1,881 reputation
2926
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 2 months
seen 5 hours ago

My formal education is in economics. My programming skills and computer knowledge are self-taught. I have an uncanny ability to find answers to questions outside my immediate expertise. I have a deep love of learning and I enjoy building / fixing all kinds of things -- software, computer hardware, engines, etc.


15h
comment How to lower the cost-per-trade?
The lower bound is the exchange's fee(s), but those fees can be affected by several factors (e.g. rebates).
Apr
19
comment “Equivalent” data sets despite different numbers
That depends on how you intend to use the data.
Apr
19
comment What are the good book to understand economics?
This question appears to be off-topic because it is about economics, not mathematical/computational finance.
Apr
19
comment Were can I find Historical Interest Rate Data?
FRED has National Rate on Non-Jumbo Deposits (less than $100,000): Savings (but it's a short series), and 1-Month Certificate of Deposit: Secondary Market Rate (which is an obvious proxy). In the accepted answer to the question I linked to, under "Fixed Income" is "FRB: H.15 Selected Interest Rates", which contains the 1-month CD series.
Apr
18
comment Were can I find Historical Interest Rate Data?
possible duplicate of What data sources are available online?
Apr
17
comment full tick and retail tick data feed difference
It depends on the vendor. Please be more specific.
Apr
17
comment source for yahoo finance equities volume traded
Ask the vendors who provide the data.
Apr
17
comment Bank Reconciliation HW Question
This question appears to be off-topic because it is about accounting, not computational/mathematical finance.
Apr
5
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
This is only true using snow/parallel functionality. multicore on *nix uses fork, which only copies when an object on the worker is altered.
Apr
4
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
That's true. Too bad the help pages don't have examples showing you how to use them...
Apr
4
comment When do trades actually execute on an exchange?
It depends on the specific exchange's matching algorithm, which are usually available on their websites.
Apr
4
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
R manuals/documentation are worse than Stata? No way. I was forced to use Stata 11 at a prior employer and the manuals and help pages were absolutely atrocious. The documentation that ships with base R is generally very good. The same can't be said for all 5000+ packages on CRAN, but at least you have the source code to inspect. You don't have that with Stata, SAS, Matlab, or OxMetrics.
Mar
27
comment Credit Spread, Transition Matrix
Related
Mar
25
comment Is the volatility of a trader's wealth equal to the volatility of the underlying assets traded?
I don't understand the distinctions between the trader's portfolio, wealth, and "index". They are all portfolios of assets. And it's not a necessary condition that the volatility be different if the "index" is traded, but it could be different.
Mar
23
comment Minimum PD under Basel II retail asset?
@Probilitator: I would guess "probability of default".
Mar
23
comment Value Weighted Return
Why not ask CRSP for clarification?
Mar
23
comment Standard way to represent trend in an a-dimensional way
Your question is very unclear. How can "trend of A equal trend of B" and "trend of B is greater than trend of A"? The product prices aren't important if you're measuring how much they impact profit; you want to compare profit margin. You need to explain why a simple percent change isn't adequate.
Mar
19
comment Which is the nearest town to London Gatwick
This question appears to be off-topic because it is about... directions?
Mar
13
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
@jessica: NORM.INV(RAND(),0,1) yields numbers roughly between -3/+3. That's not -3% to +3%; it's -300% to +300%. Hence my comment that your "returns" are huge.
Mar
12
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
1) Your simulated "returns" are huge (the return will be >100% more than 10% of the time). 2) What did you expect? Compounding is exponential, so long tails aren't surprising (especially with huge returns).