Reputation
1,839
Top tag
Next privilege 2,000 Rep.
Access moderator tools
Badges
1 8 24
Newest
 Yearling
Impact
~98k people reached

Mar
23
comment Setting the r in put-call parity?
LIBOR rates are also prone to manipulation, since they are declared, not traded rates.
Dec
29
comment Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
Some market makers are official, some are not. Anyone can post passive limit orders on both sides of the book and be a de facto market maker.
Dec
19
comment How to trade leveraged ETFs
They are likely to be banned soon, so why bother? ;-)
Aug
30
comment Where can I find literature (books, articles, etc.) about basic HFT / arbitrage strategies?
@madilyn Nice parody, but some people take it seriously.
Oct
15
comment Question about the rationale of applying certain recovery rate by ISDA
Read the 2nd answer, it's all there.
Oct
10
comment Question about the rationale of applying certain recovery rate by ISDA
Either you didn't write what you mean, or you just don't understand how this works. experquisite's answer is much better.
Jun
10
comment Why use swap-rates in a yield curve?
Replacing it with the bank risk... which is higher than the sovereign risk, at least for the USA or UK.
Jun
4
comment VaR for portfolio of funds
Yes, much more clear. Thanks.
Jun
3
comment VaR for portfolio of funds
Please do, this is interesting.
May
30
comment VaR for portfolio of funds
"adding statistics of historical deviations of the fund portfolio from the (1) view" - do you mean tracking the difference between the fund valuation and the valuation of its assets using mid prices?
May
29
comment VaR for portfolio of funds
@BobJansen "Do you want to incorporate market inefficiencies such as the trading costs each fund makes?" Yes.
May
28
comment What is the difference between a recovery swap and a CDS?
Recovery swap is a hedge against the recovery rate risk, not against default risk.
May
21
comment VaR for portfolio of funds
Why? Over the space of 1-10 days the funds NAV should track their assets' values rather closely.
Nov
25
comment How do I estimate the parameters of an MA(q) process?
Why the vote to close as off-topic? Time series analysis is very important in stat-arb/HFT trading.
Nov
25
comment How do I estimate the parameters of an MA(q) process?
Thanks. I know mature libraries are the way to go in production applications, but I am simply interested in this problem.
Nov
3
comment Trade execution in HFT - role of quants
Thanks, that's another thing which is good to know. However, I meant to ask about the attribution to the whole execution group, as opposed to the group which developed the strategy (or is it impossible to divide the work in this way and execution quants are effectively also developing the strategy?).
Nov
3
comment Trade execution in HFT - role of quants
Thank you. Do you know how P&L is attributed to quants working on execution algorithms?
Feb
11
comment Why is C++ still a very popular language in quantitative finance?
@user492238 Subjective, like all the discussion about this question.
Feb
10
comment Why is C++ still a very popular language in quantitative finance?
@chrisaycock God forbid that somebody should flat THE MODERATOR!! ;-)
Jan
9
comment Can you fully hedge an option in the presence of counterparty risk?
Oh, of course, I'm far from being a "gold bug". I don't have an issue with using BS model "with caution". I have doubts about CVA modelling -- there it is claimed that you can price counterparty risk in a risk-neutral way (ergo, hedge it).