Reputation
2,253
Next tag badge:
26/100 score
6/20 answers
Badges
3 11 35
Impact
~59k people reached

3h
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.
17h
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?
17h
reviewed Edit Up and Down days in GBPUSD and a Filter
17h
revised Up and Down days in GBPUSD and a Filter
added backtesting tag, remove courtesy
22h
comment HFT to blame for Flash Crashes?
Thank you for this, this informative! +1 Can you source this somewhere?
22h
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.
22h
reviewed Reviewed Parametric VaR with Student-t distribution
22h
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.
22h
reviewed No Action Needed What to expect when switching from backtesting to live trading?
22h
reviewed No Action Needed What exotic options are exchange-traded?
23h
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?
23h
reviewed No Action Needed Realtime Exchange Rate Data API
1d
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.
1d
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.
1d
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?
1d
reviewed No Action Needed How to check that an interest rate curve is arbitrage free
1d
reviewed Reviewed Rebucketing Risk using PCA/other methods
1d
reviewed Close Stock valuation: Solving non constant growth problem statement: stock evaluation
1d
comment HFT to blame for Flash Crashes?
Increased volatility and algorithm failure don't need to be independent, the volatility could be the cause of the failure. Also, market makers might not feel confident about their software and turn it off or widen their spreads.
1d
reviewed No Action Needed OIS & LIBOR swap