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May
19
comment Databases for storing and querying high frequency tick-level data?
out-of-the-box? This concept does not exist in finance, unless of course you want to "trade" bitcoins. Whatever time series store you decide to go with you will not get around doing a lot of performance analytics, tweaking, and customization. Just for your reference, KDB generally sends a host of "consultants" who stay for several days just to setup the initial database structure.
May
18
comment Black-Scholes: Why the focus on volatility?
@DonShanil, are you addressing the above to me or Andrew?
May
17
comment Difference betweem martingale property and adapted filteration
just curious, does Steven Shreve ring a bell for you?
May
17
comment Looking for C# library that provides/contains performance analytics
Thank you very much for pointing me into the rredis direction and indirectly into how to distribute workloads using different R sessions. I have not used R for quite some time as explained in my own answer, but have to admit that especially the capability to distribute workload through multiple R sessions opens up a whole load of new opportunities. Yet, for this specific project I still decided to write my own customized solution (also explained in my own answer). But that in no way diminishes my appreciation for walking me and other users through the options available to connect with R.
May
15
comment What is the equation for Garman-Klass volatility?
Google is your best friend, todaysgroep.nl/media/236846/measuring_historic_volatility.pdf
May
15
comment Looking for C# library that provides/contains performance analytics
that itself would not be the issue, I just wonder whether there is a simple way in R to execute "string commands". I think I could use Parse and Eval...?
May
15
comment Looking for C# library that provides/contains performance analytics
I see that, but I fail to see how I can perform automated command processing off redis queues with rredis. Is my assumption correct that I would have to write the listener and processor myself?
May
15
comment Looking for C# library that provides/contains performance analytics
I posted a question on stackoverflow (stackoverflow.com/questions/23672491/…) because I am getting errors when executing a simple example regarding doRedis. Is doRedis even the right package to use if I just want to have a single worker that picks up commands from the redis queue and stores the results back on redis? I am asking because doRedis seems to really zero in on distributed workload processing through foreach loops. Any hints? Thanks
May
15
comment What is the motivation for index benchmark?
And your last point, while valid, only applies again to relative performance. Yes you may get fired if you underperform all your peers, but nobody questions you nor fires you if even the top performer lost a sizable percentage of money invested. Because of that hardly anyone in the conventional buy side industry (hedge funds excluded) truly searches for outstanding but unconventional trading ideas. I do not only fault the PMs, it is the whole regulatory framework that is to be blamed. The term "Long only" should not even exist in our industry.
May
15
comment What is the motivation for index benchmark?
But are you not omitting the actual metric, absolute returns? The issue is that most portfolio managers and almost the entire buy side industry hides behind relative performance. Because of this the incentive to produce alpha diminishes because it would mean that you have to take on risk or take a specific non-conforming view. But fact is that regardless of performance, whether positive but most often underperforming indexes or absolutely negative, relative performance to indexes is touted as a means to market such funds.
May
14
comment Looking for C# library that provides/contains performance analytics
Thanks, will check it out
May
14
comment Looking for C# library that provides/contains performance analytics
I did not say that I intend to rewrite any library, I only plan to peruse a fraction of the functionality that PerformanceAnalytics offers. I like your last bullet point suggestion, because I heavily use Redis as key/value store and for pub/sub though I have never worked with rredis. I assume rredis is some sort of workload forwarder or would I need to write the workload client myself in R? +voted
May
14
comment Why does Futures contract credit and debit a position daily, if it has “locked” the price?
@bonCodigo, no, you don't have to take anything for face value. But if you want to understand it then you need to grab a book, sit your bum down and really work through the chapters like everyone who started out in this field and wants to be serious about it.
May
14
comment Why does Futures contract credit and debit a position daily, if it has “locked” the price?
As mentioned, please first familiarize yourself with the basics of futures contract. You already start off on the wrong foot: There is no all cash upfront payment. Futures contracts entail a margin bond.
May
14
comment What is the motivation for index benchmark?
Not necessarily, you may have just forgotten to read the fund prospectus, where it clearly states, that there is a management fee of x%, a performance fee of ..., that there are lending and borrowing fees, that there are so many various fees involved that the fund performance "may" deviate from the index performance. To be fair, an index is an index, it does not suffer from costs of execution, but that exactly is my criticism in my own answer.
May
14
comment What is the motivation for index benchmark?
The general public is simply too uninformed to critically overthink this practice. And anyone who buys funds as proxy is in the same bed with the buy side industry. Street knowledge on average goes as far as "buy and sell", most people have never even heard of indexes such as Russell, MSCI, and the like
May
13
comment Looking for C# library that provides/contains performance analytics
I rest my case, fact remains that slowly more and more financial C++ libraries are being replaced, and the most popular language of replacement on the sell-side is C#. You have a right to vehemently disagree, but for that I recommend you to write a post on your own blog or website. You have made your recommendation re my question clear and I respect that. Let's move on...
May
13
comment Looking for C# library that provides/contains performance analytics
I never claimed "everybody", and certainly I exaggerated when I said "most" but maybe you want to inquire with SocGen and BNP, just two houses out of several others. They both run their pricing engines on Windows Server and the C++ libraries have been dumped and been replaced with C# as far as I heard. And who abandoned C# libraries? What have they been replaced with? Eddelbuettel's Top10 R-packages? ;-) Dirk, its hard to take someone serious who apparently seems "stuck" in a let's-hate-Microsoft can.
May
13
comment Looking for C# library that provides/contains performance analytics
And I can only repeat to invite you to offer your own answer. I agree that the other two currently standing two answers do not solve my problem and I would chose your suggestion via R because it tackles the issue at hand. Do it for the community not for me if you have such issues with my "sound and fury" (your words that you subsequently deleted)
May
13
comment Calculate correlation between two sub portfolios and the combined portfolio
I edited my answer, does that sound agreeable, correctness wise?