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by greenleaf
October 5th, 2005, 7:46 pm
Forum: Careers Forum
Topic: Econometrics -- what kind of questions to expect on interview
Replies: 12
Views: 140111

Econometrics -- what kind of questions to expect on interview

Just curious... What sort of company are you interviewing? Modeling or risk positions in IB don't ask econometric questions.
by greenleaf
May 20th, 2005, 8:02 pm
Forum: Technical Forum
Topic: Is volatility predictable or not?
Replies: 23
Views: 149725

Is volatility predictable or not?

<t>> Studies have shown a great deal of predictability for intra day based volatility measures, where predictability is measured with the usual out of sample statistical benchmark like adjusted R2, bias, stded relative to target.Would you suggest some reading? Technical and mid-level is fine. Thankx...
by greenleaf
April 18th, 2005, 6:25 pm
Forum: Brainteaser Forum
Topic: a+b+c=abc
Replies: 29
Views: 161754

a+b+c=abc

gregoryv: Stock prices are only quoted down to cents, i.e., 2 decimal digits. This point shoud not be mistaken, without which, of course, there will be an infinite number of solutions as the problem is under-determined (2 equations vs 3 unknowns).
by greenleaf
April 18th, 2005, 3:56 pm
Forum: Brainteaser Forum
Topic: a+b+c=abc
Replies: 29
Views: 161754

a+b+c=abc

<t>Don't know yet the answer, but might have some clue.Denote x=100a, y=100b, z=100c, so that all x, y, z are positive integer.x+y+z=9,009.x*y*z=90,090,000=90,000*1,001=2^4*3^2*5^4*7*11*13So x, y, z must be integers containing 2, 3, 5, 7, 11, 13 raised to appropriate powers. This might solve your pr...
by greenleaf
March 25th, 2005, 7:16 pm
Forum: Careers Forum
Topic: Equity derivatives structuring interview
Replies: 17
Views: 159807

Equity derivatives structuring interview

Quote ...it does measure desire for the job in an indirect manner. But they might as well ask candidates to dance on one leg and see who does it well. That will show even more seriousness and willingness to take crap in exchange for employment.LOL
by greenleaf
March 24th, 2005, 5:41 pm
Forum: Careers Forum
Topic: Equity derivatives structuring interview
Replies: 17
Views: 159807

Equity derivatives structuring interview

<t>Agree with most of eiriamjh's opinion. Just wonder why GS remains such a strong firm given their fondness of brainteasers in interviews.Solutions to brainteasers are often non-standard, requiring multi-facet thinking and reasoning. Perhaps they help to mark the level of innovation (?) of a candid...
by greenleaf
March 9th, 2005, 1:50 pm
Forum: Technical Forum
Topic: Black formula - normal instead of lognormal
Replies: 11
Views: 157922

Black formula - normal instead of lognormal

<t>QuoteOriginally posted by: rplatI had a problem with my option valuation and i'm happy that it is now solved because gjlipman en aconze were willing to answer on the question. Isn't that one of the goals of a forum?No, it is definitely not. You are mistaken. Sorry.Looks like you are taking a cour...
by greenleaf
March 8th, 2005, 1:51 pm
Forum: Technical Forum
Topic: Black formula - normal instead of lognormal
Replies: 11
Views: 157922

Black formula - normal instead of lognormal

C'mon, guys. I must be in a wrong forum. Is it not "No-brainer exercise dumpster"? How inconceivable that a couple of quants bothered to detail out an answer to this kind of questions!
by greenleaf
March 5th, 2005, 3:42 pm
Forum: Technical Forum
Topic: The weakness of GARCH models
Replies: 19
Views: 161554

The weakness of GARCH models

<t>QuoteOriginally posted by: DogonMatrixQuoteOriginally posted by: CarolynTQuoteOriginally posted by: JamesH83"Q2: Why can Volatility be described by an arma process?"Volatility is stationary and highly autocorrelated, hence an ARMA may seem like a suitable model to use.Anyone here done any work wi...
by greenleaf
March 3rd, 2005, 1:12 pm
Forum: Technical Forum
Topic: The weakness of Levy processes
Replies: 3
Views: 157603

The weakness of Levy processes

Any ideas (texts or papers) of how they use Levy in practice?
by greenleaf
February 25th, 2005, 3:18 pm
Forum: Brainteaser Forum
Topic: Nice Brownian Motion exercise (not really a teaser)
Replies: 7
Views: 162602

Nice Brownian Motion exercise (not really a teaser)

Steele's writing is a masterpiece, I have no doubt about that.
by greenleaf
February 25th, 2005, 2:11 pm
Forum: Brainteaser Forum
Topic: Game Theory Teaser
Replies: 24
Views: 162319

Game Theory Teaser

<t>QuoteMy understanding of the question is that you want a strategy which is optimal, even if your opponent knew your strategy. If you had a strategy of picking a random battle to devote no troops, and then splitting your troops between the other two battles. Even if your opponent knew you were doi...
by greenleaf
February 16th, 2005, 12:32 am
Forum: Brainteaser Forum
Topic: Game Theory Teaser
Replies: 24
Views: 162319

Game Theory Teaser

Deleted out...
by greenleaf
February 13th, 2005, 10:53 pm
Forum: Brainteaser Forum
Topic: Minimum Correlation
Replies: 24
Views: 167204

Minimum Correlation

<t>Quote If X, Y, and Z are 3 random variables such that X and Y are 90% correlated, and Y and Z are 80% correlated, what is the minimum correlation that X and Z can have?The answer is that the correlation matrix of (X,Y,Z) is semi-positive definite. Say: rho=1 0.9 r0.9 1 0.8r 0.8 1From Det(rho)>=0,...
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