6,163 reputation
31558
bio website chrisaycock.com
location New York, NY
age 32
visits member for 3 years, 6 months
seen Aug 14 at 23:22

Jun
21
revised How does Cornish-Fisher VaR (aka modified VaR) scale with time?
Removed signature, inlined link, fixed-up grammar.
May
31
revised Trading Strategies and Portfolio Constructions based on Cross Sectional Regression?
Restructured
May
29
revised What are the steps to perform properly a risk factor analysis on a portfolio?
added 1 characters in body
May
15
revised What data sources are available online?
The Econ.SE site is no more, but the data sources were put on CV.
May
14
revised Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?
LaTeX formatting
May
12
revised Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock?
added 2 characters in body
May
12
revised Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock?
English
May
12
revised How to build a mean reverting basket?
rolled back to a previous revision
May
10
revised GJR-GARCH Model In R
English
May
8
revised What exactly is meant by “microstructure noise”?
Not sure why this is addressing the answer to someone, especially since that user didn't ask the question.
May
6
revised HFT - How to define and measure latency?
Removed signature, rewrote copy to be more idiomatic.
May
4
revised Why use swap-rates in a yield curve?
Spelling, grammar, the usual.
May
2
revised Real time stock volatility
rolled back to a previous revision
May
2
revised definition for “the viscosity” in financial market data series
rolled back to a previous revision
May
2
revised How to calculate historical intraday volatility?
rolled back to a previous revision
May
2
revised How to annualize intra-day volatility on minute data?
rolled back to a previous revision
May
2
revised What exactly is meant by “microstructure noise”?
rolled back to a previous revision
May
2
revised HFT: What is the big differentiator in comparison to other time scales?
rolled back to a previous revision
Apr
26
revised behavioral-finance wiki excerpt
More idiomatic.
Apr
26
revised behavioral-finance wiki description
More idiomatic.