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bio website izgur.com
location Netherlands
visits member for 3 years, 8 months
seen May 2 at 13:30

comment Which algorithm should I look into to kick off my research in algorithmic trading?
I disagree with your definition of algorithmic trading, though I know it is used by more people in this form. Algorithmic trading means you let an algorithm--unmabiguous step-by-step rules--dictate your trading. There is no gut feeling or other BS involved because it is ambiguous. In fact you do not even need computers to engage in algorithmic trading... You can calculate everything on paper. Computers make it easier and faster though.
comment How good is managed code for algo trading?
@wburzyns: haha, I love the Scott's comments. On another note, Goldman Sachs used Erlang (functional programming language) for some of its high-frequency stuff in 2009. This is what I got from the Sergey Aleynikov story.
comment How do I estimate convergence in monte carlo methods?
Convergence of what? Can you please be more specific. Also what applications/tools do you use to experiment with Monte Carlo?
comment Why is the ratio of Hi-Low range to Open-Close range close to 2?
Did you use the entire price history? You might have used a period in which the ratio was close to 2. Why are you interested in that ratio?
comment How are dual class shares different from non dual class shares from a market makers' perspective?
My guess would be that there is less competition in class II, which leads to wider spreads and thus higher profits for market maker.
comment Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Also check out Hansen's test for Superior Predictive Ability, which in most cases is better than White's test.
comment Correct way to find the mean of annual geometric returns of monthly returns?
You are right of course.
comment Should Sharpe ratio be computed using log returns or relative returns?
Yes, daily log (excess) returns are most often used in scholar articles to calculate Sharpe ratio, which then can be annualized.