meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 2 months |
| seen | Mar 16 at 19:56 | |
| stats | profile views | 90 |
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Mar 1 |
awarded | Yearling |
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Feb 4 |
comment |
How to price a calendar spread option? A calendar spread option is not the same thing as a calendar spread of options. cmegroup.com/trading/interest-rates/stir/… |
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Nov 20 |
awarded | Enlightened |
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Oct 29 |
answered | How are limit orders selected from the order book? |
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Oct 28 |
answered | How to normalize Futures data(different leverage) for cointegration test? |
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Oct 21 |
awarded | Nice Answer |
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Sep 10 |
comment |
What are the risk factors in analysing strategies? @Quant Guy I'm not sure what question you are reading, but to answer your "question #1" the results are out-of-sample. You pick a strategy, and you look at historical data and see how well that strategy would have performed. He's not using any of that data to formulate the strategy. |
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Jul 26 |
answered | How can I learn about the quantitative aspects of market making in illiquid single stock options? |
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Jul 14 |
awarded | Citizen Patrol |
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Jul 12 |
answered | What data sources are available online? |
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Jul 12 |
comment |
What are the risk factors in analysing strategies? what common question are you talking about? |
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Jul 11 |
comment |
What are the risk factors in analysing strategies? @nicolas you might consider linking to a particular strategy since that site is updated frequently. I do not think he is data snooping in general. I think he comes up with a strategy and tests it. I don't see where he is doing any sort of optimization in-sample. Sure, the results will be different under different market conditions, but you have to start somewhere. |
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Jun 28 |
answered | Quantifying Hedging Error Due To Expiration Day Range? |
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Jun 27 |
awarded | Critic |
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Jun 27 |
answered | How can we reverse engineer a market-making algorithm (HFT)? |
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Jun 18 |
answered | What are the rules for quoting option prices on the market? |
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Jun 16 |
revised |
How do I compare implied and historic volatility? added 123 characters in body |
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Jun 16 |
answered | How do I compare implied and historic volatility? |
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May 19 |
revised |
Algorithm for the choice of stocks for a equity scalper/market maker to engage in? edited body |
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May 19 |
comment |
Algorithm for the choice of stocks for a equity scalper/market maker to engage in? Suppose you're lifted on an offer in SPY. You can lay off your risk by buying, S&P futures, e-mini S&P futures, options on SPY, options on ES, options on SPX, a basket of stocks, another index ETF (e.g. DIA) or futures/options on it, etc. Suppose instead that you were lifted on an offer for a small-cap start-up company with relatively few similar competitors and no liquid derivatives. You don't have anywhere to lay-off risk, or liquidate if things go wrong. |
