6,243 reputation
31660
bio website chrisaycock.com
location New York, NY
age 33
visits member for 3 years, 10 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


Oct
14
revised Volatility Scaling
LaTeX
Oct
14
revised Volatility Scaling
LaTeX
Oct
14
revised Plain vanilla risk parity with trends forecasting power
Removed signature
Oct
11
revised Modelling interest rate: AR(2) modelling
Removed signature and fixed typos
Oct
8
revised Effective anti-gaming controls in dark pools
Inlined link
Oct
8
revised Easier references to understand “The Asset Pricing and Portfolio Choice Theory” of Back Kerry
Removed signature. Fixed typos.
Oct
6
revised Question about Merton model to estimate default probability and recovery rate of the company
Markdown formatting
Oct
4
revised Applications of distance correlation
Changed to active voice.
Oct
3
revised Question about the rationale of applying certain recovery rate by ISDA
Inlined link
Sep
30
revised How to derive zero-coupon rates from IRS?
Typos
Sep
30
revised Exercising an American call option early
typos
Sep
28
revised Adjusted option prices?
Removed salutations and courtesies.
Sep
28
revised Asynchronous Data Across Time Zones - RiskMetrics
Removed signature.
Sep
25
revised Unsystematic/Idiosyncratic/Firm-specific volatility/variance in the market model?
Removed ellipses.
Sep
25
revised Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades
Removed signature
Sep
23
revised Pricing options and bid-ask spread
Readability
Sep
21
revised FIX- what exactly do repeating groups represent?
Typos
Sep
16
revised Pre-Trade Slippage Costs For Option Spread Execution
Markdown formatting
Sep
10
revised Index arbitrage with Options when not all underlyings have options listed?
This question has nothing to do with backtesting.
Sep
8
revised Deutsche Börse sample Level 2 data, how to view in Windows?
Yet again, this question has nothing to do with backtesting.