550 reputation
410
bio website pete.figliozzi@gmail.com
location Austin, TX
age 42
visits member for 3 years, 8 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
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.
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
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
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
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
comment Proving Random Walk Hypothesis in Stock Market
Thanks Bridge! Looks cool. I'll see how it performs.
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
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
comment What kind of basic framework or application do you use to run your trading algorithms?
I use Matplotlib (matplotlib.sourceforge.net), a Python library, for most visualization. The exception is when using JMP for data analysis, it has its own plots. JMP is a commercial product that I happen to have a license for through my company, and use it for convenience. There are plenty of numpy/scipy/etc. packages available for Python to do the same stuff. In fact I code stuff up in Python once it becomes part of a process.
Feb
2
comment What kind of basic framework or application do you use to run your trading algorithms?
PostGreSQL. Not sure why I use it over MySQL. Both are freely available.