chrisaycock

5,263 reputation

21357

bio	website	chrisaycock.com
	location	New York, NY
	age	31
visits	member for	2 years, 3 months
	seen	8 hours ago
stats	profile views	1,523

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

	5,263 reputation	bio	website	chrisaycock.com	visits	member for	2 years, 3 months
21357 badges		location	New York, NY		seen	8 hours ago

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330 Revisions

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Nov 30	revised	Quantlib in JavaScript? edited body; edited tags
Oct 29	revised	How are limit orders selected from the order book? Typo correction: "Regulation NM[S]"
Sep 17	revised	How to price a volatility-index option? More idiomatic
Sep 14	revised	How much data is needed to validate a short-horizon trading strategy? Examples have better layout.
Sep 14	revised	How much data is needed to validate a short-horizon trading strategy? Added low-frequency explanation.
Sep 14	revised	How much data is needed to validate a short-horizon trading strategy? Added explanation of how to pick "distance" parameter.
Sep 14	revised	How much data is needed to validate a short-horizon trading strategy? "difference" -> "distance"
Sep 9	revised	Can the J language be used as an effective alternative to Q/Kdb+? Corrected typos
Sep 9	revised	Can the J language be used as an effective alternative to Q/Kdb+? Added JDB
Sep 9	revised	What tools exist for order book analysis and visualization? Grammar, hyper-referenced link, removed greeting and signature as per FAQ.
Sep 9	revised	How fast is QuickFix ? Grammar, hyper-referenced link, removed greeting and signature as per FAQ.
Sep 2	revised	How to solve for the implied stock lending rate given equity options prices? Hyphens mostly
Aug 30	revised	HFT: What is the big differentiator in comparison to other time scales? added 1 characters in body
Aug 29	revised	HFT: What is the big differentiator in comparison to other time scales? deleted 2 characters in body
Aug 29	revised	HFT: What is the big differentiator in comparison to other time scales? spelling
Aug 26	revised	using quantlib function in my c++ program Readability
Aug 21	revised	Is QuantLib more trouble than it's worth? grammar
Aug 18	revised	Why does this Co-integrated basket look too good to be true? Embedded image
Aug 12	revised	Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones? Compromise title
Aug 12	revised	Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones? rolled back to a previous revision