ELW and implied volatility (IV)
There are no individual stock options in the Korean stock exchange, a stark contrast to the US market. However, Korean financial firms provide a product call...
Recent posts
Koscom NAV and iNAV
The net asset value of an ETF is computed by dividing the total value of the ETF’s underlying assets by the number of outstanding shares:
KRX UDP Data and Market Microstructure
Korean Stock Exchange (KRX) is the only securities exchange in South Korea. Equities and ETPs get traded in Seoul while futures, options, and other derivativ...
Managing DB with source code generator
We often write redundant codes. I personally had to write a parser for different market data protocols. This is not only tedious but also error prone. One wa...
Snowflake and UDFTs
Recently I had to do some analysis on a large dataset and sql couldn’t cut it. So I had to resort using user defined function. Snowflake provides user-define...
mmap RAII
There are many ways to share data between processes.
US Market Data
Terminlogies: L1: Level 1 L2: Level 2 L3: Level 3 OLD: Order Level data LOB: Limit order book
SIP (CTA and UTP Plan) and Identifiers
Terminologies: CTA: Consolidated Tape Association UTP: Unlisted Trading Privileges CTS: Consolidated Tape System CQS: Consolidated Quote System UT...
Sum of Cauchy sequence is not Cauchy
Today I was asked whether sum of two convergent sequences converges. This can be trivial if we are dealing with $\mathbb{R}$ using $|\cdot|$ as our metric. B...
Cross Sectional Variation of Intraday Liquidity, Cross-Impact and their Effect on Portfolio Execution
In this post, I will share the results of my implementation of Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their effect on Portfolio E...
What is a “small” set - measure theoretic and topological approach
The notion of “smallness” in measure theory is pretty clear - when the set has measure $0$, then we can treat is as a small set, or a set with no mass. This ...
on- and off-policy? online and offline reinforcement learning?
For those who are first learning reinforcement learning, the term on-policy and off-policy (and offline learning) can be quite daunting (and mostly annoying)...
What is the definition of continuity?
When I first studied real analysis, the definition of continuity was clear but there were just so many of them. I took some time to list as many definition o...
MOPO - Model-based Offline Policy Optimization
In this post I will provide proofs for some lemmas and theorems in model-based offline policy optimization. This post doesn’t provide different proofs but ra...
Hausdorff’s maximality theorem (zorn’s lemma)
Hausdorff’s maximality theorem (or Zorn’s lemma) is used often in graduate level real analysis course. Because the proof is a bit convoluted, most courses us...
Hahn and Jordan Decomposition Theorems
Here’s a complete proof of Hahn decomposition theorem and Jordan Decomposition theorem.