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Apr
6
answered Does put-call parity hold for a compound option with underlying American option?
Apr
4
comment How to build an execution trading system with CQG API?
What is your question exactly? "Have anyone built an execution system with CQG API"? This doesn't look like a real question at the moment.
Mar
27
comment Creating a financial market
Yes, there are legal limitations for this business. For example, in many jurisdiction betting exchanges are bound by the conditions of an ordinary betting licence, but can also be subjected to specific regulatory duties. Usually such companies are registered in Malta or Gibraltar. But really this is not a right place to ask for legal advice.
Mar
14
comment Non-SQL methods for high-frequency accounting?
Almost all OLTP systems are designed in such a manner that they "synthesize balanced summary transactions to the back office periodically". It's a standard approach.
Mar
12
answered Assumptions based on non-martingale?
Feb
27
revised Discrete time Ho lee model
add latex and paragraphs
Feb
26
suggested approved edit on Discrete time Ho lee model
Feb
24
answered What is the expected return I should use for the momentum strategy in MV optimization framework?
Feb
20
awarded  Enthusiast
Feb
17
comment What is the expected return I should use for the momentum strategy in MV optimization framework?
I guess you can estimate the distribution of returns by backtesting your momentum strategy. Then you can adjust this estimate during your strategy’s lifetime from your trading results. Additionally you can enhance this by accounting for different market regimes or incorporate other factors which influence the returns on your strategy.
Feb
14
comment How are Expected Shortfall and Variance related?
Got it. Can you shed some light why you want to compare the sample std. dev. (which are directly observable from samples) looking at shortfalls?
Feb
14
comment How are Expected Shortfall and Variance related?
If samples are drawn from different distributions, I guess you can construct a counter-example e.g. by taking a standard normal distrbiton and skewed normal distribution.
Feb
12
awarded  Yearling
Feb
8
answered Is Visual Basic a fast enough for millisecond orders
Feb
7
comment How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption?
+1 MC is not required here
Feb
7
comment How to minimize the difference between a parametric VaR and a MC-VaR with lognormal assumption?
What do you exactly mean by "parametric VaR-measure to give better results"? The method you described as "parametric" looks like variance-covariance method. If better means account for jumps, then it cannot do better under your assumptions. Have you tried historical VaR?
Feb
5
revised What causes the call and put volatility surface to differ?
typo fixed
Feb
5
comment What causes the call and put volatility surface to differ?
@Jeffrey Yes, as far as there is no volume, the price is not representative. You shouldn't use ITM option prices for calibration of your local volatility model.
Feb
4
comment What causes the call and put volatility surface to differ?
@Jeffrey Yes, it holds only for put and call with the same strike and time to maturity. What do you mean by "but in the market thats not true"? Do you mean that you observe different implied volatility for put and call with the same strike and time to maturity?
Feb
4
answered What causes the call and put volatility surface to differ?