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visits member for 1 year, 8 months
seen Aug 28 at 17:52

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.
Jun
29
comment What are the unfair order execution/routing advantages HFT firms apparently have?
@user2763361 Yes, probably. Although the official argument from Katsuyama is that it is to encourage the equivalent of 'internalization' to take place on dark pool instead, which sounds rather flawed and PR-generated. I'm neither a fan of fragmentation, nor internalization, nor violations of price-time priority.
Jun
29
comment What are the unfair order execution/routing advantages HFT firms apparently have?
@mezamorphic: The order type does not determine the matching rule. The exchange specifies the matching rules in accordance to regulatory requirements. The 'special' order types are there to reduce messaging traffic which would otherwise be incurred by participants replicating those order types using conventional order types. I am pleased that those order types exist so I do not have to spend millions to upgrade all my hardware to 40/100 Gbps.
Jun
24
comment Quantitative Math required for Market-making?
@olaker: Thanks for clarifying and I'm not upset so there's no need to apologize. The issue is not the specificity, but rather the underlying goals of the question. I'd rather help a student fledgling - who has chosen to dedicate multiple years of his life and career towards getting educated in this field - pick his textbooks, than help someone from outside the field, clearly with a limited appreciation for it, to find specific ways to monetize his technical skills.
Jun
24
comment Quantitative Math required for Market-making?
@olaker: I'm appalled that you consider this a 'nice question'. Why should we upvote a question asking what basic math is needed for a programmer with zero quant finance background solely to make money in the markets, while killing off questions from finance students asking for suggested reading materials on financial mathematics?
Jun
23
comment What Is A Good Success Rate Using Machine Learning For A Beginner?
I flagged this question for closure. I appreciate your honesty about being a beginner but this question seems to be outside the scope of this SE. Firstly, this question is too broad and opinion-based - as the responses suggest - there's no right answer. I would be OK with a 50.1% success rate at a coin flip and a 0.1% success rate at winning a billion dollars. I'd need to know the transaction costs etc. And even so, there's no final answer because a positive expectancy strategy may be within someone's risk appetite but outside another's.
Feb
23
comment What are some of the best quantitative finance websites?
I'm voting to close this because it's too broad and opinion-based. The moderators have previously closed threads asking what's the best quantitative finance conferences - a considerably more specific question, so a fortiori, this question would be too broad if our moderators are fair.
Feb
6
comment Brokers offering low-cost / free accounts
There are certain economic quanta in the values of financial instruments, so you are effectively limited to micro-transactions in FX or Bitcoin, both of which I wouldn't recommend as a starting point for a serious academic inquiry.
Feb
2
comment Quantitative Derivatives Trading vs. Time
"Additionally, how could I apply formulas such as a moving average to all of these different prices?" --> Again, I find it hard to believe that someone with preliminary math background needs help with "applying formula[e]" and would phrase this better.
Feb
2
comment Quantitative Derivatives Trading vs. Time
"Derivatives, however, make this more complicated... I feel like most quantitative strategies I have read about are in an equity context." --> The author does not make it clear why this is the case. In fact, this statement is likely false, since there are orders of magnitude more liquid equity products and metadata fields for equities (splits, dividends, symbol-specific trading halts, mergers, acquisitions, listings and delistings, associated options chains, traded exchanges etc. to name a few), clearly because he is not coming from a quant professional background.