1,008 reputation
511
bio website
location
age
visits member for 3 years, 9 months
seen Nov 13 at 3:07

Aug
23
comment List of dates at which the NYSE was closed from 2005 to 2014?
This was the first hit on google: www1.nyse.com/pdfs/closings.pdf
Aug
10
comment Simulate non-stationary time series with cointegration
See quant.stackexchange.com/a/1038
Jun
21
comment Do quants need to know Accounting?
@user2763361 Please post that as an answer so that I can downvote it.
May
2
comment What noun is used to describe whether an option is call or put?
@MattWolf You can sell rights.
Apr
29
comment What noun is used to describe whether an option is call or put?
@ArmanSchwarz touché :)
Apr
29
comment What noun is used to describe whether an option is call or put?
It is to me. ;-) It doesn't come up very often other than in code. Usually, you'd talk about the calls or the puts. Or the OTMs or ITMs
Apr
21
comment Deep bid ask orders
+1. a.k.a. stub quotes which are supposedly banned
Apr
15
comment Dv01 of Eurodollar futures contract
Have a look at page 8 of this CME pdf
Apr
5
comment Downloading Quotes in CSV format from Yahoo Finance - Beta symbol?
FWIW, gummy-stuff.org is a good reference for yahoo's csv api, but it doesn't include a tag for beta. :-(
Mar
23
comment Tracking delistings on NASDAQ & NYSE
I found this by searching the nasdaq site for "delist" listingcenter.nasdaqomx.com/…
Feb
18
comment Hull's method for the optimal hedge ratio: why?
because T is in the future?
Jul
11
comment RCaller & RQuantlib error in java
Already asked on Stack Overflow before cross-posting here.
Jun
4
comment What data sources are available online?
@classifire thanks, updated.
Dec
31
comment Control for bid/ask bounce in high-frequency trade data?
@Shane, please see meta.stackexchange.com/questions/5234/…
Dec
10
comment How credible is Knight pointing the finger at Rule 107C?
Don't believe everything you read on Bloomberg; the data is not consistent with that story: nanex.net/aqck2/4008.html
Sep
23
comment Trade Count Time Series
You asked if the data was "available somewhere for download or purchase." You don't have to make any trades in order to get the data although you may have to pay something like 10 or 20 dollars a month. You may even be able to get the data with a paper trading account for free.
Aug
9
comment How to simulate cointegrated prices
possible duplicate: quant.stackexchange.com/questions/1027/…
Aug
8
comment How credible is Knight pointing the finger at Rule 107C?
Here's a theory: nanex.net/aqck2/3525.html
Aug
4
comment Backtest pair trade strategy in R
(1) Your example is not reproducible. (2) You should NOT use all the data to calculate your hedge ratio (3) With intra-day data, you probably need to account for bid-ask spread (4) Do you really want returns? Most intraday traders use enough leverage that they care more about PnL than returns. (5) Once you have a signal for the spread, you can easily apply it to each leg separately. (6) Last I looked at the PairTrading package, I thought they got some things backwards. Maybe they just look at things differently than me, but I could not figure out how to get their results to match my own.
Apr
14
comment Is Visual Basic a fast enough for millisecond orders
VBA is not VB.NET. It's unlikely the OP is asking about VBA