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18h
comment Up and Down days in GBPUSD and a Filter
Please add this to the question, comments are not meant for this.
1d
reviewed Close C++: Derive a class template from QuantLib::PiecewiseYieldCurve
1d
reviewed No Action Needed C++: Derive a class template from QuantLib::PiecewiseYieldCurve
1d
comment The best way to generate market scenarios
@Quartz is right, I would like to propose this question in two parts: (1, 2) and 3. This will still be broad but I hope answerable.
2d
reviewed No Action Needed Why can't you arb skew by buying options with low implied vol and selling high implied vol in the same month and dynamically hedging?
2d
reviewed Edit Up and Down days in GBPUSD and a Filter
2d
revised Up and Down days in GBPUSD and a Filter
added backtesting tag, remove courtesy
2d
comment HFT to blame for Flash Crashes?
Thank you for this, this informative! +1 Can you source this somewhere?
2d
comment Parametric VaR with Student-t distribution
It's better, so I reopened it, it might be too basic but it's good to have it answered.
2d
reviewed Reviewed Parametric VaR with Student-t distribution
2d
comment Parametric VaR with Student-t distribution
Hi Josh.V, welcome to Quant.SE! It's not clear to me what the issue is. What is it you want to achieve, do you want to use the formula, are you wondering whether it is suitable or something else? Note that a question such as that might still be off-topic, please check the faq to see what's on-topic.
2d
reviewed No Action Needed What to expect when switching from backtesting to live trading?
2d
reviewed No Action Needed What exotic options are exchange-traded?
2d
reviewed Reviewed What equal installment of annual payment will discharge a debt which is due as Rs. 848 at the end of 4 years at 4% per annum simple interest?
2d
reviewed No Action Needed Realtime Exchange Rate Data API
2d
comment HFT to blame for Flash Crashes?
@madilyn IMO whether the argument is correct needs research, I only have anecdotes. I'd like to see answer that answers this question backed by actual research because I think we can agree the effects I mention are not that too far fetched.
2d
comment HFT to blame for Flash Crashes?
@madilyn I said collectively. Sure, one can not exacerbate volatility by withdrawing orders yourself but market makers as a group could.
2d
comment Up and Down days in GBPUSD and a Filter
Hi tn240, welcome to Quant.SE! I find it hard to figure out what the exact experimental set-up is you have, other might too. Can you maybe provide some pseudocode of your algorithm so it is easier to understand what you're doing?
Aug
26
reviewed No Action Needed How to check that an interest rate curve is arbitrage free
Aug
26
reviewed Reviewed Rebucketing Risk using PCA/other methods