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by ISayMoo
February 24th, 2016, 8:13 pm
Forum: Numerical Methods Forum
Topic: Problems calibrating Vasicek model
Replies: 8
Views: 3711

Problems calibrating Vasicek model

Is there an "intraday" rate? Many trading desks in HFT space hold large positions during the day but close them before the markets close.
by ISayMoo
February 24th, 2016, 8:01 pm
Forum: Programming and Software Forum
Topic: Shared ptr
Replies: 34
Views: 8819

Shared ptr

1) if I could, I would :)2) Can you explain more?
by ISayMoo
February 24th, 2016, 11:22 am
Forum: General Forum
Topic: Agency MBS
Replies: 10
Views: 2254

Agency MBS

You mean the last two ppl who weren't laid off yet? ;-)
by ISayMoo
February 24th, 2016, 10:10 am
Forum: Trading Forum
Topic: All your source codes are belong to us
Replies: 1
Views: 3015

All your source codes are belong to us

<r><URL url="http://www.ifre.com/cftc-feels-pressure-on-hft-rules/21236517.fullarticleQuoteMarket"><LINK_TEXT text="http://www.ifre.com/cftc-feels-pressure ... uoteMarket">http://www.ifre.com/cftc-feels-pressure-on-hft-rules/21236517.fullarticleQuoteMarket</LINK_TEXT></URL> participants on Monday tu...
by ISayMoo
February 23rd, 2016, 7:46 pm
Forum: Programming and Software Forum
Topic: Shared ptr
Replies: 34
Views: 8819

Shared ptr

No need for the control block.
by ISayMoo
February 23rd, 2016, 11:29 am
Forum: Programming and Software Forum
Topic: Shared ptr
Replies: 34
Views: 8819

Shared ptr

What do you think about std::shared_ptr vs boost::intrusive_ptr? The latter seems to have a smaller footprint.
by ISayMoo
February 17th, 2016, 9:49 am
Forum: Technical Forum
Topic: How to test whether a market is geometric or arithmetic
Replies: 13
Views: 3004

How to test whether a market is geometric or arithmetic

<t>QuoteOriginally posted by: AlanI know essentially zero about oil and gas, but still it is easy to imagine why price levels can matter. For example, let's say associated to each price level, there are a certain number of production rigs which are profitable at that level.If the price falls below t...
by ISayMoo
February 14th, 2016, 9:06 am
Forum: Trading Forum
Topic: Market Making
Replies: 7
Views: 5090

Market Making

<t>That's a bit flippant answer, "if I wait long enough then Brownian motion will render any trajectory" doesn't imply that every piece of empirical data is best described with a Brownian motion. There are estimators for that: the Hurst exponent, autocorrelation, etc. And if your market making strat...
by ISayMoo
February 13th, 2016, 10:43 pm
Forum: Trading Forum
Topic: Market Making
Replies: 7
Views: 5090

Market Making

<r>Look at this chart: <URL url="https://www.google.com/finance?chdnp=1&chdd=1&chds=1&chdv=1&chvs=maximized&chdeh=0&chfdeh=0&chdet=1455406812501&chddm=5110&chddi=1800&chls=Ohlc&q=SWX:LOGN&ntsp=1&ei=1b6_VvmlEIPEU7nxi9gL"><LINK_TEXT text="https://www...
by ISayMoo
October 1st, 2015, 12:02 pm
Forum: Off Topic
Topic: Wilmott Quotes
Replies: 1002
Views: 65067

Wilmott Quotes

And in the 2nd minute they are separated from their mothers:
by ISayMoo
October 1st, 2015, 12:01 pm
Forum: Off Topic
Topic: Syrian War Thread....
Replies: 315
Views: 176139

Syrian War Thread....

<r><URL url="http://www.euractiv.com/sections/justice-home-affairs/commission-frowns-christian-only-solidarity-migrants-316932"><LINK_TEXT text="http://www.euractiv.com/sections/justic ... nts-316932">http://www.euractiv.com/sections/justice-home-affairs/commission-frowns-christian-only-solidarity-m...
by ISayMoo
October 1st, 2015, 11:15 am
Forum: Programming and Software Forum
Topic: technology stack for analysing 1Tb dataset
Replies: 11
Views: 6985

technology stack for analysing 1Tb dataset

<t>QuoteOriginally posted by: rmaxDepends on some parameters. People are always banging on about Hadoop being cheap and easy and being able to do everything whether you want it to or not.Cloud services are another possibility (but dependent on the security etc). Azure looks pretty good, but have not...
by ISayMoo
October 1st, 2015, 11:02 am
Forum: Off Topic
Topic: Syrian War Thread....
Replies: 315
Views: 176139

Syrian War Thread....

http://www.bbc.co.uk/news/world-middle-east-34413050One good thing: Western media rediscovered the possibility of air strikes causing civilian casualties.
by ISayMoo
October 1st, 2015, 10:04 am
Forum: Off Topic
Topic: Wilmott Quotes
Replies: 1002
Views: 65067

Wilmott Quotes

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: ISayMooTo add my $0.02 to Katastrofa's remarks: financial mathematics doesn't answer the most important questions in finance: "why did I earn/lose money?" and "how to earn more money?". this is different from mechanics, which is very...