chrisaycock

5,250 reputation

21357

bio	website	chrisaycock.com
	location	New York, NY
	age	31
visits	member for	2 years, 3 months
	seen	4 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	4 mins ago

summary answers questions tags badges favorites 1 bounties reputation activity

328 Revisions

suggestions reviews revisions comments badges posts accepts all

Feb 14	revised	Computing the Sharpe Ratio Removed signature (as per FAQ) and cleaned-up writing.
Feb 8	revised	How to calculate two-time scale variance? Inlined the links
Feb 7	revised	Imputed values in a multi-index More idiomatic
Feb 5	revised	Multiple (linear) regression LaTeX
Feb 5	revised	How do I determine the maturity date from a T-bill's CUSIP? Added white space to be more readable.
Feb 3	revised	Kelly criterion and Sharpe ratio Removed salutation
Feb 3	revised	What does it mean to be long gamma? Changed all the "your" to "you're", changed the ampersand to a real "and", etc. Writer does not appear to be a native English speaker.
Feb 3	revised	Kelly criterion and Sharpe ratio Reworded to be clearer, and reformatted the LaTeX.
Feb 1	revised	How to use mean-variance weights in practice (when going short is allowed)? Typos
Jan 31	revised	How to design a custom equity backtester? More readable
Jan 30	revised	What are the options for a mathematician to break into QF without working for a fund? Using Markdown for formatting
Jan 29	revised	Applying interest rate shocks under Solvency II Inlined links
Jan 29	revised	Is “eoddata” a good data source? Fixed typos
Jan 28	revised	NYSE Early Close Rules (July 4th and Dec. 25th) Removed specific holiday tags.
Jan 26	revised	Robust Bayesian portfolio optimization in matlab? Inlined links and cleaned-up punctuation.
Jan 25	revised	Other means of calibrating Heston models Formatting
Jan 24	revised	What is the industry standard Quant Finance modeling library for F# edited body
Jan 24	revised	What is the industry standard Quant Finance modeling library for F# Reformatted in Markdown. Some clean-up to the grammar.
Jan 24	revised	Liquidity detection based strategy in HFT Formatting, spelling, grammar, the usual.
Jan 23	revised	Is the Interactive Brokers API suitable for hft? Corrected lots of grammar issues.