chrisaycock

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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


86 Answers

newest activity votes
30
What programming languages are most commonly used in quantitative finance?
feb 8 '11 at 21:22
27
Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
apr 10 '11 at 20:07
19
Efficiently storing real-time intraday data in an application agnostic way
apr 8 '11 at 18:00
18
How useful is the genetic algorithm for financial market forecasting?
feb 18 '11 at 9:51
17
How much data is needed to validate a short-horizon trading strategy?
sep 13 '11 at 16:22
15
How should I store tick data?
feb 12 '11 at 16:03
14
How good is managed code for algo trading?
apr 10 '11 at 23:23
13
Is the Interactive Brokers API suitable for hft?
feb 9 '11 at 15:58
12
Why does the adjusted closing price take into account dividends?
sep 21 at 3:37
12
Time-series similarity measures
mar 30 '11 at 3:57
11
Trading a stock (or other asset) based on Bollinger Bands.
mar 31 '11 at 1:55
11
What approaches are there to order handling in automated trading?
feb 14 '11 at 1:35
10
How are limit orders selected from the order book?
oct 29 '11 at 18:57
10
HFT: What is the big differentiator in comparison to other time scales?
aug 29 '11 at 13:54
10
How to update an exponential moving average with missing values?
feb 22 '11 at 0:20
9
When to shut down a trend following strategy?
mar 18 '11 at 16:02
9
How fast is QuickFix ?
feb 19 '11 at 2:11
9
What are the key risks to the quantitative strategy development process?
feb 3 '11 at 17:06
8
Using Black-Scholes equations to “buy” stocks
mar 19 '11 at 2:46
7
Profiting from price discrepancies between stock exchanges
may 15 at 1:25
7
Is F# used in trading systems?
feb 8 '11 at 21:10
6
Fastest news feed APIs targeting high frequency trading?
feb 25 at 16:02
6
What is the Benefit of holding a short option?
jul 6 '12 at 16:36
6
How to perform risk factor calculation?
mar 22 '11 at 16:18
6
Why do expected return models and risk models use different factors?
jan 3 '12 at 20:42
6
How to account for jumps in intraday data when calculating beta?
jan 4 '12 at 2:01
6
Alternate money management strategies to Kelly?
jun 18 '11 at 14:08
6
Order submission strategies of a rational market maker?
may 24 '11 at 20:22
6
Should Sharpe ratio be computed using log returns or relative returns?
may 2 '11 at 4:51
6
Is it common to use multiple brokers for risk reduction?
apr 29 '11 at 15:36
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