Sorry for the late reply. Nyc area.

<t>Hi, I'm got a career dilemma in front of me. I'm current part of a small stat arb group doing a bunch of support (ie everything from maintaining minutely data to tcost analysis and some alpha generation.) While at the same time, on my own, i was able to develop a market making strategy. I don't w...

<t>Hi, I have a quick question... given taq and nbbo zips, how can I get the nbbo throughout the day? 1. loop through quote zip { if ticker is listed { if national bbo ind is 1, write out bbo if national bbo ind is 4/6, look at nbbo file, find the line with the same sequence number and write out bbo...

Hi all, I'm new to the glm world.... While I'm reading up on logit, etc... are there any model that handles 3 value type response? For instance, instead of Yes or No, I have Increase, no change, decrease... what would be a recommended regression model? Thanks!!

<t>Hi all, let's say I have a 2 dimension function that I need to minimize. Let's say it looks like:x/y 1 2 31 10 8 72 8 7 53 5 4 3Now, I need to introduce an inequality of x+y<5. Any sort of penalty method will lead to say:x/y 1 2 31 10 8 72 8 7 153 5 14 23Now, if we look at point(2, 2) and evaluat...

Hi, I need to solve an optimization problem.. My 2nd derivative is discontinuous while gradient is easy to compute. Do you guys know what kind of methods are available out there? (Some technique keywords are greatly appreciated for me to start googling.. )Thanks!- boy

Thanks a lot! That's exactly what I want... By the way, when we do MC on VG (say with Cont's text algo), are we introducing any bias with our estimation?Thanks!- boy

Hi all, are there any paper out there talks about network issue with respect to electronic trading? such as packet loss, reliability issue, etc etc? Thanks!- boy

Hi all, are there any paper out there talks about network issue with respect to electronic trading? such as packet loss, reliability issue, etc etc? Thanks!- boy

Hi all, the option price in extreme case of VG resembles the price under BS model. Is there a reference that proves such a case (any sort of formal weak convergence proof somewhere?)Thanks!- boy

What does it mean by"finite moments for lower powers of returns"Specifically, what's lower powers of returns?? Thanks a lot !!

Is there a quick proof for"nu=0.001, and theta=0 (which gets you really, really close to black-scholes values)"Namely, what's the limit of a VG process (or even a Gamma rv) when nu->0?

<t>Hi all, I'm trying to find example on how to do static hedge with spectral decomp (instead of using put/call symmetry or any reflection principle..) Due to my lack of knowledge in distributions, I don't know how to evaluate the derivative in spectral decomp formula (ie, at strike, 2nd derivative ...

btw, what text would u guys recommend for numerical analysis? (ie talks about numerical integration for singularities.. like quadratic rule.... that's where my prof points me to.... )Thanks a lot!- boy

Okay.. thanks... is here a quick intuition why I can't use Riemann sum? (like the function is not cts or something?)