5,646 reputation
21343
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 8 months
seen 45 mins ago

Strats in a commodity trading firm in Hong Kong.


Jun
24
revised How do I statistically differentiate a series of prices from a series of returns?
more formal approach
Jun
24
revised How do I backfill the price of bonds for backtesting?
rephrased the title, improved formatting
Jun
21
revised Why do some people claim the delta of an ATM call option is 0.5?
retagged
Jun
12
revised Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
rephrased the title
Jun
10
revised How to represent constraints for optimization problems in a data model?
rephrased the title
Jun
10
revised What is the precision of standard deviation estimates with small samples?
rephrased the title
Jun
10
revised How to perform risk factor calculation?
rephrased the title, retagged
Jun
10
revised Is there an open source alternative to Reuters Kondor+?
rephrased the title, removed courtesies
Jun
10
revised What latency should I use for backtesting a high-frequency strategy?
rephrased the title, removed courtesies
Jun
10
revised What is a real world example of negative forward interest rate?
rephrased the title
Jun
10
revised Is the binomial model wrong?
rephrased the title
Jun
10
revised What is the best live options data API?
removed courtesies, removed courtesies, formatting
Jun
10
revised How to account for transaction costs in a simulated market environment?
rephrased the title, retagged
Jun
10
revised How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
rephrased the title
Jun
10
revised How should I include the bid-ask spread as a transaction cost in a backtest?
rephrased the title, retagged
Jun
10
revised How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
removed abbreviations
Jun
8
revised How to get an analytic result for option price based on this model?
removed courtesies, improved grammar, formatting
May
29
revised How to perform risk factor calculation?
mathematical signs, tagged
May
29
revised How to perform risk factor calculation?
squared the sigma in formula denominator
May
29
revised Optimal execution and reinforcement learning
removed accronyms