677 reputation
718
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location London, United Kingdom
age
visits member for 3 years, 5 months
seen Sep 11 at 18:17

Computer programmer.


Aug
11
comment How do I estimate the joint probability of stock B moving, if stock A moves?
The LPSM package looks interesting. Thanks!
Aug
11
comment How do I estimate the joint probability of stock B moving, if stock A moves?
Interesting, thanks for the answer!
May
13
comment If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look?
From investopedia.com/articles/optioninvestor/06/newvix.asp, "Unlike standard equity options, which expire on the third Friday of every month, VIX options expire on one Wednesday every month."
Apr
11
comment How to detect and adjust for stock splits?
@Joshua Ullrich. Thanks for letting me know. I've updated the answer.
Sep
1
comment Why does implied volatility show an inverse relation with strike price when examining option chains?
@Arjen Kruithof, you've got a 0% accept rate - people won't answer questions unless you at least do them the courtesy of accepting some of them, which ups their reputation ...
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
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!!
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.
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.
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
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
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
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.
May
26
comment Utility to download historical Implied Volatility data from Interactive Brokers?
Brilliant, this is just what I'm looking for.
May
25
comment Whats the equation to calculate the area under the curve of a normal distribution, given an upper and lower standard deviation?
... and for anything finance related, the time series is never stationary, and this technique is only relevant to stationary time series.
May
25
comment If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
Now that is a very nice article - informal, but more informative than a splatter of opaque math symbols.
May
23
comment What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?
QCollector allows you to download 1-min historical data back to mid-2007 for any of the symbols available on IQfeed.
May
23
comment If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
I'm not sure that this it the whole story. There is a big difference between buying $100 of IBM (which currently has 16% At-The-Money Implied Volatility) or SLV (which currently has 60% At-The-Money Implied Volatility).