1,881 reputation
2926
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 2 months
seen 8 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.


Feb
13
comment Estimate the effect of a buy order on stock price
Research "market impact".
Feb
11
comment Reasoning for Bloomberg's short rate volatilty calculation
You mean it's not in their manual of scripts?!? :) I meant: call your Bloomberg representative.
Feb
11
comment Reasoning for Bloomberg's short rate volatilty calculation
Maybe ask Bloomberg?
Feb
5
comment How can foreign investment have a negative figure?
It's a flow, not a stock; like the difference between income and wealth.
Feb
4
comment Microstructure effects for a market maker?
@statquant: of course you have something valuable to share. You're here because you do this for a living. So you could ask a question where the answer would be directly related to how you make money. Then you answer your own question, providing details on what gives you an edge over other market participants.
Feb
4
comment Microstructure effects for a market maker?
@statquant: That's rather hypocritical coming from someone who has yet to share valuable information themselves.
Jan
29
comment Microstructure effects for a market maker?
This is not a discussion forum. Questions asking for a "lists of things" are not a good fit for the Q&A format of this site.
Jan
29
comment Are proof-of-work systems used by exchanges?
Connections to exchanges aren't public. The exchange knows who is sending the requests, even if they don't publicize it. Many exchanges (e.g. US futures) have messaging limits and penalize you if you violate them.
Jan
28
comment Where do these Orders come from and what do they mean?
Fill-or-kill orders aren't displayed in the limit order book. They're immediately matched, or canceled.
Jan
27
comment Downside deviation
I'm sure many have worked with it. It's utility depends on what you need to do. Yes, it can help with risk management.
Jan
27
comment Where do these Orders come from and what do they mean?
This question appears to be off-topic because it is about the rules of a specific exchange, not mathematical/computation finance.
Jan
17
comment Normality assumption in Sharpe ratio
@MattWolf: so you would argue that there's no normality assumption? Even if you account for upside/downside deviation, the Sharpe Ratio still has issues if the distributions are non-normal.
Jan
16
comment Normality assumption in Sharpe ratio
This is a basic statistics question. The Sharpe ratio is calculated using the mean and variance of a distribution, therefore it is a less descriptive measure the more the mean and variance do not completely describe the distribution.
Jan
10
comment What R-packages for SOCP problems are there?
There's at least one in the Optimization Task View. You can probably find more by searching via rseek. I'm not sure if it's the same here, but questions asking to recommend or find a tool, library or favorite off-site resource are off-topic on StackOverflow.
Jan
3
comment How to reproject rates risk on a subset of tenors
How are you calculating these deltas?
Jan
2
comment Finite difference methods
@rads: please accept this answer if it solved your problem.
Jan
2
comment decoding this formula about nominal and real return
This question appears to be off-topic because interpreting badly-written lecture notes is unlikely to be useful to future visitors.
Dec
31
comment Fair interest of mortgages
Default risk is only one of many factors that determine the interest rate on a mortgage (or the price of a MBS). You need to be more specific. This forum is not the appropriate place to ask someone to summarize mortgage pricing or MBS valuation.
Dec
31
comment Error message in calculation Implied Volatility
This will not help. See my answer.
Dec
22
comment Bloomberg interest rate interpolation
This question appears to be off-topic because it is a question the data vendor can answer.