SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Alan
Yesterday, 3:11 pm
Forum: Technical Forum
Topic: Value of option on stationary price process
Replies: 4
Views: 76

Re: Value of option on stationary price process

It depends. You have to see if you can construct an 'equivalent' Q-measure process that (after discounting) is a martingale.  If you can, I'd say the answer is 'yes'; otherwise 'no'. Equivalent means the two processes agree on which events are possible and impossible. To avoid unnecessary complicati...
by Alan
September 19th, 2018, 5:36 pm
Forum: Student Forum
Topic: Recommendation on Quantitative Finance Research Papers for Undergraduates
Replies: 13
Views: 294

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

Hi,  My name is Galvin and I am a university Freshman.  As part of my university's curriculum, I have been tasked to prepare a popular science article on a mathematics research paper. The target audience of the popular science article is the general public. I would like to write a science article b...
by Alan
September 19th, 2018, 4:02 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 1959
Views: 38766

Re: Trump -- the last 100 days

No, you're mis-reading him. The 'moral chaos' refers to his points above that sentence: Those who claim the charges against Judge Kavanaugh by Christine Blasey Ford are important and worth investigating, and that they ultimately, if believed, invalidate his candidacy for the U.S. Supreme Court are s...
by Alan
September 19th, 2018, 2:58 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 1959
Views: 38766

Re: Trump -- the last 100 days

D. Prager: The Charges Against Judge Kavanaugh Should Be Ignored He makes a good case. But I think his accuser should be offered, once again and finally, a chance to come forward next week and tell her story under oath -- in closed session if she wants. If she maintains her "wait for the FBI&q...
by Alan
September 12th, 2018, 6:19 pm
Forum: Off Topic
Topic: Yalies no longer the great unwashed
Replies: 76
Views: 130289

Re: Yalies no longer the great unwashed

ppauper wrote:
science news from Yale
Scientists Bring A Severed Pig's Brain Back To Life, Sparking Ethical Debate
I think it was futurama used to feature reanimated (pun intended) severed heads

Image
by Alan
September 11th, 2018, 7:39 pm
Forum: Off Topic
Topic: Music of the Seventies, The best decennium
Replies: 252
Views: 14059

Re: Music of the Seventies, The best decennium

I remember this show!  Bill Graham (famous Bay area concert promoter) used to put on various "Days on the Green" festivals at Oakland stadium. I see the ticket price was $11 -- price of a beer at, say, Coachella fest nowdays.  :D QxIWDmmqZzY http://www.rtuten.com/assets/images/uploads/1002...
by Alan
September 11th, 2018, 4:33 pm
Forum: Trading Forum
Topic: Correlation & Volatility - what returns period to use ?
Replies: 4
Views: 176

Re: Correlation & Volatility - what returns period to use ?

I'd use daily returns for everything. You might have to shift the Nikkei back one day to get maximum correlation. If so, just report that you are calculating the correlation associated to the shifted cross-covariance [$]Cov(X_t,Y_{t+1})[$], where X is the SPX return and Y is the Nikkei return.
by Alan
September 11th, 2018, 1:13 am
Forum: Careers Forum
Topic: Help me choose modules
Replies: 6
Views: 163

Re: Help me choose modules

Take a C/C++ course from the computer science department, a machine learning course from the electrical engineering dept., and an econometrics course from the econ dept. Sorry it doesn't correspond much to your list, but you'll get to see how the other guys think, and probably end up sleeping in the...
by Alan
September 11th, 2018, 1:02 am
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 1959
Views: 38766

Re: Trump -- the last 100 days

Fair enough and a clear position.
by Alan
September 10th, 2018, 3:27 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 1959
Views: 38766

Re: Trump -- the last 100 days

Ken Livingstone: Chaos in White House is not just about Trump, but flawed US political system ...  When the Constitution was drawn up, it was determined that no president should have the sort of powers which the old King of England possessed ... Hmm ... I've heard that critique before:  QuK3zSxG4cs
by Alan
September 10th, 2018, 2:51 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 1959
Views: 38766

Re: Trump -- the last 100 days

The Supreme Court in [I[Brown[/I] reached the right result but applied the wrong analysis. Rather than flatly rejecting Plessy 's faulty reasoning as a Fourteenth Amendment equal protection violation, the Court opened a Pandora's box of judicial activism moored in sociology and psycho-analysis. Ple...
by Alan
September 9th, 2018, 10:11 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 1959
Views: 38766

Re: Trump -- the last 100 days

I don't know -- reading the Wikipedia summary, it's pretty clear PICS presented *very* close issues for the court. What did you think of my earlier point that conservatives see Constitutional rights invented in Roe, but no similar invention in Brown v. Board of Education, which you apparently support?
by Alan
September 9th, 2018, 8:34 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 1959
Views: 38766

Re: Trump -- the last 100 days

While I think we are, broadly speaking, on the same side of this argument, I have two counterpoints. First, if the hearings and associated email releases have demonstrated anything, it would be that Kavanaugh has a history of lying through his teeth, even under oath. Second, I have absolutely no do...
by Alan
September 9th, 2018, 6:40 pm
Forum: Off Topic
Topic: Your least favourite (a.k.a. most hated) city
Replies: 20
Views: 253

Re: Your least favourite (a.k.a. most hated) city

I like Vancouver
by Alan
September 9th, 2018, 4:17 pm
Forum: Off Topic
Topic: Your least favourite (a.k.a. most hated) city
Replies: 20
Views: 253

Re: Your least favourite (a.k.a. most hated) city

Blythe, California -- esp in August. Hot, muggy, and entertainment consists of a Dairy Queen and a bowling alley. I had a college summer job working in Boulder Dam Colorado River control. Nice people in Boulder, ok job, and I stayed with my parents in Las Vegas. Unfortunately, part of the deal was t...