677 reputation
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location London, United Kingdom
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visits member for 2 years, 11 months
seen Mar 18 at 23:41

Computer programmer.


Oct
31
awarded  Nice Question
Oct
4
comment How do I calculate expectancy from a past series of trades in my trading account?
Odd - I'm not sure why this was closed. The answer supplied the theory behind expectancy quite nicely. Problem solved.
Oct
4
accepted How do I calculate expectancy from a past series of trades in my trading account?
Oct
3
revised How do I calculate expectancy from a past series of trades in my trading account?
added 21 characters in body
Oct
3
answered How do I calculate expectancy from a past series of trades in my trading account?
Oct
3
comment If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look?
Ah, thats interesting - thanks!!
Oct
3
accepted If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look?
Oct
3
accepted What API methods are there to determine a company's market cap?
Oct
3
asked How do I calculate expectancy from a past series of trades in my trading account?
Oct
3
accepted Recommendations for books to understand the math in quantitative finance papers?
Sep
25
asked Recommendations for books to understand the math in quantitative finance papers?
Sep
22
asked If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look?
Sep
18
comment How are correlation and cointegration related?
Interesting point to make. If we are comparing two time series, correlation tell us something about the complete time series as a whole, whereas cointegration tells us something about the individual matching points.
Aug
21
comment Is it possible to estimate the correlation between an equity and its IV, purely from its IV skew?
Very interesting. We have developed a model that can accurately predict IV in all of the market regimes we have tested it in, back to 2002. Would you be interested in collaborating to produce a method of using this same equation to predict the underlying? Preliminary results show that this is definitely possible with SPX/VIX.
Aug
21
accepted Is it possible to estimate the correlation between an equity and its IV, purely from its IV skew?
Jul
9
comment How do I estimate the joint probability of stock B moving, if stock A moves?
Interesting. Calculating integrals is not that difficult, thanks or the tip.
Jul
9
accepted How do I estimate the joint probability of stock B moving, if stock A moves?
Jun
10
accepted How to calculate the local volatility surface using QuantLib?
Jun
8
comment How to calculate the local volatility surface using QuantLib?
Oooooh, so that's what I'm missing. Thanks! I'll work with the C++ version directly, once that's working I'll let you know.
Jun
6
awarded  Self-Learner