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4
votes
2answers
212 views
How do I determine the maturity date from a T-bill's CUSIP?
Is there a way to determine a government bill's or bond's maturity date by looking at its CUSIP?
For example, the CUSIP for US T-Bills with a maturity of 12/1/11 is 9127953V1. As you probably know, ...
5
votes
1answer
204 views
NYSE Early Close Rules (July 4th and Dec. 25th)
Does the NYSE provide a list of rules for determining when to close at 1:00 for a holiday? I have found a list of upcoming half-days here but I would like to know the rules so that I don't have to ...
1
vote
1answer
345 views
CARA Utility function expected utility
I have been trying to undestand how the expected utility for a CARA negative exponential Utility function is calculated. In my particular case the variable has normally distributed returns.
Could ...
4
votes
0answers
121 views
How to estimate CAViaR (Engle and Manganelli 2004) using non linear quantile regression?
I am trying to replicate results from Engle and Manganelli (2004). The following is one of their specifications,
$q_t(\theta)=\gamma_0+\gamma_1q_{t-1}(\theta)+\alpha|r_{t-1}|$,
$q$ is the quantile of ...
1
vote
0answers
154 views
is there any quantitative index to describe the strength of 'trend' ？ [closed]
i am using trend following strategy in stock market. If you look at the price chart, you can tell one stock's trend is stronger than the other. Now i want to develop an index to calculate the ...
3
votes
1answer
141 views
Application of ACD models
I have been playing around with autoregressive conditional duration (ACD) models and I have a nicely working R based implementation using real high frequency data (trades only data).
However, what's ...
8
votes
1answer
485 views
Kalman Filter Vs Hough Transform
These questions are in regards to the Kalman filter and the Hough Transform.
What are the Pros and Cons of using each method?
In what situations is it better to prefer one over the other?
1
vote
0answers
211 views
2
votes
0answers
241 views
TA/Pattern algorithm analysis
I have been building a momentum pattern detection algo (essentially involves fitting curves in overlapping windows at different timeframes) and wanted to see if anyone has done/seen similar work. I ...
-2
votes
2answers
185 views
How do I calculate expectancy from a past series of trades in my trading account? [closed]
Expectancy is defined as "How much money gained for every $1 risked".
What is the expectancy for this particular series of trades?
Risked €1, won €2
Risked €2, won €1
Risked €3, won €6
Risked €3, ...
1
vote
1answer
36 views
CFTC CPO Exemptions
What are the exceptions set by the CFTC which exempt Commodity Pool Operators (CPO) from registering as such?
1
vote
0answers
78 views
How to calculate the Metropolitan Transportation Authority of New York's market capitalization or fair market value? [closed]
ok, so I can't post more than 1 link since I'm a noobie noob, and in the course of correcting this, Stack managed to delete my post. so here's the more abbreviated, slightly irritated author version…
...
3
votes
1answer
295 views
What is a Structurer?
People "on the Street" distinguish between quants and structurers. Who are the structurers? what do they do?
