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by acastaldo
March 11th, 2017, 11:32 pm
Forum: Trading Forum
Topic: FX Forwads
Replies: 1
Views: 1306

Re: FX Forwads

It is the _difference_ between the spot and the forward which is replicated by strategy b.
by acastaldo
January 8th, 2017, 9:05 pm
Forum: Economics Forum
Topic: What strategic purchases do China do abroad?
Replies: 1
Views: 1361

Re: What strategic purchases do China do abroad?

I don't know any single source. For Chinese investment in the US, the consulting firm Rhodium Group (rhg.com) collects and publishes information. The Paulson Institute in Chicago does some work in this area also. The US government's CFIUS (pronounced see-fius, the Committee on Foreign Investment in ...
by acastaldo
December 31st, 2016, 10:23 pm
Forum: Student Forum
Topic: Holding discount
Replies: 3
Views: 776

Re: Holding discount

You can find the Dilbert cartoon here:

https://books.google.com/books?id=tcawt ... &q&f=false
by acastaldo
December 28th, 2016, 5:24 pm
Forum: Trading Forum
Topic: Are the online portfolio selection alg. practical approach?
Replies: 4
Views: 1628

Re: Are the online portfolio selection alg. practical approach?

If you are asking specifically about the portfolio algorithm developed by Thomas M Cover, then I would say I am not aware of it being used in practice but I would be interested in the views of other members here...
by acastaldo
December 7th, 2016, 4:39 pm
Forum: General Forum
Topic: Cash Rates vs. Deposit Rates
Replies: 5
Views: 998

Re: Cash Rates vs. Deposit Rates

According to BBG doc: "Cash rates are the interest rates at which banks can borrow funds from other banks in the market." Deposit rates are not explicitly defined but presumably are rates which banks can earn by depositing funds with other banks.
by acastaldo
December 5th, 2016, 8:28 pm
Forum: General Forum
Topic: Futures and ETF trading cost
Replies: 1
Views: 714

Re: Futures and ETF trading cost

You are apparently quoting from this piece from Eurex http://www.eurexchange.com/exchange-en/about-us/news/futures-or-etfs/1756374 the CME also attempts a similar, but different calculation on its website http://www.cmegroup.com/trading/equity-index/a-cost-comparison-of-futures-and-etfs.html I am no...
by acastaldo
October 1st, 2016, 12:41 am
Forum: Trading Forum
Topic: Limit Order vs. a Resting Order
Replies: 5
Views: 1151

Re: Limit Order vs. a Resting Order

if the limit order is executed immediately, isn't that a market order? Market order and limit order are different kinds of orders. Test your understanding of limit orders with these 2 questions: Q1 - The market is quoted 15.30/15.35 1000shs by 1000shs. I send a buy limit order for 100 shs with a li...
by acastaldo
September 30th, 2016, 4:21 pm
Forum: Trading Forum
Topic: Limit Order vs. a Resting Order
Replies: 5
Views: 1151

Re: Limit Order vs. a Resting Order

When you put in a limit order one of two things can happen: either the order executes immediately (sometimes called a marketable limit order), or the order does not execute immediately in which case it becomes a "resting (limit) order" and stays there until (1- it executes, 2-you cancel it or it is ...
by acastaldo
September 27th, 2016, 7:28 pm
Forum: Trading Forum
Topic: Can SP500 Index Close Fall Outside of Intra-Day Trading Range?
Replies: 7
Views: 1469

Re: Can SP500 Index Close Fall Outside of Intra-Day Trading Range?

I believe the problem arises because you are getting the close and the intraday data from different sources. Presumably the intraday data from S&P would match the S&P HLC data. Although S&P disseminates its own intraday data (and charges for it) many people calculate it on their own, and take the (f...
by acastaldo
September 26th, 2016, 4:42 pm
Forum: Student Forum
Topic: Newbie question about break-even inflation
Replies: 3
Views: 880

Re: Newbie question about break-even inflation

A few years ago some people said that 5yr5yr was Mario's favorite inflation indicator. (http://www.telegraph.co.uk/finance/econ ... t-now.html). So everyone started looking at it. Just like children's song "monkey see, monkey do".
by acastaldo
September 19th, 2016, 3:18 pm
Forum: Technical Forum
Topic: Is Brownian Motion Ergodic?
Replies: 48
Views: 4415

Re: Is Brownian Motion Ergodic?

Is Brownian Motion Ergodic? If only someone could invent a worldwide, searcheable network which stored published papers by academic luminaries and was readily accessible to every student or professional in the world. Then it would be easy to answer such questions. In the absence of this, perhaps yo...
by acastaldo
June 22nd, 2016, 5:59 pm
Forum: Student Forum
Topic: How to best hedge in this situation?
Replies: 9
Views: 1063

How to best hedge in this situation?

Quote I will buy the equity and the option [each] morning, and sell at EOD.Your broker loves the idea.
by acastaldo
June 16th, 2016, 12:19 am
Forum: Trading Forum
Topic: Starter reading list for retail quant trading
Replies: 16
Views: 5037

Starter reading list for retail quant trading

<t>Alan's very nice post reminded me of a published anecdote about Fischer Black. When he was in academia Black did a lot of thinking about the pricing of futures contracts, especially financial futures, which had recently been introduced. When he went to work for GS he began to take action based on...
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