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visits member for 3 years, 5 months
seen Apr 11 at 2:34

Aug
17
comment Quantitative before/after or financial engineering studies of a bid or ask tax?
This is an inane idea. A much simpler idea to reduce bad HF behavior would be to have a minimun time-to-live order time for inside orders. Indeed some markets (for example espeed) implement this. Leads to much saner orderbook activity and keeps gaming or quote stuffing algos out.
May
24
comment Whats the equation to calculate the area under the curve of a normal distribution, given an upper and lower standard deviation?
You can also find implementations in QuantLib and many other open source packages.
May
24
comment Whats the equation to calculate the area under the curve of a normal distribution, given an upper and lower standard deviation?
I should note that the above assumes the mean is 0. If not 0 then add the mean in the arguments for the cdf.