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1
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1answer
201 views

Markit PMI vs ISM PMI

What is the difference between the Markit Manufacturing PMI and the ISM Manufacturing PMI? The monthly number differs a lot, my understanding is that they are trying to indicate the same thing.
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0answers
40 views

Rational expectation meaning

What does rational expectation (RE) mean in agent-based modeling context? What are the relationships between RE and expectation and outcome?
1
vote
1answer
194 views

Risks of issuing an Autocallable Note

Let's say that I'm issuing an Autocallable Note with the following features: Underlying: FTSE 100 Autocall Observation Frequency: Annual Observation Autocall Level: 100% of Initial Level of FTSE ...
0
votes
0answers
47 views

beginner hurst exponent question

2 simple questions about the hurst exponent. I am using the R/s method to calculate and I've been able to logic it out with no prior experience with time series hence my beginner questions. I've ...
-3
votes
1answer
86 views

Why is there no closed-form equation for XIRR?

Everything I have read about XIRR (e.g., as calculated in Excel) says that there is no closed-form equation and it must be calculated by iterated approximation. Could someone give a brief ...
3
votes
0answers
89 views

Overnight Index Swaps

Just a very quick general question regarding the OIS market. Is it common place on termsheets to state a PV Notional and additionally a FV notional, if so what is the purpose of this and does market ...
1
vote
0answers
56 views

mean variance minimizer

I need to use the lagragian multiplier to find the minimal martingale measure from the set of equivalent martingale measures. i formed the lagragian as L = $L(u(t,S(t)),\lambda) = ...
5
votes
2answers
816 views

Best tool to generate cashflow diagrams

I often have to generate cashflow diagrams. I was wondering if anyone has a good tool to generate them in either $\LaTeX$ or a picture?
0
votes
1answer
102 views

Assessing Forcasting with Correlated Residuals

Trying to use a linear regression model to forcast the CPI. I noticed that when I took a moving average of the residuals, though homsokedatisc and nonautocorrelated(ie they squiggle up&down with ...
5
votes
3answers
398 views

Market weights for Black-Litterman

I'm trying to implement Black-Litterman for an arbitrary selection of assets. One of the input for BL is the "Equilibrium market capitalization weights for each asset". In most examples I've seen, ...
9
votes
7answers
901 views

When hiring a quant, how can I protect my IP?

I am a one-man operation, and would like to hire a quant for around 4 weeks or work. I am worried that the person I hire might copy my data or the indicators that I have him work on. What have ...
-2
votes
1answer
294 views

How to get a Quant Job [closed]

At the end of the academic year I will graduate with a Computer Science degree (hopefully) and I would like to peruse a career in quantitative finance. What is the dest way of doing this? Is it worth ...
-2
votes
1answer
102 views

Proxy for a trigonometric angle function [closed]

You can't calculate an actual/real angle with the sine function with discrete market data. I need a substitute value for inputs that require an angle value. If you're only calculating the angle ...
2
votes
2answers
178 views

Gradient tree boosting — do input attributes need to be scaled?

For other algorithms (like support vector machines), it is recommended that input attributes are scaled in some way (for example put everything on a [0,1] scale). I have googled extensively and can't ...
1
vote
1answer
496 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 ...
5
votes
1answer
325 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 ...
4
votes
0answers
164 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
178 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 ...
4
votes
2answers
592 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, ...
3
votes
1answer
249 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
607 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
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0answers
303 views

How to calculate time-segmented volume? [closed]

amibrokers has this calculation for TSV: ...
2
votes
0answers
255 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
213 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
38 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
90 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
407 views

What is a Structurer?

People "on the Street" distinguish between quants and structurers. Who are the structurers? what do they do?