<t>Thanks - the jam analogy hits the spot :-)But we can get fat tails two ways then. We can "squeeze" the middle and thus end up with a peaked distribution and fat tails. Or we can flatten the top and push the distribution out to its tails - of course, this also increases variance and maybe that can...

<t>With kurtosis defined as:kurtosis = E[ (X - Xbar)^4 ] / (sigma^4) - 3(so normal distribution will have kurtosis=0), would we expect kurtosis to be +ve or -ve for a fat-tailed distribution (i.e. fat tailed as compared to the normal distribution), e.g. t-distribution?I normally would've said - "hig...

How about in the area of statistics and general number-crunching? Python being a possible MatLab replacement sounds intriguing - how does Perl compare with its large base of CPAN modules?

<t>Do people use regression to try to predict the vol skewness?What I mean is this - say I regress the implied vol of a large number of options against the greeks of the options and time to expiration. Then for an option with unknown price, I can calculate its greeks (by using some sort of average v...

<t>hey all, Am looking for some pointers/advice here. First, let me explain what I understand about correlation skew as it applies to the work I am doing right now - looking at correlation skews of TRAC-X tranches.TRAC-X has a number of tranches all on the same underlying basket of names. People see...

<t>Hi all,I am a newbie and still a student, so would appreciate help and advance apologies for mistakes.Problem: Calculate VaR analytically for a portfolio of options. The options are on the same underlying except that they have different strike prices and expiration. Our solution: Calculate the gr...

<t>The data being organized is because they do something similar to what you recommend. They have great Excel Add-Ins for querying the database and retrieving the data they need.As for processing, the overnight work to produce Excel files is _exactly_ what I want to do - my questions is: what do I u...

<t>Thanks guys.I am working in NYC for a European bank - hmm, that pretty much narrows it down, doesn't it?Their data is quite well organized actually. We have pretty solid Excel add-ins that retrieve almost any series we can think of into a spreadsheet. We also have a good number of analytics built...

<t>Hi all,I am working for the fixed income strategy research group of a large sell-side firm, helping them build a few models. My background is IT and am doing an MBA right now, trying to make an entry into the strategy research field. Not as quant as most of you guys, and am trying to help out whe...

I am also in similar shoes - any other options besides sales/trading?How about fixed income research? Equity strategy (a la Richard Bernstein) - granted, not quant heavy, but definitely fun and requires some quant background along with a general business application sense.

<t>What kind of careers/jobs can an MIT/Sloan Fin Engr track lead to? One response I have gotten from people I have talked to and from other postings on this forum is that you really need a PhD to be competitive in this market for any type of research quant work. Sales, trading, and marketing types ...

<t>Hi:I am building a model to evaluate treasury butterfly trades. The basic idea is for the model to run every night and go through a number of triplets of possible outstanding treasuries; for each possible triplet picked, calculate the weights for 50/50, regression weighted, and pca butterflies; c...

Apologies - didn't realize there was a software forum - will repost the question there.Feel free to ignore this post/post your reply on the software forum/flame me.

<t>Hi:I am building a model to evaluate treasury butterfly trades. The basic idea is for the model to run every night and go through a number of triplets of possible outstanding treasuries; for each possible triplet picked, calculate the weights for 50/50, regression weighted, and pca butterflies; c...

<t>Recently talked with an alum of my school who said "forget about quant positions unless you have a PhD" - how far is that true? I have 8 years of technology experience (started as a C++ programmer, ended as a technical architect), and am currently doing an MBA from a good school.Unfortunately, my...