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by akkakarania
July 26th, 2013, 10:17 am
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8462

Granger Causality

<t>There is OU model to see the half time ( also the speed of mean reversion) and then there is VECM alpha to give the speed of mean reversion.. so there are two ways we get it... would you be able to shed some light on the difference between the two.. are they have different purposes or interpretat...
by akkakarania
July 24th, 2013, 3:54 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8462

Granger Causality

but we know that Do n faff(2010) that the historic mean for the difference of prices between two stocks are not constant so if they trend then we need to model that.. dont we?
by akkakarania
July 24th, 2013, 3:09 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8462

Granger Causality

<t>QuoteOriginally posted by: chocolatemoneyQuote 2. Future time period 11 onward( say 25-jul-2013).. we use the calculated beta(fixed) and constant ( both calculated until 24th Jul2013) and see the behavior of this residual.. I am sorry, I am now even more confused on what you're trying to achieve....
by akkakarania
July 24th, 2013, 1:55 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8462

Granger Causality

<t>2. For Pairs trading strategy, there are many methods, modelling spread with Kalman filtering is popular, however i wanted experts opinion on its comparison to co-integrating relationship... should i just bet on cointegrating relationship(vidya murthy 2004 book) or should i model spread.[Ajay] 1....
by akkakarania
July 15th, 2013, 9:40 am
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8462

Granger Causality

<t>Hi Members,I have two simple QQ1. Stock A &B ( High frequency 1min tick) i do EG test and found them to be co-integrated.A = B + err1B= A + err2both the above equation produces different coefficients so i want to know which equation is significant so i run Granger causality test which will te...
by akkakarania
May 17th, 2013, 3:57 pm
Forum: Technical Forum
Topic: Software - Portfolio Optimization and Risk Management
Replies: 8
Views: 8744

Software - Portfolio Optimization and Risk Management

<t>Thanks for your replies..absolutely agreed with both of you... so the idea is to give user a click button thing.. and all the technicalities in the background... user just needs to add the capital and his expected returns from the market.. and remaining hunting will be required to be done by the ...
by akkakarania
May 16th, 2013, 8:21 pm
Forum: Technical Forum
Topic: Software - Portfolio Optimization and Risk Management
Replies: 8
Views: 8744

Software - Portfolio Optimization and Risk Management

<t>Any takers for my question.. how about below ideas..A. Hybrid method for Portfolio optimization leveragingi. CVaR/Black?Litterman model ii. Engle and Ferstenberg (2007) to accommodate transaction cost.iii. Correlation modelling using Ang and Chen(2002)B. Volatility modeling CCC-GARCH (1,1)C. Reco...
by akkakarania
May 15th, 2013, 11:09 am
Forum: Technical Forum
Topic: Software - Portfolio Optimization and Risk Management
Replies: 8
Views: 8744

Software - Portfolio Optimization and Risk Management

<t>Hi All,I am planning to build a software to cater to retail trader for 1. Portfolio optimization/rebalancing2. Risk managementI googled and downloaded quite a few softwares to understand what they offer currently and couldnt find any (yet) which offers simple click button which rebalances the wei...
by akkakarania
March 31st, 2013, 4:09 pm
Forum: Numerical Methods Forum
Topic: Hurd and Zhou FFT Spread Options
Replies: 4
Views: 22617

Hurd and Zhou FFT Spread Options

we cannot use DLZ for levy since it doesnt have characteristic function.... right
by akkakarania
March 31st, 2013, 4:08 pm
Forum: Numerical Methods Forum
Topic: Hurd and Zhou FFT Spread Options
Replies: 4
Views: 22617

Hurd and Zhou FFT Spread Options

do u have the code for implementing Hurd?
by akkakarania
March 23rd, 2013, 10:42 pm
Forum: Trading Forum
Topic: HFT- Good and Bad
Replies: 2
Views: 8804

HFT- Good and Bad

<t>Hi All,I wanted to discuss some of the drawbacks or gaps we have in the HFT world... think about consolidated audit trail for e.g from the regulatory Point of view(Regulatory NMS).. Dark pool .. Orders being distributed across various locations for NYSE exchange...Also, in terms of technical adva...
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