Matt Wolf

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	5,746 reputation	bio	website		visits	member for	1 year, 2 months
1316 badges		location	Tokyo, Japan		seen	3 mins ago

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Feb 20	comment	Regression giving the return on a stock this smells awfully like homework. And by the way your setup is not clearly outlined at all. You make people assume the risk free rate is 3.28% although later on you state it is 4.8%. I guess you copied the first equation from somewhere and 3.28% only constitutes an example? And I thought we all learned in middle school that one equation with two unknowns cannot be pinpoint to one solution.
Feb 20	comment	Kelly criterion and Sharpe ratio @experquisite, of course one can say that the size of a bet (one way to size it is through usage of Kelly C.) in some way impacts risk and that one measure of risk is volatility and that volatility is part of the Sharpe Ratio computation, hence Kelly and Sharpe are related. I resort such logic to hogwash. After all Kelly measures position size, Sharpes measure relative asset return out-performance standardized by return volatility. How someone can link those logically is beyond me.
Feb 19	comment	Is there an Australian Interbank Rate? being flippant was really not my intent, I apologize if you took it as such. I have to admit I reach the ceiling of my knowledge what concerns interbank loans, I am not sure of the specifics of collateral arrangements. I am not sure how my earlier comment got lost but I actually praised you on your neat table and suggested to attach it also to an IRS related question. Its nice to have something like this on this site to look up reference rates for different IRS markets.
Feb 19	comment	Is there an Australian Interbank Rate? @PhilH, fair point, about swaps I really like your answer, maybe you should keep it here or aside and try to utilize the table regarding an IRS question, its a very neat little overview. If you wanted to knock yourself out then you could also include ref rates for OIS trading.
Feb 19	comment	Is there an Australian Interbank Rate? who does it? Every bank you can think of, from the smallest mom and pop shop until the largest tier 1 megabanks settle amounts from the tens of millions to tens of billions in whatever currency you can imagine at every single day. I am willing to bet (though cannot prove it ;-) that not one day over the last 10 years went by in which at least one investment bank or banking institution did not settle interbank loans. Liquidity and cash management is the bread and butter of every financial institutions treasury department. Just to give some perspective.
Feb 18	comment	Is there an Australian Interbank Rate? but you are talking about interest rate swaps. Those are instruments dealt between banks and corporate clients. Not for settlement of overnight as well as longer term loans between two banks, hence the term inter-bank loan which this topic is about.
Feb 18	comment	Is there an Australian Interbank Rate? I disagree with your answer because inter-bank loans are not the kind of "choosing whatever you like" type of deals. Even for AUD denominated settlement Libor is not some sort of alternative rate but the prevailing method of settling funds not the BBSR. Inter-bank loans are not swap agreements between banks and non-bank counter parties, nor are they bills or deposit held with any central banks.
Feb 18	comment	Is there an Australian Interbank Rate? While I laud your effort, interbank loans are not negotiated by the respective treasury offices in a "free to use whatever" type of fashion. It is Libor and for AUD denominated loans it is AUD Libor and not BBSW, even in the US it is not Fed Funds but dollar Libor. We are talking about banks settling hundreds of millions and many times billions of dollars between each other on a daily basis. We are not talking about deposits by the bank with the Fed.
Feb 18	comment	Is there an Australian Interbank Rate? BBSW is an Australian interbank rate but is more rarely used than AUD Libor, especially each time a non Australian bank is involved in the deal. BBSW is essentially similar to a Prime Rate except that prime defines the credit quality of banks rather than the bank's clients. In any way, my last comment was referring to the OP's question what the Australian Interbank Rate is generally called, to which I responded that one of the Interbank Rates, AUD Libor, does not enjoy any goofy abbreviation such as the Yen rates among others.
Feb 18	comment	Can a long put trade be profitable through Vega even if the underlying moves upwards? @jessica, iVol is not necessarily positively correlated with the direction of the underlying. That is why I said "generally" (and that does not even apply to certain assets, for example iVol of options on agricultural futures ticks "generally" up when the futures price increases). Re delta, you need to become clear what your delta exposure is: Long put = short delta, short call = short delta,...you then know exactly what your delta impact will be from rising or falling underlying asset prices.
Feb 18	comment	Can a long put trade be profitable through Vega even if the underlying moves upwards? @jessica, your question is indicating that you are not affiliated with this industry and thus other boards should be serving you better. You can easily google what the impact of changes in implied vol is on option prices. Your question contains logical errors (a: there is no iVol for a stock, only iVol of an option which is linked to the expected future volatility of the underlying asset's price returns, b: price does not always decline when iVol increases, c: a long put position benefits from generally increasing iVol and short delta exposure when prices of the underlying decrease.
Feb 17	revised	Is there an Australian Interbank Rate? added 99 characters in body
Feb 17	comment	Is there an Australian Interbank Rate? I do not know of any for Australia such as TIBOR for Japan. Hence, the term AUD Libor.
Feb 17	answered	Is there an Australian Interbank Rate?
Feb 16	comment	how to define liquidity in equity, index, and etf options Maybe you should then ask this question at sites like elitetrader or so. Iqfeed is a retail feed and does not pertain to the professional quant community. Just saying that you will be luckier there to find the answer you are seeking. You can't identify liquidity in options without digging into market internals. But maybe the guys on the retail forum know stuff we nerds here do not know of.
Feb 16	comment	how to define liquidity in equity, index, and etf options lever? Well, if your setup cannot handle incoming real-time data on a grand scale then you need to either a) limit the number of symbols you subscribe to, or b) refocus your effort away from attempting to capture real-time analytics.
Feb 16	comment	how to define liquidity in equity, index, and etf options you mean for your scanning application? Well if you take a real-time approach then you need to update each metric on every new incoming bid or offer anyway, so I do not see a problem with that (unless you subscribe to the whole OPRA feed within Excel.
Feb 16	comment	Computing the Sharpe Ratio @Factor3, I am slightly confused now. You earlier argued that asset price returns should not be calculated using logs, which I fully concur with. If I understand your last comment correctly then you advocate to use log returns? Sorry but I just like to understand your approach. For me an asset return when a price travels from 100->102 is not the same than when it moves from 102->100. That is why I would not use log returns to begin with. Please note that I limit my statements to the ex-post SR calculations.
Feb 16	comment	Computing the Sharpe Ratio Nice edit but I wonder isn't that a little too much work to get to almost precisely the same result for the ex-post approach than simply calculating simple daily returns and volatility on those? And what is your rational behind using geometric returns given that you are not re-investing returns when you generate those daily metrics? Thanks.
Feb 16	comment	Computing the Sharpe Ratio @John, sure but then for performance measurement and evaluations I do not see much of an applicability to use the ex-ante ratio. But maybe I do not see something you do?