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Apr
30
comment Best way to store hourly/daily options data for research purposes
@Cuedrah Retrospectively, I'm happy with my choice, and feel like for my purposes +'s outweigh -'s, but there were a few moments when I seriously was thinking I should migrate the whole thing...
Apr
30
comment Best way to store hourly/daily options data for research purposes
@Cuedrah Among the negatives, it's a bit steeper learning curve than SQL. Aggregation is not very easy to understand, indexing is very important and not that straightforward either. One of the things hard to get past is the fact that in SQL you just have a table in easily readable format you can browse through. Not so much for mongo, you need to first aggregate a library of functions in programming language of your choice, which will display data in an easily readable manner. As soon as you have that, it's easier to manage... Otherwise, at first it might get quite annoying.
Apr
30
comment Best way to store hourly/daily options data for research purposes
@Cuedrah I ended up with mongodb. The big benefit for me is that it's quite flexible, and so for someone not well versed in data management and have to reorganize and reshuffle stuff often (every time I understand I did things wrong), nosql is much better in that sense. I use flat structure with no arrays within documents or anything like that, so lots of duplicate information which is not good for space, but very good for quick reads. As soon as you feel comfortable with aggregate queries, summarizing and grouping data works awesome as well.
Dec
9
asked Yield curve interpolation at (very) short horizons
Nov
30
awarded  Nice Question
Jun
18
awarded  Notable Question
Apr
8
awarded  Yearling
Oct
28
comment Best way to store hourly/daily options data for research purposes
@ArunRaja Ended up with mongodb, since I don't care about writing speed, only reading speed. So, just raw timestamped data with a couple of proper indexes did it for me.
Sep
22
comment Why most of apple stock price since 10years have been gained overnight?
@Wicelo Everyone is able to react next morning, and this would be not much different if they'd react during the trading session - price goes up in under a second because HFT guys catch it much earlier than others anyway.
Sep
12
asked Is there a good closed-form approximation for Black-Scholes implied volatility?
Jul
14
comment Technical analysis in Python - source of knowledge
That course is pretty poor, would be OK only for absolute beginners. It will give you the right idea of how to use Python for such things. Otherwise, if you get Python basics and know math, I don't think any special tutorial is necessary for this...
Jul
3
comment Does Implied Volatility always exist?
It wouldn't exist on the border of arbitrage opportunity, when intrinsic value is larger or equal to option price.
Jul
2
awarded  Informed
Jul
2
awarded  Curious
Jun
25
answered European Option Technical Exercise
Jun
19
answered Why is Value at Risk non-negative?
Jun
2
comment trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
Why are the initial values of the portfolios different? If they really are, then there is nothing wrong with your result, you invest more => you earn more in absolute terms, but could be whatever in relative terms.
Jun
2
comment What is the motivation for index benchmark?
You are basically saying "we need benchmark because we need to measure everything in comparison with a benchmark", it is a circular reasoning. The question is why this set up is in place. Why don't people set benchmark as risk-free rate and do the same?
Jun
1
comment What is the motivation for index benchmark?
Again, I'm not asking what is a benchmark and where it is used, but why does it come into play at all. Why would someone want to compare returns to a benchmark rather than to 0.
Jun
1
comment What is the motivation for index benchmark?
This answer is really not explaining anything. I know what a benchmark is, I'm asking why would it be a good measure of fund's efficiency, as well as why would people be interested to invest in it. How it is connected with market efficiency is also unclear.