Recent content by Adam G

I am trying to calculate the implied volatility of equity options on expiration day. However, sometimes the iteration never converges on a solution. This occurs even when I manually set the starting guess close to the actual IV. I have tried Newton's and Halley's method and the same behavior...

There is no point in patenting or getting a trademark on an algorithm. As other people said, once it is in the wild, people will copy the idea and find some way to get around the patent by changing it slightly. My advice is to get a non-disclosure agreement and have everyone that you pitch the...

I'm working on a fun little project here at home and was wondering what you guys use to store historical data? I've never worked with databases, but now seems like a good time to start. I'm storing minute by minute historical data on a handful of stocks and their options contracts. Right now...

Another possibility is tying technical analysis to intermarket analysis. Many people use intermarket analysis as the base of an algorithmic system and then use technical analysis for filtering trades and for exit criteria.

I'll just say that I'm sticking to chemical engineering. I was looking at going into finance after graduation, but decided not to because of everything. I'm currently working for a very large agribusiness doing process optimization. I love my job. I get to go into the plant as well as sit at...

I also started up my own IB account two years ago after the contest. I primarily trade options and leveraged ETFs. FAS, FAZ, and DXO have been good to trade. What you might want to look at doing is intermarket analysis. There are a few books out there on this to start you out. I'm working...

Max, I would warn you on trading the international iShares. The liquidity in these things are fairly low with the bid/ask spreads fairly wide at some points. I built a program that tried to trade these things, and I deployed it on IB's paper trading platform. The results were subpar because...

Would Cuda speed up the calculations required for non-linear regressions?

Not to beat a dead horse here, but I'd like to stick up for the farmers here. Even though many of them have not gone to college, virtually all of them hedge with either futures or future options. If you actually drive through farm country you will notice many farm houses have DTN satellites on...

I was just wondering if anyone has received their checks yet from IB.

I use Interactive Brokers and have been pretty pleased with them so far. Their commisions are cheap cheap cheap! Their Trader Workstation is written in Java, so you can pretty much run it on any OS you want... Windows, OS X, Linux, Irix, etc. Also, you can write programs that tie into the...

How well do you have to do to get a job offer?

Charles, how frequently are you trying to update? I had problems in placing a lot of orders at the same time. None of the orders would appear in TWS. Now I put in a 100 ms delay between orders, and that fixed the problem.

I've had so much trouble with putting .NET on top of Excel, that I would not recommend it. For me it worked fine up to a point, but once I started doing a large amount of calculations/cell changes things would bog down and eventually would crash Excel. It got to be so much trouble that I gave...

Hello all. I'm a May 2007 chemical engineering graduate who is currently working in the engineering field, but would like to go into an MFE program in the near future. I have good scholastic credentials, 3.65, 790/560, all As in my math classes. I took a few finance classes in undergrad, and...