Search results

You can get it from Dukascopy, TrueFX, Oanda.

http://www.advancedtrading.com/top-quant-schools-2012/ Note that two nominated schools (Harvard, Wharton) don't even have a quant/FE program - they kicked them to Honorable Mentions (among with Baruch FYI). Prestige is the main game in finance.

Institutional investors have packed their bags and left for dark pools long time ago. Unless one runs a DP or can have a peek in it, it is very unlikely you can "front-run"(-very loose description) institutional trades. Internalizing retail orders was quite an profitable business while ago (and...

Are you a finance PhD student? Is Eugene Fama your supervisor?

UK ditched Tier 1 visas (Highly Skilled Migrant visa), and Tier 2 is massively reduced! Keep that in mind if you plan to go to school there.

The OP is probably referring to Crabels' book; Day Trading With Short Term Price Patterns and Opening Range Breakout .

The second one will be twice as valuable.

Seriously Andy, you are too "business"* lately...TraderJoe was referring to hot females! *In fact, I suggest you change your occupation from Business Dev to just Business :D.

Bob, this kind of abusive behavior should be taken care of by SEC/Finra with one phone call. They have the data, and they can easily find out who was the idiot-quant trader that thinks this is a way to "provide liquidity" . If regulators are not competent enough to stop it, they should subscribe...

Your mentor suggested a really good book; if you think you're going to stick with the subject/company for longer than, say, 6 months, you should definitely dig deeper into the book. And, there's actually no "heavy-handed math" in it.

Maybe they had the same risk management guy/gal as Lehman;). Ouch, yes they did; UBS rouge trade deals blow to new risk boss

Is available at: OlsenRoutes. Yes, it's free. Enjoy.

I hope someone can help me with the following; as far as I understand there are conditions on what kind of paper mutual/money market funds are allowed to have and what is acceptable as collateral in repos, reverses etc., implying that there should be a sell-off on Monday. Yet this came out from...

The thing is CDT program funds only UK/EU PhD students, meaning that the guys from China, India and Eastern Europe, the ones that actually go for these PhDs, don't get a penny.

Dimensionality refers to the number of underlyings + 1 (for time).

Hooker doesn't have anything to offer beside her... (And I am not saying its wrong)

Human nature is such that a potential free lunch is easier to sell than a real option. (NNT) We have the optionality, potential of getting a job at the company, connections, (ir)relevant experience; obviously, doing free work for several months is the premium you pay for this apparent "free...

Call me old fashioned, but I like my pen and paper.:cool:

CFTC moves to delay some swaps rules past July 16 (I think HFT algo's shed a few tears when they parsed the news)

Unfortunately, I don't know much about this issues, so I cant give a sound comment. But I am sure that there's going to be a fierce battle not to bring it to a central exchange/clearing. Was this ever a good idea :)? While it is easy to ping-pong 100 shares back and forth, I doubt one can do...

Regulation is going to kill HFT.

HFT is probably the worst area of finance where young and ambitious professional should be looking to tap in, as discretely mentioned by amanda.jayne (though I disagree on the reason).

I go for zerohedge. Then I read everything 10 times.

write the pdf as (const_1 \exp\{-const_2 \cdot \textbf{x}^{\tau }\Sigma^{-1} \textbf{x}\}) where (\textbf{x}=(x,y)). There's 1-1 link between the covariance matrix and the ellipsoid it spans. Now stretch-contract and rotate that ellipsoid (hint eigenvalue decomposition), it will split into two...

What else would you suggest for people who don't want to/can't spend 100k on a masters degree? I think PhD is a viable choice, as long you can get out in 2-3 years and network like crazy in the meantime.

Rutgers. My take.

Yes, thank you Andy ;) . Basically, I was trying to get people over there, so they can have access to more valuable info about HFT (not just Dominics' interview) and I felt obligated to give credit to The HFT review. Furthermore, if you register you get updates to your email.

Advices on how to break into HFT (Mike interviewed DominiConnor while ago); http://highfrequencytradingreview.com/expert-interviews/ You may have to register in order to get the file (I'm not affiliated with The HFT review).

Yes, liquidity would be case, but since it's intended to be HF somewhere along 10k-100k units shouldn't be issue. Most likely you would pick only one pool of liquidity, or trade against a dealer (then there is no market impact but no limit orders as well), so you wouldn't have to navigate 11...

First of all, congratulation guys on winning the competition! Great work. Regarding real world application, the guys a blunder choosing in-sample data (2004), do you recall what changed in 2005 (do you need a hint)? Better approach would be to go for 2007/2008 the make the market environment...

Austria has very good universities, you will be well off. But you wont be getting a brand-name education (extremely important these days), so don't bet your money that you'll get a job in London or NYC - most likely you will end up in Austria, Germany, or you can go back home.

Do you think its easy being 5% under water, how about 10%, 20%? Put a stop-loss or compute max drawdown. That goes for all of your strategies.

There actually no reason to try to hack into exchanges when you can do much better. High frequency traders, trying to shave of a few picoseconds, don't really care that much about security. Naturally, all those front-running and volume churning algos cant really wait for the messages to get...

Why would you want that? Just front-run them (hft style). I better get my servers co-located in Folsom St., San Francisco.

Blogs are so last year, twitter is the new game in town, http://www.advancedtrading.com/articles/229502425?cid=nl_at_daily

Thank you. Yes, their timing is a valuable information. A couple of links got me to DB, JPM pages where they mention optimal yield roll etc., but there's no mention how they do it. Is this usually a highly secretive info (not the timing, but where on the curve do they roll)?

Suppose you are long front dated physical futures contract and the expiration day is near. Contracts are in a contango - lets say a steep(ish) curve; and you want to roll the contract forward, i.e. sell the front and buy the backdated one. My question is; which one do you choose? I realize...

Networking! (i.e. connections)

Try looking up US Dollar Index, bet you can find option data (and see dollar plunging :D Timber!).

Thanks again for the comments. Regarding XAU/USD, I dont know what the hell happened in the past two days, it went up to 1520, then got smacked down bellow 1500, just to skyrocket to all time high today. Honestly, I cannot say that it is somehow related to options; it is clear it external events...

Stop whining and crying, and suck it up (no pun intended).

Thanks again for the comments! @financeguy: What is your experience with pin risk? Do you think that a large open interest can influence the spot? My thinking about that is that it might be easier for the m.m. to move the underlying out of the money, than to fight with 0 or 100% delta. I read...

Financeguy, thanks for the explanation; I really enjoyed the discussion :). I did found one example of derivatives driving the spot: i.e. "tail wagging the dog" (though indirectly); “It all began in late November [1994] when ... [James] Leiter’s LM International pur- chased $500 million of...

Thanks guys for the comments. What I wanted to ask is; how does a large (non-hedged) bet influence price discovery is spot/forward? From what you said, it seems that is only gets transfered to higher implied volatility.

Maybe we should all become pit traders; I'd rather go for a elbow in the chin each day than a prostate cancer.

At least you are old :p, I still young :(.

Suppose the spot is trading at 100, atm implied vol at boring 15% (assume a skew across the surface), and a large order comes in to buy 1,000,000 contracts of 6 months put options struck at 50. Market maker sells them for expensive implied vol - relative to previous. But now the market maker...

For arbitrage, you can play the AUD/JPY - ES pairs trade, not sure if it broke in the meantime - I dont follow that too much. There needs to be a strict separation between prediction and common sense; e.g. following Fukushima event, trading JPY was a no-brainer, BOJ announce they will have a...

I think this might be a good thing, theres going to be plenty of trading opportunities and I hope to get a piece of the action. Just to name a few; USD/JPY is tipping close to preintervention level - watch out for another intervention; same with CHF; silver is approaching all time highs, gold is...

I seriously doubth he knows anything about mathematics of BS. By the way, have you ever looked at his derivatives holdings? Seems like a "spit in the face", to the whole weapons of mass destruction story.

Free tick-by-tick FX data! http://www.truefx.com/

My apologies. Now I see how bad that statement turned out, considering the first part of the post. I can delete it.

This is a huge warning flag. It implies that the kids go there for the piece of paper they receive after one (or two) years - who in their right mind would spend 100k on something that has no brand value; probably rich Chinese kids. Naturally there is no need for career service since they ship...

In an "plain" option on basket you would average the price of the underlyings, here the underlying is the time - that is the price of one single underlying on different dates, so thats what I meant by the basket on time. Furthermore, in asian the "underlyings" are highly (auto)correlated if the...

Whats bothering you with my reasoning?

The continuous one should be priced higher, asians are options on a basket, underlyings begin the time. More monitoring, more "underlyings". Running numerical work on PDE's has nothing to do with the premium of the option, so you should find one of those big books on numerical analysis and find...

On a serious note...if you are sooooo keen to trade real money, go to Oanda, deposit 10$ and use their (new) MetaTrader interface. You can buy/sell one unit of cross-currency rates. That way you will get some real world experience, a bit of programming and backtesting skills, and can keep the...

With all the blatant money-printing going on, Im not sure if that is such a good idea. He should go for something rock-solid...like gold, silver or Facebook credit. Yeah, those should do.

Then he can write a book about it

Do I even need to say how stupid that is? First do some serious paper trading, and than move on to bigger and better things.

Maverick, you have a MBA from Wharton!!! Why do you want to be a quant? Pick up Wilmotts book and start going through it, coding everthing in C++, Matlab and R. You dont need another degree. My 2 cents.

How can we switch to "old" version of quantnet?

There is some serious extrapolation at work, HFT is accounted for, as you say, 70% of volume, i.e. robots toss shares among each other; guy from HFT firm says to students his company has a holding period of 11 seconds, hence the claim. But it is probably the best reference point. The chart...

Welcome to the world of high frequency trading. To make things clear, I have no idea from where did the guy pulled up this number; I wouldn't be surprised if the average time for the most "liquid" stocks is even less.

Hi Dominic I'm trying to find out more about HFT, i.e. the desired skill set, how fast are the algos (is < 1 milisecond algos just background noise?), how long does it take to set up a hft strategy, what kind of technology do this guys use etc. I would be grateful for any info. I'm almost...

It's ridiculous that you are taking this numbers (z score etc.) seriously. They can at best serve as a benchmark, nothing more, nothing else.

Yes, you can check loglikelihood value, the higher the better (ideally, it should be equal to 0). If you chose two different models, you can use likelihood ratio test as a benchmark for determining which one is better. Please note that, in fact, MLE is a probabilistic method, whereas OLS...

Andy, I'm sorry but I don't understand how can I influence the professor in any way, if my reading of the letter would be a post festum act? Can you explain me what unpleasant event should occur if I would be able to read the rec. letter from a professor (make something up or maybe share your...

Dan, Dan, Dan...you are not reading between the lines. Ilya has told us the following: 1. Mr. Thorp is not alive ;). 2. He didn't have a chance to meet him, probably because he was doing something else (with him) ;). 3. Mr. Thorp is not immortal (I assume Ilya has a first hand experience with...

Why is it so? I understand the desire of the professors that a student can't come into a position to alter the recommendation letter in any way, but why shouldn't the student see what the prof wrote about him?!

MFwhartonite, I don't know if you are aware of it, but a guy who teaches Financial Time Series class (J. Michael Steel) at Wharton, has a great(!!!) web page that covers most of the material learned in class (at least that is my impression), here's the link: Financial Time Series Wharton...

There are plenty of applications of the material learned in these courses, but I doubt you will find any (direct) application to trading. Basically, things work or make sense for some reason, like Central Limit Theorem or Black-Scholes formula, but it should be your least concern (as a trader)...

Why don't you share it in the 'downloads' section, so the rest of the quantnet-world can see what Harrison & Kreps actually proved? I don't know the answer to Josu's question, but I do know that historically, 'taking the risk-neutral expectation' was used as a rule rather than being derived...

Yep, the answer is correct :). I'll give a brief explanation how I solved it. So, I start with a capital of 1, and each time my wealth is increased/decreased by: ((1+f\cdot X_k)), where ( X_k\sim { -1 ~~ 1\choose 1/2 ~~ 1/2 }), so after a 1000 flips my total wealth is...

Instead of this: write; F = @(lambda,xdata,Ralpha,r,beta,sigma) Ralpha +((1-exp(-beta*xdata))/(beta*xdata))*(r-Ralpha)+... ((sigma.^2)/(4*(beta.^3)*xdata)*((1-exp(-xdata)).^2)); This way you are saying, F is a function of lambda, xdata, Ralpha, etc. I tend to write a new m-file...

These problem are fine, but I think us (wannabe) quants can do better! I found a nice problem related to probability (cause quant.finance (\approx) probability). Here it goes; You are given a unique investment opportunity. Starting with £1 of capital, you can choose a fixed proportion, f, of...

I'm going to give a critque of the methods mentioned. Tobias has a nice approach, but it's restrictive in a way that it forces the bound to be in a binary form (i.e. (L=2^p,p\in\mathbb{N}), or maybe (2^p-1)), now that isn't such a problem if you want the (upper) bound to be 1000, so you say...

This is how I would do it. First let there only be (x,y). I assume WLOG that they are both positive, and that I know the upper bound (L^{up}). If they are both negative, then it doesn't matter (product positive), if only one is negative, then I would work with lower bound (L^{down}). First, I...

No, it doesn't. I'm going to save you the trouble of (eventually) reading the terrible documentation of Excel Object Model on MSDN, and direct you to a cool lib - > http://www.libxl.com/ . Upside: very easy to use, clearly written documentation, header only lib. Downside: you need to purchase...

SIAM has launched a journal in Financial Mathematics. You can read this year (2010) issues for free. Here's the link: http://epubs.siam.org/SIFIN .

You haven't mentioned how much straight walks are people allowed to make; if they are allowed to make finite straight walks, we procede as follows, each house is represented by a point ((x,y)\in [0,1]\times [0,1]), no matter how much finite walks a person makes, the total distance will be (x+y)...

I have a solution for the second problem. Take it, from someone who is self-thought in C++. #include<string> #include<iostream> using namespace std; string sep_digit_by_comma( string s ){ string temp; int num= ( s.size()%3 ) ? ( s.size()/3 ) : ( s.size()/3 - 1 ); for( int i=0...

Cauchy distribution doesn't have well defined expectation (do you remember Lebesgue integral?) ;). Let \(X\) be r.v. with following distribution \(\mathbb{P}(X=2^n)=c\frac{1}{n^2},n\in\mathbb{N}\) (where \(c\) is a constant such that it all sums up to 1). It is trivial to check that it has a...

The following great book is also available for free download: Information Theory, Inference and Learning Algorithms, by David MacKay; at http://www.inference.phy.cam.ac.uk/mackay/itila/book.html .

Undefined. Suppose he's lying, that is the number shown is not 6, you don't know the probability of choosing 6 as an answer.

Just start the damn competition, so us wannabe quants can slaughter each other!:smt006 Seriously, study abroad prize, working with a prof seems very nice, but you can easily get into problems with it, lets suppose a guy, from a country you have never heard of (like me :D), wins the competition...

Indeed, I have made a mistake, but no the answer is not correct! I will correct my counterexample; let (X_1=0,X_2=X_3=\dots=X_7=1,X_8=2), we have (\overline{X}=\frac{0+6\cdot 1+2}{8}=1), range this time equals (2), again we compute stan. deviation, we have (\sigma^2=\frac{1}{7}(6\cdot...

Haha, look at number 4. Suppose we have time series of just two observations (X_1=1,X_2=2), range is then (Range=1). So, standard deviation should be (\frac{1}{\sqrt{2}}). But this is clearly not the case! They haven't defined standard deviation but lets assume they meant...

Ah, "quantitative" questions from RiskLatte. I couldn't believe the amount of junk you could find at websites, doing so called serious "math stuff" (and their application to finance). This kind of questions are always ridiculous, yes it maybe the sequence of prefect numbers, or it maybe the...

Where can see one? For free of course :D.

Please note that the recursion isn't correct "by accident". I'll comment just the first equation (the logic behind the second is the same). The mentioned event is equivalent to the event that first two tosses are heads, and that there aren't consecutive heads between the 2 and the n toss. From...

Omitting the techincal stuff; (\mathbb{P}(X=n)=\frac{1}{2}\mathbb{P}(X=n-1)+\frac{1}{4}\mathbb{P}(X=n-2), \mathbb{P}(X=2)=\frac{1}{4}, \mathbb{P}(X=3)=\frac{1}{8}), similarly we have (\mathbb{P}(Y=n)=\frac{1}{2}\mathbb{P}(Y=n-1)+\frac{1}{4}\mathbb{P}(Y=n-2)+\frac{1}{8}\mathbb{P}(Y=n-3)...

Fourier transfrom is a huge overkill in this case. The only thing that explicitly isn't stated in the derivation of the equation is the product rule for series (you can find it here -> http://en.wikipedia.org/wiki/Power_series). You can identify a polynomial as a series with the coefficients...

As now stated, the "definition" of lognormal distribution makes no sense. There's a lot of confusion with notation, for a moment I thought your were talking about two-sided lognormal dist., but now I'm not sure of anything. It would be best if you could start from scratch.

Sorry! I forgot standard deviation. I'll fix it in the original post. No, I'm saying I don't know where did (\log(something ~negative)) come from. As I see it, the definition in the book is (almost) ok. You have to exclude the case (x=\tau) just to make things well defined. Also, you are...

Indeed, there's something wrong with calculation of extreme value . This how I would do it; denote (m=\min\{x_1,\dots,x_n\}, M=\max\{x_1,\dots,x_n\}) and (\overline{x}, std(x)) as sample mean and st. deviation. Extreme value would be...

Thank you, for even taking the time to read my posts. I'll try to make the question clear (without refering to any specific functions, like outlier1, outlier2, out1out2 in my case). Suppose I have three functions, named function1, function2, function3. Each function consists of some code...

Just an idea... (S_n(t)=\sum_{k=1}^n\frac{1}{2^k}\cos(kt)=Re(\sum_{k=1}^n\frac{1}{2^k}e^{itk})=Re(\sum_{i=1}^k(\frac{e^{it}}{2})^k)), now you know that; (\frac{1-z^{n+1}}{1-z}-1=\sum_{k=1}^nz^k), so we have...

I haven't figured out what was wrong...I decided to merge the three functions into one (huge!) function. As I suspected the code is working fine now (I tweaked the code a bit, just to make it clearer). If anyone is interested, here's the code; function [ data, S, m ] = out1out2(data1)...

I'm writting a simple program that finds outliers in data and removes them. There's this main function named out1out2, that calls two functions; outlier1, outlier2. Function out1out2 is called from command window. For some reason I keep getting a warning that there's an error in outlier1...

Where do we send questions about this year's ARPM? There were a couple of e-mails involved, arpm09@baruch.cuny.edu and arpm09@gmail.com, so which one of these is being watched? Anton

Here's boundess; (\log(A_{n+1})=\sum_{k=2}^n-\log(\cos(\frac{\pi}{2^k}))), we have (\log(\cos(\frac{\pi}{2^k}))=\log(1-(1-\cos(\frac{\pi}{2^k})))=\log(1-(1-1+\mathcal{O}_0(2^{-2k})))=\log(1-\mathcal{O}_0(2^{-2k}))=-\mathcal{O}_0(2^{-2k})), so we have...

You're not gonna learn how to program by doing Matlab (since it already has preimplemented almost any algorithm known to men). First step: writting algorithms in pseudocode, this way you're going to get rid of the habbit of thinking in ceratin code (yes, people tend to do that) Second step...

I found some samples. Here's the link: tick data intraday samples futures forex stock index

Thanks guys for all the help. I found some book and papers that were of great benefit to me. Another question directly related; do you know where I can find free tick data (it doesn't matter which market). I know it's a long-shot :D, but maybe someone is giving it away for free.

:smt119What you listed usually takes two years, if a person is a full time student! You also need measure theory for stat, prob theory and stochastic processes and functional analysis (or some kind of intro to it) for PDE. Plan for first year: Multivariable calc/Analysis in IR^n, linear algebra...

Everything you got :). I have to get as much info as possible in short time. So I'm looking for some classic papers, get known with common issues, maybe some models etc. Sorry cause I'm being so vague, I haven't encountered modeling liqudity yet, and I don't know much about it (except some...

Can anyone recommend any papers on market liquidity? I'm looking for models with solid mathematical background. I tried searching arxiv but didn't found what I was looking. Thanks in advance. Anton

Sorry for misleading you, I refreshed my knowledge in the morning and realized I was wrong.

I think you switched something, (I'm using your notation) you find p-order of AR with autocorrelation plot, and q-order for MA with partial correlation plot. Edit: the order of finding p and q doesn't matter.

It seems that there are a lot of questions on how to get into a good Master/Phd program (and I must addmit some very good answers), but somehow no one mentioned the following: ask your college professors to help you with admission! A recommendation from a famous professor can overcome most GPA...

I got \(x_n=(\sin(\operatorname{arctan}\big(\sqrt{\frac{3}{2}}x_{n-1}\big)))^{-2}\), but I don't think it gets any better than this;). I have never been on a quant interview, but I can't tell what's the use of this question...

Hello guys! I'm a student from Europe interested in attending this seminar. I have the following question: is it possible that I'm assisted with accommodation during the seminar? Is it possible to get a room at campus? Thanks in advance Anton