677 reputation
616
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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.


Jun
6
revised What API methods are there to determine a company's market cap?
added 4 characters in body
Jun
6
comment What is the implied volatility skew?
I'm curious - is it possible to estimate the correlation between the equity and its IV, if all you know is the IV skew?
Jun
6
asked Is it possible to estimate the correlation between an equity and its IV, purely from its IV skew?
Jun
6
revised What API methods are there to determine a company's market cap?
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Jun
6
revised If stock A has a 60% chance of rising, and stocks A and B have 80% correlation, what is the chance of stock B rising?
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Jun
6
answered What API methods are there to determine a company's market cap?
Jun
5
comment How can I go about applying machine learning algorithms to stock markets?
There is a saying "Picking pennies up in front of steam rollers". You're doing the equivalent of selling an out-of-the-money put. In this case, you'll make tiny profits for years, then get totally cleaned out when the market melts down every 10 years or so. There is also an equivalent strategy that buys out-of-the-money puts: they lose money for years, then make a killing when the market melts down. See Talab's The Black Swan.
Jun
5
revised How do I estimate the joint probability of stock B moving, if stock A moves?
edited title
Jun
5
revised How do I estimate the joint probability of stock B moving, if stock A moves?
deleted 74 characters in body; edited title; added 73 characters in body; added 251 characters in body; deleted 2 characters in body; added 27 characters in body; edited body; edited body
Jun
5
accepted Recommendation for a library to calculate the local volatility surface?
Jun
5
accepted Lib for Arbitrage-Free Smoothing of Implied Volatility Surface?
Jun
5
accepted Utility to download historical Implied Volatility data from Interactive Brokers?
Jun
5
asked What API methods are there to determine a company's market cap?
Jun
3
asked How do I estimate the joint probability of stock B moving, if stock A moves?
Jun
3
comment QuantLib in industry
Hey, the answer is ok: it mentioned the Extreme Optimization library, which is related to the "street cred" portion of Quantlib. +1.
Jun
3
comment If stock A has a 60% chance of rising, and stocks A and B have 80% correlation, what is the chance of stock B rising?
Thanks, I'll do some research into this area.
Jun
3
accepted If stock A has a 60% chance of rising, and stocks A and B have 80% correlation, what is the chance of stock B rising?
Jun
2
answered Lib for Arbitrage-Free Smoothing of Implied Volatility Surface?
Jun
2
answered Recommendation for a library to calculate the local volatility surface?
Jun
2
asked If stock A has a 60% chance of rising, and stocks A and B have 80% correlation, what is the chance of stock B rising?