550 reputation
410
bio website pete.figliozzi@gmail.com
location Austin, TX
age 42
visits member for 3 years, 10 months
seen Nov 29 at 18:55

Professional algorithmic stock trader. Direct market access.

I use R and Python for data analysis and exploration.

I also write automated trading applications in Java using the TWS API from Interactive Brokers.


Sep
24
awarded  Autobiographer
Feb
18
comment What is a stationary process?
Both CDFs are for price changes. In this case I used the first half vs. the second half of the series.
Feb
18
comment Model Validation Criteria
@Raphael looking again at the OP, he says "made a step forward comparing to existing literature". So in this case, suitable validation means his model can reproduce the results/subset of results in the existing literature.
Feb
26
awarded  Taxonomist
Jan
31
awarded  Yearling
May
9
awarded  Enlightened
May
9
awarded  Nice Answer
Mar
4
revised How should I calculate the implied volatility of an American option in a real-time production environment?
added recommendation
Mar
4
answered How should I calculate the implied volatility of an American option in a real-time production environment?
Jan
31
awarded  Yearling
Dec
16
comment How random are financial data series?
but good point about trade (betting) opportunities as the ultimate test. Casinos make quite a bit of money from stationary, independent, random time series.
Nov
17
answered How to check if a timeseries is stationary?
Nov
17
comment How sensitive are vertical spreads to changes in implied volatility?
Intuitively it's going to go like the first derivative of vega, meaning very small ATM, increasing as you move away (either ITM or OTM), but then back to zero as you move even farther away.
Sep
12
comment using quantlib function in my c++ program
from my linux shell, quantlib-config --libs prints out -L/usr/local/lib -lQuantLib telling me to g++ myQL.cpp -L/usr/local/lib -lQuantLib -o my_executable. Docs for quantlib-config helper program: linux.die.net/man/1/quantlib-config
Aug
2
answered How random are financial data series?
Mar
6
asked Picking from two correlated distributions
Mar
4
awarded  Critic
Mar
4
comment Is there any good research on support and resistance?
@everyone who upvoted this answer: the question is a query for references, not a query on everyone's opinion on the validity of S&R.
Feb
22
comment Simple model for option premium (for covered call simulation)?
Thanks much, this is exactly what I needed. A quick search turned up this paper with more info on the model, if anyone is interested: mat.univie.ac.at/~schachermayer/pubs/preprnts/prpr0121.pdf
Feb
22
awarded  Scholar