Serving the Quantitative Finance Community

Search found 104 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 7
by Charlie
June 6th, 2006, 3:13 pm
Forum: Book And Research Paper Forum
Topic: Terms of trade and real exchange rates: the Canadian evidence
Replies: 0
Views: 102509

Terms of trade and real exchange rates: the Canadian evidence

Has anyone got a copy of this paper?"Terms of trade and real exchange rates: the Canadian evidence" Robert A. Amano, Simon van Norden Journal of International Money and Finance, Volume 14, Issue 1 , February 1995, Pages 83-104Charlie
by Charlie
May 31st, 2006, 6:29 am
Forum: Programming and Software Forum
Topic: Looking for a C# Matrix Library
Replies: 6
Views: 120274

Looking for a C# Matrix Library

<t>I use Mapack by Lutz Roeder and have done so for several years. It works fine for me. It could be improved by:- intrinsic support for complex matrices (although this is more of a .NET problem which will maybe go away in future versions?)- seperation of the basic matrix functions and the linear al...
by Charlie
November 1st, 2005, 8:31 am
Forum: Trading Forum
Topic: FOREX High Frequency Data
Replies: 9
Views: 164570

FOREX High Frequency Data

What sources are there for signed order-flow data? (Both historically and contemporaneously)?
by Charlie
August 31st, 2005, 9:44 am
Forum: General Forum
Topic: Use of Sharpe Ratio criticised by Bill Sharpe
Replies: 11
Views: 139339

Use of Sharpe Ratio criticised by Bill Sharpe

<r>Has anyone seen any fuller coverage of this? I found it on the <URL url="http://www.village.albourne.com">www.village.albourne.com</URL> website. (And I haven't got access to WSJ Interactive!!)posted on Wednesday 31 Aug 2005 07:24 BST From Wall Street Journal Interactive"The Wall Street Journal r...
by Charlie
June 17th, 2005, 6:06 am
Forum: Programming and Software Forum
Topic: Regime Switching Econometrics
Replies: 2
Views: 146958

Regime Switching Econometrics

<t>Thanks. I've got my code working now. It is ALL there in Hamilton's excellent book. Take a prior on the transition matrix/ variables (say mean, stdev etc.) and initialstate probabilty vector ( in the book. Then using the formulae in the book calclate the forecast, infered, and smoothed probabilit...
by Charlie
June 7th, 2005, 9:24 am
Forum: Programming and Software Forum
Topic: Regime Switching Econometrics
Replies: 2
Views: 146958

Regime Switching Econometrics

<t>Have any of you implemented any of the numerous techniques for looking at regime switching in econometrical models. There is a chapter in Hamilton's book (Time Series Analysis) and a couple of papers by him (1989 & 1990, although I haven't been able to track down copies). However I am finding...
by Charlie
June 6th, 2005, 12:55 pm
Forum: Student Forum
Topic: Regime Switching code
Replies: 1
Views: 149090

Regime Switching code

<r>I don't use those languages, but like you have been looking for examples. This page seems to have some. but you will have to tell us if it works/ is useful!<URL url="http://www.nek.lu.se/nekuer/tsa05/Markov/markov.htmDo">http://www.nek.lu.se/nekuer/tsa05/Markov/markov.htmDo</URL> you have the Ham...
by Charlie
February 2nd, 2005, 1:54 pm
Forum: Technical Forum
Topic: OAS papers
Replies: 3
Views: 190481

OAS papers

do these papers exist in electronic form? I can't find a reference in the book forum!ThanksCharlie
by Charlie
December 8th, 2004, 7:42 am
Forum: The Quantitative Finance FAQs Project
Topic: Subjects, please...
Replies: 430
Views: 403484

Subjects, please...

This comes up often enough in the papers to warrant being here, I think. And I am forever forgetting the answer.We all know what min and max mean. But which corresponds to and which to ?
by Charlie
November 29th, 2004, 3:24 pm
Forum: Programming and Software Forum
Topic: Non-Zero based Arrays in C#
Replies: 1
Views: 168046

Non-Zero based Arrays in C#

Anyone know why the following does not work?
by Charlie
November 26th, 2004, 3:45 pm
Forum: Programming and Software Forum
Topic: Caching Applications Block and other Scary Things
Replies: 5
Views: 168790

Caching Applications Block and other Scary Things

Microsoft also have no bugs. Surely this is common knowledge?!QuoteSo, should be OK now?hmmm. i wish. caching isn't my bug problem, it is just a BUG bear! but no, caching is still not implemented (apart from one i wrote myself) have a good weekend
by Charlie
November 26th, 2004, 3:03 pm
Forum: Programming and Software Forum
Topic: Caching Applications Block and other Scary Things
Replies: 5
Views: 168790

Caching Applications Block and other Scary Things

<t>Hello. thanks for the quick reply.Disconnected recordsets are ADO technology. I am using C# and ADO.NET. My understanding is that a dataset in ADO.NET is disconnected anyway. I could serialize the object to disk as xml (or some other format) and make it a shared file (protected using mutexes), bu...
by Charlie
November 26th, 2004, 2:35 pm
Forum: Programming and Software Forum
Topic: Caching Applications Block and other Scary Things
Replies: 5
Views: 168790

Caching Applications Block and other Scary Things

<t>A totally non-financial question!I need to retrieve data from a database (at the moment Access, but moving to SQL). I don't want to have to wait to re-retrieve the data every time I encounter a small bug in my code. So I though of using a cache.ASP.NET cache seems easy enough to use. However it s...
by Charlie
November 24th, 2004, 3:14 pm
Forum: Student Forum
Topic: Bivariate Normal Distribution resources
Replies: 3
Views: 168893

Bivariate Normal Distribution resources

If you're wanting a numerical approximation try Alan Genz's web page http://www.sci.wsu.edu/math/faculty/genz/homepage
by Charlie
November 24th, 2004, 3:01 pm
Forum: Student Forum
Topic: negative interest rates?
Replies: 6
Views: 170066

negative interest rates?

Or read Repurchase Agreements with Negative Interest Rates
  • 1
  • 2
  • 3
  • 4
  • 5
  • 7