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Aug
27
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.
Aug
27
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.
Aug
27
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
Aug
26
reviewed Close Stock valuation: Solving non constant growth problem statement: stock evaluation
Aug
26
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.
Aug
26
reviewed No Action Needed OIS & LIBOR swap
Aug
26
comment HFT to blame for Flash Crashes?
But what if they deviate from the design? For example by pulling out collectively or when an algorithm goes haywire?
Aug
26
comment Specifying integration level of time series
I'm voting to close this question as off-topic because it's on stats and fits better there.
Aug
26
reviewed No Action Needed Yahoo finance, interactive chart and historical prices are different
Aug
26
comment Is variance additive only under Log-returns?
Thanks @volcompt.
Aug
26
reviewed Approve Is variance additive only under Log-returns?
Aug
25
reviewed No Action Needed Market making in thinly traded assets
Aug
25
reviewed No Action Needed Why is this delta-hedging/P&L example on a variance swap call correct?
Aug
25
reviewed Reject Option pricing before Black-Scholes
Aug
25
reviewed Close The best way to generate market scenarios
Aug
24
reviewed No Action Needed Semi-variance/Downside Risk, what about the rest of the covariance matrix?
Aug
24
reviewed Close DCF equity valuation
Aug
21
reviewed No Action Needed Machine Learning vs Regression and/or Why still use the latter?