1,402 reputation
819
bio website quantdevel.com/public
location Elgin, IL
age
visits member for 3 years, 11 months
seen Jun 27 at 1:26

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


Jan
31
awarded  Yearling
Dec
3
comment Why is volatility mean-reverting?
@bill: Can you cite some reference for this hypothesis? I don't recall encountering this reasoning before. Also, those graphs are pretty, but they don't illustrate your thesis. Rather, they illustrate that implied volatility often rises when prices fall sharply... which seems off-topic.
Dec
3
comment Why is volatility mean-reverting?
Are you asking about realized volatility or implied volatility?
Dec
3
awarded  Critic
Dec
3
comment How 'High' is the frequency in HFT?
@zeliboba: That other post says nothing about trading 5-minute bars. It's all about tick-by-tick. As far as I'm concerned, the technology for trading 5-minute bars is easily accessible to individuals... although perfecting a profitable strategy may be tricky. Tick-level trading, by contrast, is probably out of reach for all but the wealthiest individuals.
Aug
17
awarded  Nice Answer
Apr
16
awarded  Nice Question
Feb
28
awarded  Nice Question
Feb
10
awarded  Nice Answer
Feb
10
answered How to estimate the probability of drawdown / ruin?
Feb
9
awarded  Editor
Feb
9
revised How 'High' is the frequency in HFT?
deleted 1 characters in body
Feb
9
answered How 'High' is the frequency in HFT?
Feb
9
comment How 'High' is the frequency in HFT?
+1 The Deutsche paper is very well written. Thanks for the link. BTW, I know smallish traders in the CBOT Building who are essentially co-located. It ain't cheap, but it doesn't cost an arm and a leg either.
Feb
7
awarded  Beta
Feb
7
comment Mean reverting strategies
@fRed For rolling futures, I use the standard techniques; see "A Compete Guide to the Futures Markets", for example. Yes, rolling contracts can cause several problems, including spurious cointegration. This mostly happens in physical commodities, where spot supply & demand problems can wreak havoc with the futures curve. Also, the spread has its own contango and backwardation, and you need to watch it carefully. Spread profits can evaporate when futures expire and you roll your positions forward.
Feb
5
awarded  Nice Question
Feb
4
accepted Trading a synthetic replication of the VIX index
Feb
4
comment Trading a synthetic replication of the VIX index
@shane I accepted this answer because the discussion helped me sort out the realities of the situation. Thanks for your observations.
Feb
4
accepted What is the role of stochastic calculus in day-to-day trading?