chrisaycock

5,263 reputation

21357

bio	website	chrisaycock.com
	location	New York, NY
	age	31
visits	member for	2 years, 3 months
	seen	5 hours ago
stats	profile views	1,525

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

	5,263 reputation	bio	website	chrisaycock.com	visits	member for	2 years, 3 months
21357 badges		location	New York, NY		seen	5 hours ago

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331 Revisions

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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.
Jan 21	revised	Avoiding negative volatility when applying Heston model More idiomatic
Jan 21	revised	What are the best Journals & Conferences in Quantitative Finance? Inlined link
Jan 21	revised	How to improve the Black-Scholes framework? Inlined the link
Jan 18	revised	How to calculate Vomma of Black Scholes model Centered the equations to make them more readable.
Jan 16	revised	Choice of epsilon for numerical calculation of vega in binomial option pricing model Switched to LaTeX
Jan 14	revised	What are the advantages/disadvantages of these approaches to deal with volatility surface? correct typo
Jan 13	revised	CTD and bond futures more idiomatic
Jan 11	revised	Asymmetric Volatility Modeling (Interpretation) Removed signature, as per FAQ
Jan 9	revised	What data transformations to use in regression of credit spreads on equity prices? Removed signature, as per FAQ.
Jan 7	revised	Video lectures and presentations on quantitative finance Inlined link, clean-up the text
Jan 5	revised	Rubinsteins Implied Binomial Tree - how to calculate the cumulative returns Adjusted image location
Jan 2	revised	How can I go about applying machine learning algorithms to stock markets? fixed markup for xi
Dec 31	revised	Optimizing a currency only portfolio with negative weights Massive clean-up of copy. Please please please proof-read before posting.
Dec 28	revised	Determining portfolio risk return in R given historical data for individual holdings? Spelled-out "covar" to make it more clear
Dec 28	revised	How to see if a set of asset returns corresponds to a known correlation matrix? Slight clean-up
Dec 23	revised	Threshold calculation for buying a mean-reverting asset Removed signature and improved writing
Dec 18	revised	round price to tick size added 254 characters in body