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| bio | website | Nonewhatsoever |
|---|---|---|
| location | London, United Kingdom | |
| age | ||
| visits | member for | 8 months |
| seen | May 15 at 13:28 | |
| stats | profile views | 21 |
Merge keep
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May 15 |
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What are the best Journals & Conferences in Quantitative Finance? In conferences, you can add 'Global Derivatives'. |
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Apr 26 |
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Daily Abnormal Return Can you define abnormal ? |
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Apr 16 |
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Best tool to generate cashflow diagrams It does not, I just gave the steps to use it with LyX, will edit to clarify. I put the steps for $LyX$ because I know many people who are not familiar with working directly with $\LaTeX$ files. |
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Apr 9 |
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right datasource for obtaining various financial information Would Thomson or Reuters containing a long enough history ? |
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Apr 9 |
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Earnings and valuation data sources online I suspect practically, unless you have an army of analysts you will not be able to use Edgar systematically ? |
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Mar 25 |
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Mean Reverting Spread Can you reply to your own question giving more details about the steps you used to do it ? Or was it as simple as estimating the constant parameter and removing it ? |
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Mar 22 |
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Why the implied volatilities calculated are so different @BobJansen: you can edit the post. |
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Mar 21 |
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Credit risk data I confirm that MarkIt is the golden source. |
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Mar 15 |
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compute FX forward from broker's data @cf16: literally go on Reuters, or on their webpage, if you do not have Reuters EIKON. Look at EURUSD, you will see a quote like 1.3060. This means that the pips have to be divided by 10000 because (by convention) they are added to the last digits of the FX quote ... |
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Mar 12 |
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compute FX forward from broker's data To know what divisor you need to use, the easiest is to look at the # of digits in the FX spot on Reuters, the pips will be added to the same precision. |
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Nov 23 |
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Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly? Did you compute the delta numerically or did you use a close form solution ? Can you provide the details of your computation. Did you try to compute your delta with $r=0$ ? Is it simply because of the discounting on the strike ? |
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Nov 23 |
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How to simulate a Merton Jump Diffusion process? Ah I got you now ... the code provided use the solution to the equation you have just typed. |
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Nov 23 |
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When does delta hedging result in more risk? In this example, what the interviewer mean is that in this case, you increased the range of possible PnL values and you added a few more extreme values on the distribution of PnL. It is important, as a marketmaker, that you have an idea about what is your potential maximum loss and in this case, your hedge increase the poetntial loss in the tail event. |
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Nov 5 |
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Do taking in account the CSA create convexity effects in your stripping? Ah, I do not have a login to Risk mag ... EDIT: A simple google search was enough ... |
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Nov 5 |
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Generate tick data from candlestick @Femto Trader: if you had a curve that you sampled at a 10 minute interval, you could assume that the curve is made of straight lines between points for linear interpolation for example but this is simply an assumption. Others warned you to not use this for analysis you may find spurious results which are wrong and dependent of your interpolation method. |
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Nov 5 |
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Trade execution in HFT - role of quants @Freddy: do you know if there is a difference of pay package depending whether you join on the quantitative analysis side or on the infrastructure side. I would like to work on strategies but I am afraid that if I enter on the Quant dev side, my progression may be more limited. |
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Nov 2 |
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Gradient tree boosting — do input attributes need to be scaled? Since tree boosting is basically using decision trees, you have to look up for normalisation for decision trees. |
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Nov 2 |
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What is the impact of high-frequency trading on market depth, liquidity, and volatility? It does not exactly contradict the other papers, it all depends of the measure used and if you test for liquidity during stress periods. |
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Nov 1 |
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Is “eoddata” a good data source? Can you provide an alternative ? |
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Nov 1 |
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Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones? I saw another interesting approach where some researchers (I lost the names) looked for serial correlation in returns within a group. Interestingly they found more serial correlation in negative results than positive results. |
