chrisaycock

5,250 reputation

21357

bio	website	chrisaycock.com
	location	New York, NY
	age	31
visits	member for	2 years, 3 months
	seen	15 mins ago
stats	profile views	1,522

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

	5,250 reputation	bio	website	chrisaycock.com	visits	member for	2 years, 3 months
21357 badges		location	New York, NY		seen	15 mins ago

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329 Revisions

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Mar 15	revised	Doesn't a perpetual option contradict the Black-Scholes framework? typo
Mar 15	revised	Theta's effect for OTM options Spelling, idiomatic English, inlined picture, etc.
Mar 14	revised	How to detect and adjust for stock splits? Idiomatic English
Mar 11	revised	backtesting a 5% quantile model of a discrete value random variable? Formatting. Lots of formatting.
Mar 11	revised	Volatility pumping in practice Typography
Mar 10	revised	What is the proper way to calculate returns for Pair Trading? LaTeX
Mar 7	revised	Improving GARCH modeling approach Markdown, LaTeX, spelling, grammar, etc.
Mar 6	revised	How does the “risk-neutral pricing framework” work? Made capitalization in title self-consistent. Corrected spelling of Wilmott.
Mar 5	revised	Encyclopedia of Statistical Tests Inlined link
Mar 4	revised	Implementing a Fast Fourier Transform for Option Pricing Inlined the link
Mar 3	revised	Is F# used in trading systems? Inlined the link
Mar 3	revised	Is it worth preserving orderbook structure when building it from individual orders? Removed salutation
Feb 28	revised	How to identify technical analysis chart patterns algorithmically? Removed the comment embedded in the answer
Feb 22	revised	How to use Newey West covariance corrector? Inlined link
Feb 21	revised	Taylor series expansion (Volatility Trading book) explanation sought More LaTeX clean-up, plus some Markdown
Feb 21	revised	Taylor series expansion (Volatility Trading book) explanation sought Sample LaTeX
Feb 20	revised	How to use financial ratios in a factor model? LaTeX, grammar, the usual
Feb 20	revised	Quick way to check what 'tape' a stock belongs to? typo
Feb 19	revised	Regression giving the return on a stock LaTeX, idiomatic English, removed signature as per FAQ, the usual.
Feb 17	revised	interbank-rates wiki description More idiomatic.