<t>Can someone please give example of a typical architecture employed by a trading application to display live data feed to its clients?eg., assuming the company name of the trading application is X, is this architecture possible?1. X subscribes to Bloomberg using data feed API. There is a windows s...
At the end of an interview, what should the interviewee ask the interviewer if he tells him to ask questions?Any examples or tips will be appreciated. (eg., can it have negative impact if I don't ask - I don't want to get into risk if my question triggers him to ask me more questions)Regards
<t>I am curious who creates software for high frequency trading or analysis.Is it any/all of the following:1.Independent IT software firm with knowledge of financial markets2.Broker-dealer3.hedge fund4.Trading firm5.Buy or Sell side firmor some others?Can someone please advice? I will appreciate if ...
<t>Can someone please tell how can a Windows client application be connected to a UNIX or Linux server process (eg., to send market data from UNIX server process to a Visual C++ GUI application on Windows)? What is typical technology involved?Is there any special care and things to keep in mind to b...
I am also not able to reproduce the results perfectly, but they match within around 0.1.eg., I get value of American option price of 8.57 for S=100 and A=100, while value mentioned in table 3 of the paper is 8.658. (my code is here)
<t>I would start with buying 2 books that are the standard or universal books which almost every Quant has - 1. Wilmott's "Quantitative Finance"2. Hulls "Option Futures and Derivatives"These are good for beginners, as well as remain excellent resources for future reference. There are lots of free re...
It is better to calculate b using a different sample, but doesn't make much of a difference.This is explained in good detail in Glasserman's book in last paragraph of page 200.
it is not multifactor vaiscek, but there is a link to estimate single factor vasicek model herehope i could help EDIT : in case you have not come across it, the paper "Affine Term-Structure Models: Theory and Implementation" by David Jamieson Bolder has a very nice explanation
<t>I have been reading about high frequency finance, but struggling to put all pieces together. I am sorry for asking these basic questions:1.Is it possible to apply high frequency finance models for personal trading account? If yes, what models can be employed ? (eg., can Engle's ACD model be used?...
I would compare my swap price values to values generated by standard software like Quantlib using same input parameters to narrow down the problem. Hope I could help. Edit : There is also a simple spreadhseet which calculates swaption price in Hull white using monte carlo here