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visits member for 3 years, 9 months
seen Nov 13 at 3:07

Nov
20
awarded  Enlightened
Oct
29
answered How are limit orders selected from the order book?
Oct
28
answered How to normalize Futures data(different leverage) for cointegration test?
Oct
21
awarded  Nice Answer
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.
Jul
26
answered How can I learn about the quantitative aspects of market making in illiquid single stock options?
Jul
14
awarded  Citizen Patrol
Jul
12
answered What data sources are available online?
Jul
12
comment What are the risk factors in analysing strategies?
what common question are you talking about?
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.
Jun
28
answered Quantifying Hedging Error Due To Expiration Day Range?
Jun
27
awarded  Critic
Jun
27
answered How can we reverse engineer a market-making algorithm (HFT)?
Jun
18
answered What are the rules for quoting option prices on the market?
Jun
16
revised How do I compare implied and historic volatility?
added 123 characters in body
Jun
16
answered How do I compare implied and historic volatility?
May
19
revised Algorithm for the choice of stocks for a equity scalper/market maker to engage in?
edited body
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.
May
19
answered Algorithm for the choice of stocks for a equity scalper/market maker to engage in?
May
17
comment How to scale option pricing components in regard to time
Your T-bill yield quote is probably already annualized using a 360 day year. investopedia.com/articles/bonds/08/…