1,362 reputation
618
bio website quantdevel.com/public
location Elgin, IL
age
visits member for 3 years, 2 months
seen Mar 8 at 3:12

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


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?
Feb
3
comment Why does the VIX index have *any* correlation to the market?
In my experience, put/call parity can get out of whack (if only because of frictional costs) when demand for one side exceeds the other. I've seen the imp vols eventually converge, despite the demand imbalance, so IV rises. This is anecdotal, however. I've no hard evidence here.
Feb
3
comment Mean reverting strategies
@fRed Thank you! Yes, that is a very interesting model of mean reversion. I've been searching for a model like this. I'll be implementing it very soon.
Feb
3
answered Mean reverting strategies
Feb
3
comment What is the role of stochastic calculus in day-to-day trading?
Great answer, Shane. It reminds me of Wall St quants talking about "model arb": my model prices better than your model, so I can make a profit by trading with you opportunistically. But, again, that's for the Big Boys on the Street. Your answer nicely highlights that. Thanks for the references, too.
Feb
3
comment Why does the VIX index have *any* correlation to the market?
It doesn't matter if the demand is for calls or for puts. Due to put/call parity, demand for either drives up the implied vol for both.