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by quantie
September 21st, 2021, 12:38 pm
Forum: General Forum
Topic: How does FED quatify inflation expectation?
Replies: 4
Views: 2578

Re: How does FED quatify inflation expectation?

I think the new supply of TIPs is about 50bn vs 2tn increase in nominals over the last year. The Fed is buying a lot more than the new supply of TIPs so that distorts prices and inflation expectations imputed from TIPs
by quantie
September 20th, 2021, 11:27 pm
Forum: General Forum
Topic: How does FED quatify inflation expectation?
Replies: 4
Views: 2578

Re: How does FED quatify inflation expectation?

You have to define “FED” each member of the FOMC & the regional board presidents have their inflation dashboards & pet theory on inflation that is often wrong. Janet Yellen had this for a dashboard https://www.brookings.edu/interactives/janet-yellens-dashboard/ Looking at Tips in particular ...
by quantie
September 20th, 2021, 11:22 pm
Forum: Programming and Software Forum
Topic: Excel tricks
Replies: 134
Views: 79583

Re: Excel tricks

Excel only stores 15 digits for precision so FP arithmetic can give incorrect results
https://docs.microsoft.com/en-us/office ... ate-result
by quantie
December 10th, 2017, 3:52 am
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 917
Views: 199235

Re: End of bitcoin?

The LPPL Sornette stuff shows we are a couple of weeks away from a critical time in bitcoin..but the confidence interval of this estimate is wide This is definitely getting close I ran the model again shows further evidence of a crash shortly. Critical time is less than 10days at multiple time hori...
by quantie
December 3rd, 2017, 4:39 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 917
Views: 199235

Re: End of bitcoin?

The LPPL Sornette stuff shows we are a couple of weeks away from a critical time in bitcoin..but the confidence interval of this estimate is wide
This is definitely getting close
by quantie
December 3rd, 2017, 2:38 pm
Forum: Technical Forum
Topic: FX option pricing in practice
Replies: 5
Views: 3077

Re: FX option pricing in practice

You start with where the market is based on broker quotes and in periods of relative calm all you do is adjust around that based on your flow...it gets more interesting when you go in to events for example
by quantie
November 18th, 2008, 11:53 pm
Forum: Student Forum
Topic: currency in pricing
Replies: 7
Views: 47524

currency in pricing

<t>ok looks like you are pricing a hybrid to keep things simple it is easy to quote everything in "USD" terms if you have got US stocks in your mix. Recall IBM is really IBM$ (ibm stock price in $ terms). This avoids having to do a quanto/drift adjustment if you are pricing with MC. So EURUSD is the...
by quantie
November 18th, 2008, 11:48 pm
Forum: Technical Forum
Topic: financial data storage/analysis using CERN's "root" software
Replies: 10
Views: 50748

financial data storage/analysis using CERN's "root" software

long years ago smartquant when it was open-source used CINT and ROOT framework. I am not sure if it still does but it is worth checking.
by quantie
April 22nd, 2007, 10:53 pm
Forum: General Forum
Topic: FX basket barrier option
Replies: 6
Views: 75198

FX basket barrier option

max(y*x%,basket return) - is y a participation rate?
by quantie
February 10th, 2007, 1:08 am
Forum: Numerical Methods Forum
Topic: automated regression model selection
Replies: 11
Views: 84721

automated regression model selection

<t>QuoteOriginally posted by: PanniniI'm trying to data mine for an optimal basket of securities to hedge another security, given a very large number of possible baskets. So I'm looking for a fast, parsimonious, multiple linear regression model selection algorithim that can reduce dimensionality in ...
by quantie
January 5th, 2007, 10:56 pm
Forum: Book And Research Paper Forum
Topic: New Book on Foreign Exchange by Tim Weithers
Replies: 3
Views: 101254

New Book on Foreign Exchange by Tim Weithers

<t>QuoteOriginally posted by: jfuquaTim seems to have left UBS several months ago. Does anyone know where he went to and his email ? I sent him email just before he left UBS but did not get a response and the UofC MathFin program people do not seem to know. Thanks.May I also suggest another new booo...
by quantie
October 25th, 2006, 11:25 am
Forum: Technical Forum
Topic: Differential Evolution for Heston
Replies: 19
Views: 102033

Differential Evolution for Heston

I had posted some "R" code here some time ago that could be suitably modified to use from vba.
by quantie
October 21st, 2006, 7:35 pm
Forum: Numerical Methods Forum
Topic: How can we gauge the effectiveness of a commodity price or fx hedge?
Replies: 7
Views: 92414

How can we gauge the effectiveness of a commodity price or fx hedge?

<t>well under FAS133/IAS39 the regression is one of atleast three ways of showing hedge effectiveness. You can see these two references1 and 2 and also the JPM Heat framework lays out some of the issues in this.Actually one can show that the minimum variance hedge ratio is simply the cov(fx,metal)/v...
by quantie
October 21st, 2006, 7:26 pm
Forum: Student Forum
Topic: Ideas for data mining in finance
Replies: 7
Views: 91085

Ideas for data mining in finance

You may find this ppt interesting.
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