6,109 reputation
21646
bio website blog.smaga.ch
location Hong Kong
age 29
visits member for 4 years, 1 month
seen 12 hours ago

Strats in a commodity trading firm in Hong Kong.


Feb
11
reviewed Looks OK Except Zipline, are there any other Pythonic algorithmic trading library I can choose?
Feb
11
comment Historical Data - Free Sources in 2015?
Feel free to add your answer there if they don't talk about Quandl already. But please add some comments with it like how much of it is free, have you worked with it already and so on.
Feb
11
comment Historical Data - Free Sources in 2015?
All data sources questions were merged in a single question. Feel free to comment or raise flags there is some links are broken.
Feb
11
revised How to prove the “Law of one price” theorem?
edited title
Feb
10
comment Except Zipline, are there any other Pythonic algorithmic trading library I can choose?
How do you know this framework? do you use it? did you write it?
Feb
3
comment What is a Heat Rate Option?
Unfortunately it looks like most of these links are now dead.
Feb
3
revised What is a Heat Rate Option?
added 1 character in body
Feb
3
revised What is a Heat Rate Option?
added 6 characters in body
Jan
28
revised Which volatility to use to price options on futures contract?
added 50 characters in body; edited title
Jan
23
revised Is Least Median Squares (LMS) regression commonly used in Finance?
edited title
Jan
23
revised How to calculate the growth rate of a growing annuity?
edited title
Jan
23
comment How to calculate the growth rate of a growing annuity?
Unfortunately, this is a basic finance question and this site is dedicated to professionals/academics in quantitative finance. You can try your luck in forums dedicated to the CFA curriculum, for example.
Jan
23
comment What does it mean to be “long or short in volatility”?
@emcor negative vega? I don't think that's possible, is it? I mean, the whole idea is that you can replicate an option payoff by holding a portion of the stock and that portion of the stock is determined among other things by volatility I understand. The more volatility the more of the Stock you need to hold and the more the option is worth then right?
Jan
22
answered What does it mean to be “long or short in volatility”?
Jan
22
revised What does it mean to be “long or short in volatility”?
rephrased as a question, formatting improved
Jan
21
comment What are the parameters of the function PORTVAR in Matlab?
A comment is not an answer. Better to have both.
Jan
21
revised How to value an expansion option?
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Jan
21
revised What are the parameters of the function PORTVAR in Matlab?
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Jan
21
comment What are the parameters of the function PORTVAR in Matlab?
why did you delete this? It answers the question: the covariance matrix is computed using historical returns. This is the only way given the input in any case.
Jan
20
comment What is the the correct treatment while short for the cash in lieu of a reverse split?
Can you please also edit the title so that it becomes a question?