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by gelfand
April 22nd, 2020, 3:53 pm
Forum: Technical Forum
Topic: Negative forward futures prices
Replies: 10
Views: 2926

Re: Negative forward futures prices

https://www.bloomberg.com/news/articles/2020-04-21/negative-oil-prices-are-literally-breaking-traders-risk-models By  Alex Longley ,  Jack Farchy , and  Catherine Ngai April 21, 2020, 4:46 PM EDT   Updated on  April 22, 2020, 5:12 AM EDT   Traditional options models assume prices can’t go below zer...
by gelfand
April 22nd, 2020, 3:51 pm
Forum: Technical Forum
Topic: Negative forward futures prices
Replies: 10
Views: 2926

Re: Negative forward futures prices

Shifted Lognormal with lower bound = max storage cost? That's an interesting thought provoking approach.  Luckily, we're not looking at any more negative prices for future deliveries, so for now, threat neutralized,  but I would like to update my model for this if it happens again.  The cost of sto...
by gelfand
April 21st, 2020, 10:41 pm
Forum: Technical Forum
Topic: Negative forward futures prices
Replies: 10
Views: 2926

Re: Negative forward futures prices

Should oil futures prices be modeled as an arithmetic brownian motion rather than a geometric one? Maybe they are arithmetic once the price falls below a certain price level?
by gelfand
May 3rd, 2019, 8:48 pm
Forum: Technical Forum
Topic: Simulate extremes of a Brownian motion
Replies: 6
Views: 4205

Re: Simulate extremes of a Brownian motion

I found a paper devoted to my question: The working paper is at http://www.lehrstab-statistik.de/download/papers/SimBrownWP.pdf . Computational Management Science January 2010, 7:1 Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to optio...
by gelfand
May 1st, 2019, 8:24 pm
Forum: Technical Forum
Topic: Simulate extremes of a Brownian motion
Replies: 6
Views: 4205

Re: Simulate extremes of a Brownian motion

Thanks for your help, Alan.
by gelfand
April 27th, 2019, 12:49 pm
Forum: Technical Forum
Topic: Simulate extremes of a Brownian motion
Replies: 6
Views: 4205

Simulate extremes of a Brownian motion

To simulate the terminal value of a standard Brownian motion you just need a random generator of normal deviates. What if you want to jointly simulate the high, low, and terminal values of the Brownian motion? It is known that the average maximum value up to time t = 1 is 1/sqrt(pi/2) = 0.7979. I ha...
by gelfand
November 28th, 2018, 8:35 pm
Forum: General Forum
Topic: Amazon Forecast
Replies: 0
Views: 949

Amazon Forecast

Amazon is offering forecasting services to business, using the following models :  ARIMA, DeepAR+, Exponential Smoothing (ETS), Mixture Density Network (MDN), Multiquantile Recurrent Neural Network (MQRNN), Non-Parametric Time Series (NPTS), Prophet, and Spline Quantile Forecaster (SQF). Any thought...
by gelfand
August 18th, 2018, 6:47 pm
Forum: General Forum
Topic: Wall Street Erases the Line Between Its Jocks and Nerds
Replies: 4
Views: 1317

Wall Street Erases the Line Between Its Jocks and Nerds

Wall Street Erases the Line Between Its Jocks and Nerds By Liz Hoffman and Telis Demos Wall Street Journal Aug. 18, 2018 Meet the straders. Part risk-taking trader and part computer-whiz “strategist,” they are prowling the halls at Goldman Sachs Group Inc., erasing a once-religious line between the...
by gelfand
January 23rd, 2017, 7:23 pm
Forum: General Forum
Topic: high frequency data sets
Replies: 1
Views: 705

high frequency data sets

HIgh frequency quants are in demand. If you are not already working as one, how do get high-frequency data? It would be nice if there were some publicly available data sets. It is easy to get free historical *daily* data on stock prices. I understand that updated high frequency data will cost money,...
by gelfand
September 30th, 2016, 3:39 pm
Forum: Careers Forum
Topic: Hedge funds demanding high Sharpe ratios
Replies: 1
Views: 1557

Hedge funds demanding high Sharpe ratios

I have commonly seen hedge funds asking for track records with Sharpe ratios in excess of 2 from aspiring portfolio managers or quantitative traders. If I had a Sharpe of 2 I could make $500K on average risking only $250K per year. Why do traders with a few hundred K in savings and Sharpe's > 2 need...
by gelfand
September 26th, 2016, 8:01 am
Forum: Programming and Software Forum
Topic: Python 2 or 3 more common in finance?
Replies: 15
Views: 3687

Python 2 or 3 more common in finance?

Is Python 2.x or Python 3.x now more common in finance? I am thinking of brushing up my Python skills and am thinking of what to learn. In the long run, I think that finance and scientific computing will move to Python 3, and I never see job advertisements mention Python 2 or Python 3, as opposed to...
by gelfand
September 22nd, 2016, 5:35 pm
Forum: Careers Forum
Topic: machine learning and big data
Replies: 24
Views: 6241

Re: machine learning and big data

I didn't respond earlier because I have a feeling you're maybe not to interested in ML other than career-wise? On the other hand you are young and pre-career and it's very understandable that you try to figure out what to do, and so I didn't want to be negative either. I am a former hedge fund quan...
by gelfand
September 8th, 2016, 3:36 pm
Forum: Careers Forum
Topic: machine learning and big data
Replies: 24
Views: 6241

machine learning and big data

Proficiency with "machine learning" and "big data" is currently valued in the financial quant job market. What credentials can you acquire to demonstrate such proficiency? For some time there have been master's degree programs in finance that focus on stochastic calculus and derivatives pricing. Are...
by gelfand
June 17th, 2016, 5:12 pm
Forum: Off Topic
Topic: most beautiful quant
Replies: 2
Views: 707

most beautiful quant

<r>I read a master's thesis Value at Risk: GARCH vs. Stochastic Volatility Models: Empirical Study AbstractThe thesis compares GARCH volatility models and Stochastic Volatility (SV)models with Student's t distributed errors and its empirical forecasting performanceof Value at Risk on ve stock price ...
by gelfand
May 31st, 2016, 5:26 pm
Forum: Careers Forum
Topic: derivatives quant to equity quant
Replies: 1
Views: 1550

derivatives quant to equity quant

<t>I am currently on the job market and have some sell side and buy side experience as an equity derivatives quant, for example implementing strategies that sell delta-hedged straddles. I am a CFA and want to qualify myself as a quant who develops systematic delta-one equity strategies. Showing that...
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