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5h
comment How do exchanges make money?
@MattWolf Why are you deleting all of your posts after your display of amateur hour?
Oct
23
comment What would be considered a good/competitive throughput for a FIX engine?
A good throughput is purely opinion-based. Throughput on its own is a meaningless number anyway. And to the majority of users, standard QuickFIX performance would be considered "good".
Oct
23
comment What would be considered a good/competitive throughput for a FIX engine?
If you have a client, a good throughput depends completely on your service level agreement with your client. If you're just writing this for yourself (which appears to be the case from your history of questions), use the search function, there's been many similar questions/answers before this.
Oct
22
comment How do exchanges make money?
I have a first hand perspective to the current investigations and I can safely assure you that the focal point is the activity and reporting requirements of dark pools and the maker/taker fees, both of which I agree should be revamped. As for Schneiderman's actions, let's just say he's running for AG re-election. I never said I was representing electronic market making firms in my opinion, I'm assessing the situation from a neutral perspective.
Oct
22
comment How do exchanges make money?
@MattWolf That's irrational. It's like complaining that your software only lets you submit market orders and not limit orders and saying that the market environment is unfair because of that.
Oct
22
comment What are good internship positions I should look for as an undergrad student?
I've found that BScs with solid work experience stand a better chance than MFEs over 10^4+ resumes. Most MFE programs are overpriced degree programs designed to fund universities with students who are desperate for a job in finance, couldn't find one with their BSc, and otherwise wouldn't have been admitted to their undergraduate programs. I got started in finance because I had a few IMO medals and I can say there were more Olympiad medalists than MFEs at my jobs.
Oct
17
comment How do exchanges make money?
A fair market should guarantee its participants an equal, nondiscriminatory opportunity to invest in technology - which BATS, NASDAQ etc. all have. The net revenue to operating capital ratio is significantly higher at an equities EMM shop than the major HFs and banks and this is mostly the effect of the denominator - how is this unfair?
Oct
17
comment How do exchanges make money?
@MattWolf: If we had only 1 market, we'd just be paying monopoly rents, and that's not ideal either. The complexity of the equities market is a factorial problem, and shaving off even 1 dark pool will have a tremendous effect in simplifying the system.
Oct
15
comment How do exchanges make money?
I have my criticisms of Reg NMS but you're putting the cart before the horse: As you've pointed out, fragmentation is the underlying problem and the ECNs and dark pools are at the root of it. I'm open to more stringent regulation and definition on non-listing markets that would wipe out broker-preferencing dark pools such as IEX.
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
comment Algorithm to detect the aggressor side of a trade
@Serg: Yes, that is what I understand you're looking for.
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
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
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.
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
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.