1,920 reputation
2929
bio website fosstrading.com
location St Louis, MO
age 33
visits member for 3 years, 10 months
seen 4 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.


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
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).
Mar
10
comment Tracking delistings on NASDAQ & NYSE
possible duplicate of What data sources are available online?
Feb
24
comment where can i get data for foreign exchange order flow
The foreign exchange market is decentralized. There's no one place you can go to get the total order flow. You could get order flow for foreign exchange futures though.
Feb
24
comment What are some of the best quantitative finance websites?
This question is off-topic because it is spam, just like it was spam on NP.
Feb
16
comment I want to keep a column in getSymbols or get.hist.quote with the Date as as.Date format
This question belongs on stackoverflow.com
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.