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"The Volatility Surface: A Practitioner's Guide " by Jim Gatheral is all about implied volatility, skew, etc. but may be a tough read. http://www.elitetrader.com/vb/showthread.php?s=&postid=3722324#post3722324 "Understanding the volatility surface is a key objective for both practitioners...

That calculation is of historical realized volatility. I believe that he wants historical implied volatility, ie. option pricing.

I will have to look at RStudio again. StatET for Eclipse does have a superb table viewer now also. It can display huge data.tables and display any part of them instantly. I set the rownames based on some column and then it is better than Excel! It can handle much larger data much faster...

Assuming that that 4.5% excess figure is accurate, should one expect to be able to capture it by credit strategies, in view of periodically being stopped out on large sudden moves, transaction costs, etc.?

They do not have many user-defined option spreads (at least they did not when I left them), including butterflies etc. traded on the exchange natively. Their margining system is unique to them and sometimes seems incompletely-perfected. They do not support the major broker-independent...

You will not be able to know what is important for you for a while so for now go with IB here you can trade stocks at the same time and in the same account. Later on after you understand trading futures options you will be better able to choose a specialized futures options broker. There...

Just trade an energy ETF for now. You can find ETF's that track crude very closely. If you want to trade it more frequently than the pattern day trade rules allow, you can make it a cash account and PDT does not apply/ Later if you can make it work you can move to futures when you have...

Someone would have to ask the B.C. Securities Commission if they have a position on prop. firms. I do not know. I doubt that they do. But the problem is that the prop. firm is going to have to have a futures account with some clearing broker and that clearing broker is probably going to ask...

Probably no U.S. firm will accept a British Columbia resident because it is illegal under B.C. law now. Not Canadian law, B.C. law. Many firms will accept residents from other Canadian provinces that are not as restrictive in their legislation. However, ask RJO Canada to match the rates...

Correct. For example: Read all daily ES closes for 10 years into a vector. Also compute some other vectors with the same data lagged by x days (of course do not use a loop to compute these - use a vector-aware function). Write some functions to compute some indicators on the vector all...

That's all built into R using xts, data.table and quantstrat. I doubt that AmiBroker matches R in capability. You'll have to learn to use vector-style programming though, and not explicit loops, for it to be fast.

Correction: The book itself uses TradeStation EasyLanguage. But the trading systems in it have separately been ported to R QuantStrat and included in the QuantStrat package as examples.

Yes I believe R with the quantstrat package because, like R on R, it is a complete solution with complete trading systems as included examples even! This includes backtesting, reporting, performance statistics (including Sharpe Ratio etc.) , portfolio optimization etc. My guess is that it...

Does Firefox allow you disable all plugins on web pages by default, but allow you to click-to-run individual ones on a web page later? I think not, unless they added this recently. Chrome does support this, and I think this is by far the best approach. It also kills all flash videos etc...

I do not agree that C# is faster then Java. Sometimes one is faster, sometimes the other. There are benchmarks all over the web on this and they are not conclusive either way. Plus Java is portable so you can run it under Linux etc. (I know there is Mono for .Net under Linux but it has...

The StatET Eclipse plugin for R has a full visual debugger (just like VisualStudio) which I use every day and have no problems with. I could not use RStudio because it does not have a debugger. I think it's fine to prototype in R and later reimplement in C++ or C# or Java . Or mix and match...

Yes IE is now functionally obsolete and too risky to run. IE has fallen from the top of the list of browsers by usage already.

See also the book: http://www.amazon.com/Trading-Systems-development-optimisation-ebook/dp/B0052YFRGQ which illustrates developing several trading systems using R and quantstrat. The sample systems in the book are in included in the current quantstrat distribution. By the way, you...

Or Chrome which allows you to disable all plugins - including Flash, Java, Acrobat etc. (but still allows you to override selectively on a "click to play" basis). If you disable these plugins by default in Chrome or Firefox, you will have vastly reduced your vulnerability to web-based exploits.

The tax treaties with many countries specify a zero rate of withholding on interest payments on a reciprocal basis: http://www.irs.gov/publications/p515/ar02.html#en_US_2012_publink1000225127 Zero is very common in the case of the treaties with major European countries, but the default in...