550 reputation
410
bio website pete.figliozzi@gmail.com
location Austin, TX
age 42
visits member for 3 years, 9 months
seen Jul 8 at 22:17

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.


Feb
22
accepted Simple model for option premium (for covered call simulation)?
Feb
21
awarded  Student
Feb
21
asked Simple model for option premium (for covered call simulation)?
Feb
11
comment What is Quantization?
No idea, but this looks interesting if you haven't seen it: "Optimal quantization methods and applications to numerical problems in finance": proba.jussieu.fr/mathdoc/textes/PMA-813.pdf
Feb
10
comment What is a stationary process?
Downvote and no comment.. curious..
Feb
10
awarded  Commentator
Feb
10
comment Proving Random Walk Hypothesis in Stock Market
Thanks Bridge! Looks cool. I'll see how it performs.
Feb
10
answered Proving Random Walk Hypothesis in Stock Market
Feb
9
revised Is the Interactive Brokers API suitable for hft?
microseconds-->milliseconds
Feb
9
answered Is the Interactive Brokers API suitable for hft?
Feb
8
awarded  Nice Answer
Feb
8
comment basic stock trading strategies
I'm not depressed. I enjoy working in a non-deterministic space. :)
Feb
8
comment What kind of basic framework or application do you use to run your trading algorithms?
Imran, if I am backtesting using OHLC bars, and find an entry in bar $n$, I will generally take my backtest entry at the open of the next bar, $n+1$. This leaves some room for improvement during execution. I have also found if during execution, I do a market order entry at the start of the next bar, the actual entries are evenly distributed around the entry bar "open" price when I later look at historical data. So my point is: slippage adjustment is a function of the way you backtest.
Feb
7
comment What is a stationary process?
I mentioned it because I don't believe testing for stationarity through the behavior of the ACF is a good way to go, in general. I can understand that some people might work with series where an ACF test is sufficient. I just mean in general, I would not start with that.
Feb
7
comment What is a stationary process?
But you could have a stationary time series that is not independent, and an independent time series that is not stationary.
Feb
5
comment Model Validation Criteria
We view validation and verification as two separate processes. "Verification": does the program and model do what it is supposed to/designed to do? E.g. if it is supposed to trade when condition x is true, does it? "Validation": does it predict well enough to make money.
Feb
5
answered What is a stationary process?
Feb
4
comment Model Validation Criteria
I am not a professional quant but I am a professional simulation modeler. I can tell you that a validation process is something that is agreed upon by all stakeholders, as there are almost infinitely many metrics and aspects of any non-trivial model that may be examined. In a nutshell, it's valid when you say it's valid, according to your standards.
Feb
3
comment How does pair trading work?
Lots of downvotes but no comments... please enlighten us
Feb
3
awarded  Editor