<t>I'm with PunterGoop -- The Uston book is a great read and, without poo-pooing the MIT team (their P&L speaks for itself), the team has received a lot of notarity and much of it was due to marketing "in a hot market" for such stories. In my opinion, give the MIT kids an "A" for originality for...

...exponentially weighting the time series will have a smooothing effect...

monygel,Where can we find a copy of the paper you currently have?

Thanks, Aaron!

<t>... which leads us to vector error correction model. So am I correct in saying that, assuming said 'exogenous macro event of noteworthy repute' isn't a long-term, redefining regime change for the economy, the marketplace or more specifically for stock A or stock B, the true characteristics of tha...

<t>I suggested higher implied correlations to infer that correlations are up across the board -- and I now realize this -- Let me start over by first noting that in my original post I made a typo: 'would "prolong"' should have been 'wouldn't "prolong"'.Redux:Pairs trades seem quite paraochial and su...

Does higher implied correlation in the indices generally "challenge" price-mean reverting equity pairs books? It seems that higher correlation would "prolong" the amount of time that stocks need to mean revert...

<t>Laet night (5.2) I visited the MS Downloads site looking for upddates, patches, etc. and I vaguely remember downloaded something that acknowledged that Excel sometimes "sometimes gets it wrong" (No!....Really!?!) using SLOPE() and a few other regression like functions. Perhaps you are experiencei...

OK.... It's been a couple of months -- Any updates/news on the VB.NET to Bloomberg API front? Any recent war stories? Thanks to all.

This is a question for the General board.Get a basic option pricing textboook like Natenberg and review the basics of the differences between Calls and Puts, then call verticals and put verticals, then reversals and conversions...'Gotta know the plain vanilla stuff...

<t>Those were my thoughts, too... I suggested that since the correlation trade would not be "perfect" to the book, owning some SPX premo (I suggested staying in the front two months) was the way to go -- Such a hedge is just as "imperfect" as the dispersion trade, considerably more efficient and kee...

<t>Recently I was looking at the P&L performance of a large pairs book. At first glance, the book's P&L was "mostly L" during periods of increased volatility. Further inspection, however, seemed to show that the culprit was really increased index correlation (SPX correlation -- most of the b...

<t>You entered an order that was for less than 5 contracts -- that's most likely the reason your order was treated as such.In general, an options specialist/DPM/LMM, etc. "may, but is not obligated" to post your order at your limit if it is under a certain number of contracts. (This is because he mu...

<t>In estimating the 60 day EWMA of the correlations of pairs of large cap US stocks, what value lambda is suggested? How about if one shortened the period to 20 days? To date all that I've come up with is "'keep it between .80 and .97"...All of the literature I've read refers to lambda only in the ...