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| bio | website | pete.figliozzi@gmail.com |
|---|---|---|
| location | Austin, TX | |
| age | 41 | |
| visits | member for | 2 years, 3 months |
| seen | Oct 4 '12 at 21:36 | |
| stats | profile views | 118 |
I write automated trading applications in Java using the TWS API from Interactive Brokers. I use Python and C++ for data analysis and exploration.
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Feb 26 |
awarded | Taxonomist |
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Jan 31 |
awarded | Yearling |
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May 9 |
awarded | Enlightened |
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May 9 |
awarded | Nice Answer |
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Mar 4 |
revised |
How should I calculate the implied volatility of an American option in a real-time production environment? added recommendation |
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Mar 4 |
answered | How should I calculate the implied volatility of an American option in a real-time production environment? |
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Jan 31 |
awarded | Yearling |
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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. |
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Nov 17 |
answered | How to check if a timeseries is stationary? |
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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. |
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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 |
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Aug 2 |
answered | How random are financial data series? |
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Mar 6 |
asked | Picking from two correlated distributions |
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Mar 4 |
awarded | Critic |
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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. |
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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 |
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Feb 22 |
awarded | Scholar |
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Feb 22 |
accepted | Simple model for option premium (for covered call simulation)? |
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Feb 21 |
awarded | Student |
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Feb 21 |
asked | Simple model for option premium (for covered call simulation)? |
