chrisaycock

5,290 reputation

21357

bio	website	chrisaycock.com
	location	New York, NY
	age	31
visits	member for	2 years, 3 months
	seen	3 hours 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

	5,290 reputation	bio	website	chrisaycock.com	visits	member for	2 years, 3 months
21357 badges		location	New York, NY		seen	3 hours ago

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328 Revisions

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Apr 22	revised	Mean-variance minimizser Ugh, start a question with "Hey everyone, I need your help". That makes people not want to help.
Apr 16	revised	Best tool to generate cashflow diagrams Inlined link
Apr 16	revised	Best tool to generate cashflow diagrams Removed signature, as per FAQ
Apr 12	revised	What does negative gamma mean in APGARCH model? Rewrote to make it looked like the asker passed the fourth grade.
Apr 3	revised	Stochastic modelling of derivatives on dividends No need to say "edit". Just amend your question and let the software track the changes.
Apr 2	revised	Why do long-term equity return forecast models use dependent observations? deleted 60 characters in body
Apr 2	revised	Data Synchronization English
Apr 1	revised	Does the geometric Ornstein-Uhlenbeck process have stationary variance? Added link
Mar 26	revised	Does implied vol vary for calls vs puts? Readability.
Mar 25	revised	Does implied vol vary for calls vs puts? Removed typos and made to be more idiomatic.
Mar 25	revised	Hedging with actual volatility: problem understanding the math behind the result Inlined link and fixed typos
Mar 25	revised	Different definition of NFLVR Typos
Mar 21	revised	Credit risk data Typos
Mar 21	revised	How to justify a model that could not predict external factors? Upper casing
Mar 20	revised	Why the implied volatilities calculated are so different Some formatting
Mar 20	revised	Stepwise Cointegration Formatting
Mar 19	revised	Why does the minimum variance portfolio provide good returns? Typos
Mar 19	revised	Scanning a stock database for errors/flaws Typos galore.
Mar 18	revised	Kolmogorov-Smirnov test Spelling, grammar, the usual.
Mar 15	revised	Doesn't a perpetual option contradict the Black-Scholes framework? typo