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


Jul
29
revised Why does Black-Scholes equation hold on continuation region of American Option?
Removed the "finance" and "economics" tags
Jul
26
revised Calculating company-level market capitalisations from share quantities and values
A couple typos
Jul
24
revised Is there a different test to check stationarity?
Typos
Jul
21
revised Value-at-Risk formula when using skewed-t distribution
LaTeX, inlined link. The grammar is still awkward though.
Jul
20
revised Statistical Power and Active Management
Inlined link
Jul
17
revised How to tune Kalman filter's parameter?
Corrected typos and inlined links
Jul
16
revised Cointegrating relationships - Johansen in R
typos
Jul
16
revised Convexity adjustment
Typos
Jul
14
revised Symmetry of option-implied probability density
English
Jul
12
revised The reason behind the selection of a 1 standard deviation movement for self financing delta hedge
Removed the "Beginner Question" title intro.
Jul
11
revised Non-intuitive correlation between S&P sector indexes and economic indicators
Rewritten to be more professional.
Jul
7
revised Regression of Unequally Weighted Portfolio against a Single Index
Formatting, grammar, tags
Jul
4
revised How is the Sharpe Ratio presented in fund profiles usually calculated?
Markdown formatting
Jun
26
revised GJR-GARCH modeling in stata
Markdown formatting
Jun
26
revised Black-Scholes fastest computation method
Corrected spelling of "cache".
Jun
23
revised Pricing Assets in the S&P Dynamic Asset Exchange
Removed signature and inlined link
Jun
22
revised Stepwise Cointegration
Formatting
Jun
20
revised How to estimate real-world probabilities
I'm not sure what the "Q" was for on a Q&A site.
Jun
19
revised Approximating a function with trignometric polynomials
Inlined the link
Jun
18
revised % Return on backtest with variable positions and notional amounts
Formatting