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by ScilabGuru
January 23rd, 2004, 5:19 pm
Forum: Off Topic
Topic: Bush's new immigration plan?
Replies: 56
Views: 191618

Bush's new immigration plan?

<t>QuoteOriginally posted by: EnergeticI don't have a big problem with what you're saying except you're not answering my question.Hmm, almost all jewish people answer question by question or in the best case answer not your question...QuoteAgain, the question is: when is the discrimination permissib...
by ScilabGuru
January 23rd, 2004, 3:54 pm
Forum: General Forum
Topic: R-Squared Question
Replies: 14
Views: 189763

R-Squared Question

Jonny, I did!!, but not all, it is hard to read numbers without latex. And to understand that it's equivalent is simpler than to read about this
by ScilabGuru
January 23rd, 2004, 3:51 pm
Forum: Off Topic
Topic: Bush's new immigration plan?
Replies: 56
Views: 191618

Bush's new immigration plan?

<t>Well, forget about politics and revolution, lets talk about Darvin evolution I read in some magazine about human evolution that humans start dominate when they started to use old people to help with kids, etc. It turned out that old, weak members of a tribe might be useful and productive. And sti...
by ScilabGuru
January 23rd, 2004, 3:37 pm
Forum: Technical Forum
Topic: Transaction costs - concave or convex function?
Replies: 15
Views: 190168

Transaction costs - concave or convex function?

<t>QuoteOriginally posted by: adannenbergTake a look at Farmer's "How storing supply and demand affects price diffusion", and references therein. It presents the overly simple logic as to why market impact should by a convex function of size, it gives references to the empirical studies showing that...
by ScilabGuru
January 23rd, 2004, 2:53 pm
Forum: Careers Forum
Topic: Citigroup Risk management
Replies: 14
Views: 191080

Citigroup Risk management

So, Ola, are you alive ?
by ScilabGuru
January 23rd, 2004, 2:18 pm
Forum: Technical Forum
Topic: Transaction costs - concave or convex function?
Replies: 15
Views: 190168

Transaction costs - concave or convex function?

<t>QuoteBut the question here is quite small and specific, no? Well, the question was quite technical, but of course, if this is interesting we can proceed the discussion. The commissions and bid-ask speard vary pretty much with repsect to the market, institution, volume, broker and trading strategy...
by ScilabGuru
January 23rd, 2004, 2:08 pm
Forum: Off Topic
Topic: Bush's new immigration plan?
Replies: 56
Views: 191618

Bush's new immigration plan?

<t>QuoteGeneralizing a bit, you're saying that discrimination is permissible if it benefits the society. Right?You introduce too much phylosophy in what I said. Slevin, explained his view (that mostly coinsides with mine) better than me. If you claim that selection with respect to skills is discrimi...
by ScilabGuru
January 23rd, 2004, 1:57 pm
Forum: General Forum
Topic: R-Squared Question
Replies: 14
Views: 189763

R-Squared Question

Of course, I meant returns, sorry for sloppiness. eps is the noise. Both approaches seem me equivalent...
by ScilabGuru
January 23rd, 2004, 1:26 pm
Forum: Technical Forum
Topic: Transaction costs - concave or convex function?
Replies: 15
Views: 190168

Transaction costs - concave or convex function?

Many thanks, Nono, for the reference, the paper is great (may be becasue it correlates with my view )
by ScilabGuru
January 23rd, 2004, 1:16 pm
Forum: Technical Forum
Topic: Transaction costs - concave or convex function?
Replies: 15
Views: 190168

Transaction costs - concave or convex function?

<t>QuoteOriginally posted by: adannenbergThe claim of concavity is for market impact alone, not for market impact plus commission. So it's still very weird.No, at least, the explanations were about broker commissions, etc. Market impact, can be modeled via bidask spread somehow at least this is my v...
by ScilabGuru
January 23rd, 2004, 2:11 am
Forum: General Forum
Topic: What is Stat Arb?
Replies: 14
Views: 191958

What is Stat Arb?

Yes, it is interesting. Instead of trying to find a stat arbitrage they try to model this, namely to explain how it might arise. I don't think,that is completely useless, but it just comes from agent theory. May be in a future it can be an asset...
by ScilabGuru
January 22nd, 2004, 11:35 pm
Forum: General Forum
Topic: R-Squared Question
Replies: 14
Views: 189763

R-Squared Question

I don't understand exactly what you are doing, but you have to regress one asset against other and to find a beta coefficentA=\alpha+ \beta B + epsbeta= cov (AB)/var(B)
by ScilabGuru
January 22nd, 2004, 9:49 pm
Forum: Technical Forum
Topic: Transaction costs - concave or convex function?
Replies: 15
Views: 190168

Transaction costs - concave or convex function?

<t>I found in some paper the following claim: transaction costs is concave function of the value of trade since commission are not linear and for large trades they achieve somehow some saturation level. It does not seems me completely correct. Moreover, for high-frequency trading it seems me complet...
by ScilabGuru
January 22nd, 2004, 9:36 pm
Forum: General Forum
Topic: What is Stat Arb?
Replies: 14
Views: 191958

What is Stat Arb?

<t>Stat-arbitrage is essentially built on some strategy. If you just buy some portfolio and hold it until maturity - then stat arbitarge opportunity exists iff pure arbitrage exists. formally it can be wriiten as follows (I paste this from another thread)GIVEN:1. Discrete times t=0,1,... ,T2. I_t is...
by ScilabGuru
January 22nd, 2004, 7:57 pm
Forum: Off Topic
Topic: Bush's new immigration plan?
Replies: 56
Views: 191618

Bush's new immigration plan?

<t>Quote infer that you regard the discrimination by skills and abilities as legitimate. (I do too, no beef here.) May I ask you why?Let me answer on this question. With no such discrimination we get socialism-communism with all "fancy" stuffs they have (hopefully had) got. It turns out finally that...
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