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location Hong Kong
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visits member for 2 years, 10 months
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Oct
15
comment How do exchanges make money?
I find your line of reasoning re HFT quite flawed, at least as you presented it here. Some of the practices by some HFT players in equity space are not under scrutiny as a function of how exchanges generate revenues. The two are completely unrelated. And nobody denied HFT are middle men, well I would actually challenge that because a used car dealer is making markets in cars even during an economic crisis, hft firms are nowhere to be found during extreme market volatility, hence they hardly fulfill the classic definition of a financial market middle man.
Oct
14
comment Forex buying 2000+ pip difference
@rupweb, the scenario, outline by OP, clearly indicates were are talking about a retail broker and quite a shady one to say the least. If they already engage in keeping such pitfalls open for clients to fall into then chances are very high they are unregulated to start with which means they do not see a reason to let the client off the hook given such shady technique netted them money. An initial loss of 5k is way enough for most such brokers to justify ignoring the client's request. Just my 2 hunches but this question actually does not belong on this site.
Oct
14
comment Is there anyone still using Markowitz modern portfolio theory?
Of course do fund managers care about their performance. But it is shocking to see fund managers padding themselves on their shoulder just because they outperformed most of their peers by an average 2% while they may in absolute terms have lost 20% in a given year. Where did I hint at the possibility that fund managers might not care about their performance?
Oct
13
comment Forex buying 2000+ pip difference
I strongly disagree with your point. Many (if not most) currency retail brokers are unregulated and make no qualms about it. If someone funded accounts with them and got their .... ripped wide open then it is mostly the fault of the investor/"trader" because he/she signed contractual agreements. Even the most unethical brokers legally protect themselves by including contractual clauses that provide for the fact that investors agree with the price feeds and hence spreads they execute trades on. One can try to claw back money but the emphasis here is on hope rather than any certainty.
Oct
8
comment How to reduce fx currency pairs ? PCA or other tools?
What are you trying to achieve? You want to reduce to a basket of pairs that are uncorrelated to each other?
Oct
4
comment Looking for Research Paper on Creation of Currency Baskets
@PhilH, got it, thanks for pointing that out. Will keep that in mind for future searches. Thanks
Oct
3
comment Looking for Research Paper on Creation of Currency Baskets
@PhilH, sure when knowing the exact title. Apparently it was not that straightforward a find given I posted my question 2 months ago (and included the terms "principal components" and specifically mentioned I look for a paper that targets fx/currencies.) ;-)
Oct
2
comment Looking for Research Paper on Creation of Currency Baskets
Exactly what I was looking for, thanks a lot. I have no idea why it did not come up in any of my google searches.
Sep
29
comment Intraday Data - Stylized Facts?
Here is one: Currencies trade 24/5 and equities are traded from market open till market close. And not even that is a stylized fact, take a look at the Hong Kong equity market and you will encounter numerous unannounced (sometimes multi day/weeks) trading halts. Or consider the many locked markets or stocks in opening auctions that can last hours if not throughout the whole session (see Tokyo stock exchange for plenty examples). In summary nothing is stylized which is why risk taking approaches need to be dynamic and adaptive.
Sep
22
comment Why most of apple stock price since 10years have been gained overnight?
What is your question? The simple answer to the question in your header is that more price impacting news hits the wires after market close and before market open. Also, Apple derives most of its revenues and earnings from outside the U.S. Whats so surprising?
Sep
21
comment Why would there be a positive risk-free rate?
It would be nice the next time you almost entirely change your question to let a little bit of time pass before choosing an answer so everyone gets a chance to adjust their answers. What you ask now is very different from the question you initially asked.
Sep
19
comment Why should we expect geometric Brownian motion to model asset prices?
Sure it is, with weeks/months delays which I consider fast in terms of lost IP but long enough in terms of being able to capture some alpha before the rest of the street catches on.
Sep
19
comment Why would there be a positive risk-free rate?
Your point is another academic anecdote that unfortunately floats around way too often. a) Treasury bills are not risk-free. US Government debt is not even triple A rated anymore. b) I explained that depending on utility certain market participants are not content with generating 2% per annum, no matter the risk incurred. c) leveraging such "investment opportunity" is an urban myth: You assume the interest you pay on a loan to purchase risk-free assets is lower than the yield on such instruments -> certainly not true in most cases. Also, bidding such instruments pushes down yields even further
Sep
19
comment Why would there be a positive risk-free rate?
why models allow for it to be only positive?
Sep
15
comment For which instruments performs SABR/LMM better than LMM?
To my knowledge, most swaptions traders peruse the SABR or extended SABR model.
Sep
12
comment Hedging future USD cost using different IR and forwards
What is the exact question? I suppose it is how many euros you need to pay 6 months hence in order to receive USD 2500? That would be 1/1.30 EUR/USD * 2500 USD = EUR 1923.07. No need for anything else. You look to hedge spot fx risk. This provides the hedge. Keep in mind there does not exist one single hedge in the universe of finance that does not expose you to any risk. It all comes down to which risks you specifically do not want to be exposed to and which risks you can accept exposure to.
Sep
12
comment Filtration and measure change
you beat me to it and Exercise 5.5 shows exactly that.
Aug
28
comment What software should I use for forex arbitrage?
What do you want to arbitrage? I suggest it may be a little late to the game (around 5-10 years to be honest) when you could broker arb in the fx world or meaningfully make money from triangular arb. Also, given you are dependent on json feeds which are inherently "slow" you will not benefit from a system architecture that is faster than your weakest link. Please elaborate on your question because it is very unclear what you actually want!
Aug
6
comment How to create charts in WPF finance applications?
@SRKX, I posted a SciChart review based on my extensive testing, quant.stackexchange.com/questions/3158/…
Aug
1
comment Looking for Research Paper on Creation of Currency Baskets
@BobJansen, unfortunately not (the paper I came across was a published in 2014, sorry should have mentioned that), but nonetheless thank you for the two links, the first paper I was aware of but unfortunately aims at different objectives (raw material price minimization of variances)