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Oct
9
answered What is an acceptable Sharpe Ratio for a prop desk?
Oct
5
answered Buy side techniques
Oct
5
reviewed Approve What are the advantages of financial modelling in R?
Oct
1
answered What information should be delivered to the client so they have enough information to manage their exchange rate risks?
Sep
29
reviewed Approve What data sources are available online?
Sep
23
reviewed Approve Seeming arbitrage in excess reserves
Sep
23
comment Real-time Tick Filtering
It depends what you're trying to achieve with this filter and how downstream in your application this is, e.g. if this is an 'infrastructural' filter rather than a piece of your strategy logic. An obvious hint is that eps_ticks should vary by symbol and time.
Sep
23
answered Real-time Tick Filtering
Sep
14
awarded  Nice Answer
Sep
5
revised Performance of Open Source Time Series Database for Financial Market Data
deleted 88 characters in body
Sep
5
comment Performance of Open Source Time Series Database for Financial Market Data
@AndyFlury Fixed.
Sep
5
answered Source of market or security attribute information?
Sep
5
answered Performance of Open Source Time Series Database for Financial Market Data
Sep
3
answered Quantitative Finance Programming Language
Sep
2
reviewed Reject How to synchronize put and call option-data?
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