1,402 reputation
818
bio website quantdevel.com/public
location Elgin, IL
age
visits member for 3 years, 7 months
seen Jun 27 at 1:26

Quantitative developer, writer, instructor, private trader, so-so musician


Jun
12
awarded  Notable Question
Jun
10
awarded  Notable Question
May
8
comment How 'High' is the frequency in HFT?
@novice Thanks. Yup, those qualify as fast-moving markets, and your observation is good. Since I wrote this answer, I've seem more traders doing VHF trading on smaller budgets. In the past, I saw only organizations with substantial budgets -- for gear and people! Maybe the dividing line is between successful market takers (like you) vs. successful market makers. The VHF market makers I know do have big rigs.
May
8
comment How 'High' is the frequency in HFT?
@novice What market (or markets) are you trading?
Apr
11
awarded  Taxonomist
Jan
31
awarded  Yearling
Dec
17
comment Recreate Positions after downtime. Suggestions requested
I agree with Louis. If my computer was trading and it crashed, I would immediately cancel all open orders. That's just good risk management.
Dec
10
comment Portfolios from Sorts
Thanks for bringing this to our attention. The approach is very interesting. (PS - I fixed a bad link to the second paper.)
Dec
10
revised Portfolios from Sorts
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Nov
29
comment Maximum Likelihood using a Kalman filter for two factor model
Have you considered using R rather than Matlab? In R, there is already an implementation of the Schwartz-Smith model, including parameter estimation: cran.r-project.org/web/packages/schwartz97
Nov
27
comment Is price gaping the major risk that market maker has?
@MattWolf Thanks. Your point is well taken, and I am likely over-generalizing. I suppose I'm reacting to the OP's question: "[Are market gaps] the main worry of the market maker?" My opinion is that inventory management and liquidity issues are much larger problems than, say, competitors, connectivity issues, or price-model risk; and that market gaps are a cousin of those larger problems.
Nov
22
comment Is price gaping the major risk that market maker has?
In that situation, we say the market "traded through" your bid. It's still a problem in inventory management: you acquired the inventory, then the market moved against you. You are describing a special case of the general problem.
Nov
22
comment Optimizing stochastic functions numerically
This sort of difficult portfolio optimization is handled quite well by the PortfolioAnalytics package. The authors wrote an informal tutorial which explains the what and how.
Nov
21
revised Is price gaping the major risk that market maker has?
added 3 characters in body
Nov
21
answered Is price gaping the major risk that market maker has?
Nov
15
comment Risk and Reward in practice
@Matt +1 Thank you for putting the human face on risk management. It usually gets lost in the numbers. I think many quant traders don't appreciate that dimension.
Nov
15
comment pairs trading detrend the spread
When you say "make the spread stationary", do you mean construct a feasible spread trade; or do you mean post-process the spread data to eliminate the trend component?
Oct
22
comment Control for bid/ask bounce in high-frequency trade data?
@Ilya That's not a typo. When there are many buyers, they repeatedly hit the ask price, lowering the available ask size. So we weight the bid less heavily, and the weighted price rises. Likewise, when sellers arrive, the weighted price falls.
Oct
22
comment How 'High' is the frequency in HFT?
@user2763361 Thanks. That's an interesting perspective. I trade daily data. If 5-minute bars are ultra low frequency, what would you call daily bars?
Oct
14
comment Time-series similarity measures
@vonjd Thank you for bringing this to our attention! Distance correlation appears to be a wonderful statistical device. I have incorporated it into my weekly scan for related markets.