidity in finding risk-free rate of return
May
4
 reviewed Close question about Mean Variance optimization in C#
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