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


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.
Apr
21
revised Automated 10-K XBRL data grab using the SEC file structure
edited body; edited title
Apr
21
revised Automated 10-K XBRL data grab using the SEC file structure
Correction
Apr
21
revised Automated 10-K XBRL data grab using the SEC file structure
Retagged
Apr
20
revised How are momentum and reversion long/short strategies dynamically combined in trading?
Punctuation.