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Aug
27
comment What software should I use for forex arbitrage?
Because in FX, you're only as fast as your dealer/credit counterparty lets you be. Sierra has a far stronger software development team than NinjaTrader, from what I know.
Aug
27
answered What software should I use for forex arbitrage?
Aug
27
comment Algorithm to detect the aggressor side of a trade
@Serg: Yes, that is what I understand you're looking for.
Aug
26
answered Algorithm to detect the aggressor side of a trade
Aug
13
comment Starting mathematics reading for quants
Not you two, silly. :)
Aug
13
comment Starting mathematics reading for quants
@athos / 1234 - Unfortunately, I hadn't come from a credit trading background. However, Tuckman and Serrat's book discusses credit default swaps, credit risk of corporate bonds and spreads and Veronesi's book briefly touches on collateralized mortgage obligations. Mike - My colleague asks me to say hi. (:
Aug
5
revised Popular R packages for Quantitative Finance
changed to wiki format and
Aug
5
comment Starting mathematics reading for quants
Equity options are probably the most thoroughly-covered among financial engineering texts so I think the 4 books I've recommended cover most of the introductory reading that you need. In addition to that, perhaps you could take a look at Rebonato's Volatility and Correlation, and Sinclair's two books.
Aug
5
comment Starting mathematics reading for quants
For interest rates... Rebonato has two books - Modern Pricing of Interest-Rate Derivatives and Interest-Rate Option Models. I would also look at Pelsser's Efficient Methods for Valuing Interest Rate and James & Webber's Interest Rate Modelling.
Aug
5
answered Starting mathematics reading for quants
Aug
4
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
You said it yourself: "I am looking for a data vendor that provides streaming delayed market depth data. Typically, the delay must be 15 min. to avoid exchange costs." You're simply asking for free data that takes advantage of this workaround. Again, I am unconvinced that this is on-topic and still vote to close this question.
Aug
1
revised Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
added 1356 characters in body
Aug
1
answered Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
Jul
7
comment Which is the correct definition of arbitrage?
@BCLC: Sorry, I thought you were asking about my response. Yes, for your initial question, I would see the first as deterministic and the latter as statistical. However, the lines are very blur here though and I'd avoid making that distinction unless required of you - the academic school of thought behind both definitions in your question generally doesn't distinguish between statistical and deterministic arbitrage, so what they really meant in those definitions was that the 1st is a stricter condition than the 2nd.
Jul
7
comment Which is the correct definition of arbitrage?
First case, 1 ticket: statistical. Second case, all tickets: deterministic.
Jul
7
comment 2 stocks, no shorting vs shorting. (concrete questions, mean-variance)
@user9482 Sure, if you have a budget constraint and no access to leverage, then the hyperbola will be cut off at some finite limit. But the answer that you are seeking is still at max $\sigma_{p}^2$ and should have no more than 2 trivial solutions - there seems no sensible purpose for this besides illustrating the basic tenet that "more risk, more reward".
Jul
7
answered 2 stocks, no shorting vs shorting. (concrete questions, mean-variance)
Jul
7
comment 2 stocks, no shorting vs shorting. (concrete questions, mean-variance)
This seems like a mean-variance optimization for a portfolio of 2 stocks. "Pairs trading" in the title is misleading.
Jul
5
answered Which is the correct definition of arbitrage?
Jul
5
answered How does logging effect Quickfix performance?