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network profile
| bio | website | myindigolives.wordpress.com |
|---|---|---|
| location | Arizona | |
| age | ||
| visits | member for | 2 years, 1 month |
| seen | 12 hours ago | |
| stats | profile views | 32 |
Descriptive statistics, data quality, probability models for all things risk.
Need to find work ASAP!
Twitter @EllieAsksWhy
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Feb 6 |
reviewed | Satisfactory Determining portfolio risk return in R given historical data for individual holdings? |
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Feb 6 |
reviewed | Needs Improvement what is the implied volatility on a basket of options |
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Feb 6 |
reviewed | Satisfactory How to attribute income that incurs a double liability in a P&L? |
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Feb 6 |
reviewed | Excellent price of a “Cash-or-nothing binary call option” |
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Feb 6 |
reviewed | Satisfactory Collecting Data such as the relationship data from http://investing.businessweek.com |
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Feb 6 |
awarded | Custodian |
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Feb 6 |
reviewed | Excellent Limits analysis |
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Feb 6 |
reviewed | Needs Improvement Basket option pricing: step by step tutorial for beginners |
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Feb 6 |
reviewed | Satisfactory Understanding Passive Rebate Arbitrage |
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Feb 6 |
reviewed | Excellent Most natural generalization of covariance/correlation to model dependence of extreme events |
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Feb 6 |
reviewed | Needs Improvement Why might a manager consider using an interest-rate in which the notional principal amount declines over time? |
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Jan 6 |
comment |
Inflation swap liquidity versus inflation-linked bonds This is an interesting answer! I can tell you have direct experience with these markets. I spend an unfortunate amount of time with (so-called) Austrian types. They never mention Japan, I realize, which should be a sort of heavenly ideal, as there is never any inflation. As you point out, there is this unfortunate OTC behavior, probably motivated by investors' search for returns, and the snake oil salesman who prey on it. That is a good explanation for what appears to be an anomalous market, where off-market securities become more liquid than government bonds. Have I understood correctly? |
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Dec 4 |
comment |
What advanced statistical techniques are quant researchers using? It is possible that for some other, exogenous reason, that hedge fund did not need additional staff with PhD level statistical expertise. Yet they would have no reason to reveal that, especially if you do not have whatever it was that they did need e.g. OCaml skill, or antenna physics for microwave transmission of data for super-fast HFT or how to configure daisy-chained Cray's, or subject matter expertise in a non-quantitative field due to say, a tax or export/ import arbitrage opportunity. |
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Dec 4 |
comment |
What advanced statistical techniques are quant researchers using? I find this very unlikely too. When I first read your question, I thought that "They claimed that they found that the statistical techniques they were using were too advanced" meant that the hedge funds considered the methods used by PhD's in math/stats/physics to be excessively advanced for what was actually needed for work at hedge funds! We could try asking gappy, as he would know. |
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Nov 12 |
revised |
How to annualize skewness and kurtosis based on daily returns edited tags |
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Nov 12 |
revised |
Skewness and Kurtosis under aggregation edited tags |
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Oct 6 |
revised |
Can money technically flow in and out of stocks or asset classes? I fixed the grammar, but the question is still nebulous, particularly the reference to IPO's. |
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Oct 6 |
revised |
data on historical stock price of bankrupt companies Formatted URL, cleaned up a little |
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Oct 6 |
suggested | suggested edit on data on historical stock price of bankrupt companies |
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Oct 6 |
comment |
data on historical stock price of bankrupt companies @JoshuaChance is correct. In fact, the Engineering Returns website guy even says that he purchases his data from Norgate Investors Services premiumdata.net |
