SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by tbatson
February 22nd, 2006, 6:28 pm
Forum: The Quantitative Finance FAQs Project
Topic: Gambling and trading, what is the difference?
Replies: 53
Views: 246961

Gambling and trading, what is the difference?

Gambling is when you know your expected value is less than zero.Trading or Investing is when you think your expected value is greater than zero.
by tbatson
November 7th, 2005, 2:16 am
Forum: Student Forum
Topic: Who was the first person to use the word “martingale”?
Replies: 1
Views: 130116

Who was the first person to use the word “martingale”?

<t>Trivia question:Who was the first person to use the word “martingale” to describe a certain type of stochastic process, and why did they choose this word.Previous historical definitions of the word martingale:1589 – A strap(s) fastened at one end to the bit and at the other to the girth, to preve...
by tbatson
November 5th, 2005, 10:15 pm
Forum: The Quantitative Finance FAQs Project
Topic: Subjects, please...
Replies: 430
Views: 312326

Subjects, please...

<t>Trivia question:Who was the first person to use the word “martingale” to describe a certain type of stochastic process, and why did they choose this word.Previous historical definitions of the word martingale:1589 – A strap(s) fastened at one end to the bit and at the other to the girth, to preve...
by tbatson
July 7th, 2005, 11:39 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is Option Adjusted Spread analysis?
Replies: 14
Views: 234234

What is Option Adjusted Spread analysis?

<t>Sofiger:OAS can be used for adjustable and fixed rate securities. What is important about OAS is its use for securities with "embedded options" such as a callable bond or a mortgage, where the borrower has the option to payoff the loan.Most securities are priced off the forward rate curve, but th...
by tbatson
July 6th, 2005, 9:46 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is Option Adjusted Spread analysis?
Replies: 14
Views: 234234

What is Option Adjusted Spread analysis?

<t>Just to add my "two cents" to this discussion. OAS is most commonly used with MBS's and Callable Bonds. Monte Carlo simulation is the most widely used approach with OAS. I have not seen a "binomial tree" used with OAS. Here's my definition of OAS from a mortgage loan perspective:Option Adjusted S...
by tbatson
April 8th, 2005, 10:34 pm
Forum: Student Forum
Topic: Interest Rate Sensitivities for different securities
Replies: 6
Views: 153441

Interest Rate Sensitivities for different securities

<t>DavidJN:Your example makes sense. If I understand you correctly, the following examples would explain the difference in duration and interest rate risk: If we lived in an “unreal” world where all floating rate securities regardless of term were forced by law to pay only LIBOR+0bp, then I would as...
by tbatson
April 8th, 2005, 4:43 pm
Forum: Student Forum
Topic: Interest Rate Sensitivities for different securities
Replies: 6
Views: 153441

Interest Rate Sensitivities for different securities

<t>DavidJN:Your comment is exactly right. Locking in the credit spread for 30-years is quite different than the 6-month security credit spread. However, I am trying to look at this problem from a purely interest rate risk prospective, and not include credit risk in the model. Again, to be more speci...
by tbatson
April 8th, 2005, 3:00 pm
Forum: Student Forum
Topic: Interest Rate Sensitivities for different securities
Replies: 6
Views: 153441

Interest Rate Sensitivities for different securities

<t>exotiq:In theory, I agree that the two securities should have the same interest rate risk, since the 30-year security can be replicated by rolling over the 6-month security every 6-months for 30 years.However, when I run different interest rate risk models (QRM, Sendero, etc.) comparing the 30-ye...
by tbatson
April 7th, 2005, 11:28 pm
Forum: Student Forum
Topic: Interest Rate Sensitivities for different securities
Replies: 6
Views: 153441

Interest Rate Sensitivities for different securities

<t>Assume, in a perfect world with no lags, caps, floors, etc, you have a 30 year floating rate security that resets to 6 Month LIBOR every six months. You also have a 6-month maturing security also based on 6 month LIBOR. Both securities use the same index, reset characteristics, cash flows etc., b...
by tbatson
January 31st, 2005, 4:41 pm
Forum: General Forum
Topic: Optimal Betting Strategies
Replies: 8
Views: 162079

Optimal Betting Strategies

<t>jkalman:I think you are misunderstanding what I am looking for. Your analysis is based on the correlation between assets in a portfolio. What I am referring to is when there is serial correlation in the actual trades in a sequence of trades. For example, if there is positive serial correlation in...
by tbatson
January 31st, 2005, 5:48 am
Forum: General Forum
Topic: Optimal Betting Strategies
Replies: 8
Views: 162079

Optimal Betting Strategies

<t>quantie:In the presence of "perfect" positive (+1) or negative (-1) serial correlation, you would know exactly what the next result would be, and your optimum bet would be to "bet it all". You are correct. However, what I am referring to, is when serial correlation between bets or trades is betwe...
by tbatson
January 28th, 2005, 5:18 pm
Forum: General Forum
Topic: Optimal Betting Strategies
Replies: 8
Views: 162079

Optimal Betting Strategies

Bump
by tbatson
January 27th, 2005, 10:44 pm
Forum: General Forum
Topic: Optimal Betting Strategies
Replies: 8
Views: 162079

Optimal Betting Strategies

<t>There has been a large quantity of literature produced over the last few decades regarding optimal betting strategies based on Kelly betting and Optimal f. The purpose of my question is not to “re-hash” these same old formulas again. I am assuming these strategies are based on zero correlation be...
by tbatson
January 25th, 2005, 5:00 pm
Forum: Programming and Software Forum
Topic: Slow excel from lots of data!
Replies: 18
Views: 167516

Slow excel from lots of data!

<t>Lenni:Here's a method I use to speed up spreadsheets with alot of data and formulas. By default, Excel's "Undo" feature is set to 16 levels. That is quite a large amount of RAM dedicated to undoing mistakes. In the Windows' registry, you can add a line to set Excel's "undo" level to zero. This sh...
by tbatson
December 16th, 2004, 9:39 pm
Forum: General Forum
Topic: The MIT Blackjack Team
Replies: 18
Views: 171650

The MIT Blackjack Team

QuoteWe employed two core strategies with mathematical edges ranging from 4% to 25%Dunlegging:I would be interested to know what strategies yield edges of 4% to 25%. Shuffle Tracking? Dealer hole card peeking?
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