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Oct
20
answered Do people actually use VaR in professional settings?
Oct
18
answered Where can I find literature (books, articles, etc.) about basic HFT / arbitrage strategies?
Oct
15
revised How do exchanges make money?
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Oct
13
revised How do exchanges make money?
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Oct
13
answered How do exchanges make money?
Oct
1
answered Level II market data (equities)
Sep
30
answered Intraday Data - Stylized Facts?
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)?
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Aug
1
answered Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?