Reputation
1,270
Top tag
Next privilege 1,500 Rep.
Approve tag wiki edits
Badges
3 13
Newest
 Custodian
Impact
~32k people reached

Aug
27
answered HFT to blame for Flash Crashes?
Aug
27
comment HFT to blame for Flash Crashes?
@BobJansen I don't personally believe in the group argument. In certain products, my group trades about 10% of the ADV (and a lot more of the visible liquidity in the book). We see no difference whether we're withdrawing orders as an epsilon % of the visible liquidity or withdrawing orders as 20% of the visible liquidity.
Aug
27
comment HFT to blame for Flash Crashes?
@meh This is a typical correlation vs causation problem as you've admitted yourself. If you've found a way for withdrawing your passive orders to lead high volatility, let me know, you can earn a hefty annual bonus. I stand by my point that you can't exacerbate volatility by withdrawing your passive orders. That's like saying that "if a gun store stops selling guns, it's causing an increase gun-related deaths because demand for guns is correlated with gun-related deaths"... Huh?
Aug
26
comment HFT to blame for Flash Crashes?
Withdrawing passive orders can't exacerbate volatility. This makes no sense... If it's possible to exacerbate volatility by withdrawing passive orders, then there's a practically free vol arb opportunity from withdrawing liquidity all the time.
Aug
24
reviewed Reject Drawbacks of Black-Scholes option pricing model
Aug
5
reviewed Approve Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility
Jul
29
reviewed Approve Jump-Diffusion Processes
Jul
28
reviewed Reject About the boundary conditions of the Black-Scholes-Merton PDE
Jul
24
answered Newbie Quant: Bulding price feeder to securities master db
Jul
19
reviewed Approve Computation of Expectation
Jul
16
comment Latency and Delays across Exchanges
@LouisMarascio I believe you meant ms, not us.
Jul
8
reviewed Approve What are Barra style factors useful for?
Jul
4
answered How to filter and normalize market data obtained from distinct sources (FIX 4.4, bloomberg, etc) in an algorithmic trading system?
Jun
29
reviewed Approve The greeks: where do they come from?
Jun
27
comment If I have found a way to predict stocks trend with 58% accuracy, is it good?
@vonjd I don't know where you're getting the time horizon and buy-and-hold from. I could know for sure (100% accuracy) that price will be higher within n time steps and I would still not necessarily profit from it because my execution time is n + epsilon. I can always find some epsilon such that this is trivially true regardless of the time horizon of the 'trend' we are talking about.
Jun
27
answered If I have found a way to predict stocks trend with 58% accuracy, is it good?
Apr
27
answered Why aren't there any single owner companies over a billion dollars?
Apr
24
reviewed Approve What are good online resources for credit portfolio managers?
Apr
20
revised The future language of quant programming?
added 1154 characters in body
Apr
20
answered The future language of quant programming?