5,934 reputation
21544
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 10 months
seen 2 hours ago

Strats in a commodity trading firm in Hong Kong.


Dec
19
comment how to obtain optimal portfolio with different borrowing and lending rates?
You title is still not a question. You're still not using the mathematical notation.
Dec
19
comment how to obtain optimal portfolio with different borrowing and lending rates?
Your question is unclear and it's title incredibly vague. Please use Latex notation as well.
Dec
18
comment How to reduce the variability of investment returns by increasing average expected return?
Sorry but this site is dedicated to professional quants. Given that your question doesn't mention any modelling or anything, the question is too broad and too basic.
Dec
15
comment Is this process predictable or not?
Please use latex next time, it makes you question much more understandable.
Dec
12
comment Importing daily data: '-1' in volume column
What is the public data source? When did you get the data? Was it updated since then? What does the source say?
Dec
10
comment How does Yahoo finance calculate Beta?
Interesting answer, but it would benefit an awful lot from a source.
Dec
10
comment Where to get analysts' earnings estimates data?
We have a global question for all data-related issues.
Dec
9
comment Which library shall I use for time series analysis in Java?
There is something weird in your second sentence... could you please correct it?
Dec
9
comment Which library shall I use for time series analysis in Java?
I agree that there is no obvious leader in the market but I don't think there shouldn't be one (i.e. it wouldn't be a bad thing if we could rely on something decent, like pandas for python). I'm actually amazed that nobody has seized this market already, although there are some candidates. For easy things such as standard deviation then re-implementing is fine, but for more complicated things it might be actually very helpful to use more efficient/optimized functions.
Dec
9
comment Why is this stochastic integral a martingale?
I find it odd that they call this $\bar{S}$ (with the bar) because to me they're just saying that $dS_t = \sigma S_t dW_t$. (I just used a common notation for the rest, I hope you don't mind)
Dec
8
comment How to compute the historical VaR for a portfolio with long and short positions?
@user1131338 your comments are very difficult to understand really. But in short, by "same contract" I meant "same everything". If you're trading commodity futures, which are standardized, then you're fine. Otherwise you have to consider the global approach I mentioned afterwards, indeed.
Dec
5
comment How to compute the historical VaR for a portfolio with long and short positions?
My god it wasn't easy to get something out of this question.
Dec
4
comment What's the algorithm behind Excel's ACCRINT?
Very interesting. Would you mind sharing with us where you learnt all this? Is there any documentation available?
Dec
1
comment How to simulate stock prices with a Geometric Brownian Motion?
@user25064 this is not what I meant, you can indeed do these multiple steps with the closed form. I meant that if you use it to compute $S_T$ directly, then you don't know what happened until then. There was no judgement here.
Nov
27
comment What interest rate dynamics would you suggest to simulate a single swap?
@tonijua then I think you question is not ideally asked. I'll edit the title to make it clearer.
Nov
27
comment Black Scholes model: condition of payout function
Wow that looks like an exercises set problem to me. @emcor gave a great answer so I'm not closing this but next time you should indicate how you attempted to solve this and where exactly your were stuck.
Nov
27
comment How to calculate a forward-starting swap with forward equations?
So you're trying to compute the value of the swap at $t=0$ is that right?
Nov
27
comment Is there a broad currency index just like there is an equity market index?
@barrycarter I wouldn't use an ETF as a benchmark though, I'd take the index it replicates directly. I guess that's what you meant.
Nov
26
comment Hot do I calculate an effective forward rate?
You will find how to do it on wikipedia
Nov
26
comment Hot do I calculate an effective forward rate?
This is basic financial question and hence is off-topic here, see the faq.