Is the LN() function able to take a range? I get the feeling that you are translating the formula exactly as you see it without actually understanding Excel.

<t>Well, originally the VIX used ATM S&P100 (OEX) Puts for its calculation (hence why it was called a "fear" gauge). I've not followed it since I've gone back to school, but after checking the CBOE's website they say they have updated the calculation but have not altered the historical data. So ...

When a market is in Contango (Backwardation) and they are Long (Short) in addition to commissions.

<t>Cointegration: like you said, the spread is stationary which means that a linear combination of the two is stationary. Hence they are Cointegrated. Obviously this relationship is variable but I think you would be hard pressed to find any relationship that is completely stationary for the life of ...

Why not use Cointegration?

Or you can get it at Bloomberg.com: Bloomberg - TV (click on the "Launch Player" URL in the upper-left). Although, I'll say that wi-fitv.com seems to have better quality.T

<t>I'm stretching a bit here, as most of the obvious has been stated, but from a marketing stand-point, some funds may seek to maximize their Sharpe ratio as it an important metric when marketing funds. So market-neutral funds, who presume that their StDev won't scale in relation to an increase in l...

<t>And if you plan on being a equity trader, you will need to take a Series 55.Like it has been said before, maybe in joking/condescending fashions, the series 7 isn't hard at all: just a lot of disparate material to cover. Really, the series 3 was the hardest I took and it wasn't that hard either.A...

I found it at S&P's website: guess I wasn't looking hard enough the first time. T

<t>Hello all, Does anyone know how to get sector constituents? I'm currently going to school (read: limited budget) and I'm trying to get sector constituents (and unfortunately they don't have any of this info at my school; flame away if you want). I'm preferably looking for GICS, but any will do re...

Is there going to be a quiz?T

Research Insight (Division of S&P).T

I've read papers on both Kernel ICA and non-linear ICA, so at the minimum, there has been some research done on both issues.T

<t>Most ICA algorithms expect the factors to be orthogonal, so if you are going to be using ICA you will have already run it through PCA anyway.I think the trickier aspect is determining the relevant IC's: all the methods I tested didn't show much success, and all the papers I read didn't give any d...

<t>Yeah, I know about these type of markets and the ones the B/D's run (i.e. GS/DB economic option markets), but I was more interested in what the article is describing: using markets inside a company or organization to predict future events. Even decide them to an extent.Anyway, thanks for the info...