6,243 reputation
31660
bio website chrisaycock.com
location New York, NY
age 33
visits member for 3 years, 9 months
seen Nov 12 at 21:39

I do high-frequency trading, mostly in C++ and Python (formerly q/kdb+). 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


Nov
21
revised CVA DVA and Bilateral adjustment
Removed signature
Nov
21
revised Accrued Interest in CVA DVA
Removed signature and cleared-up some of the writing, though it's still hard to read.
Nov
17
revised How do I calculate Sharpe ratio from P&L?
Idiomatic English. Removed nonsensical paragraph.
Nov
12
revised Interpretation of cross-correlation matrix when one sample distribution is not normal
Markdown formatting
Nov
6
revised What is the stochastic differential of a general semimartingale?
Inlined link, and a little more idiomatic.
Nov
5
revised How to construct the binomial model for European option?
LaTeX
Nov
2
revised IMM rolls: Are there special business day conventions?
Removed signature.
Nov
1
revised pairs-trading wiki description
deleted 172 characters in body
Nov
1
revised pairs-trading wiki excerpt
deleted 158 characters in body
Oct
31
revised Implied interest rate from FX swap
Removed the txt speak and added LaTeX.
Oct
31
revised Price functions based on order book events
Consistency
Oct
31
revised Price functions based on order book events
Enlarged the LaTeX
Oct
29
revised C# Broker API for FX Trading
tags and idioms
Oct
26
revised Categories of systematic trading strategies?
Correct market making since this led to confusion in another question.
Oct
23
revised evaluation of volatility models using loss functions
English capitalizes the pronoun "I".
Oct
21
revised How to check if a timeseries is stationary?
I have removed what I guess is this user's name.
Oct
17
revised What are the best Journals & Conferences in Quantitative Finance?
inlined link
Oct
17
revised What is most reasonable approach to determine side of a multi-leg options order?
Markdown formatting
Oct
17
revised Is Vasicek risk neutral?
Added LaTeX and removed signature
Oct
17
revised Correlated Wiener processes of different factors
Removed signature and uppercased the "i" pronoun.