Serving the Quantitative Finance Community

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by PinballWizard
July 19th, 2007, 8:26 pm
Forum: Programming and Software Forum
Topic: statistics & .NET
Replies: 2
Views: 69243

statistics & .NET

Implemented the exact same solution using .NET and matlab - works well.
by PinballWizard
June 15th, 2007, 8:30 pm
Forum: Programming and Software Forum
Topic: Calling Matlab from C#
Replies: 2
Views: 73115

Calling Matlab from C#

You can compile matlab code to a COM DLL using the Matlab COM builder (or the newer .Net version), and call it from a .Net application (e.g. C#)
by PinballWizard
December 1st, 2006, 5:14 pm
Forum: Book And Research Paper Forum
Topic: Econometrics books focus on dirtying our hands and implementation
Replies: 9
Views: 89255

Econometrics books focus on dirtying our hands and implementation

I can recommend this book, although it is fairly elementary:Introductory Econometrics for Finance (Chris Brooks)
by PinballWizard
November 8th, 2006, 5:19 pm
Forum: Book And Research Paper Forum
Topic: a plea to wannabe authors
Replies: 23
Views: 91324

a plea to wannabe authors

<t>A plea to all authors: please, please be original!!There are far too many derivative books out-there that just regurgitate what's already available in many other books. I just don't get it.Secondly, please think of the practitioner reading your book - who needs to put theory into practice - think...
by PinballWizard
September 29th, 2006, 5:01 pm
Forum: Programming and Software Forum
Topic: Anyone using Excel Add-Ins for MC simulation?
Replies: 7
Views: 92565

Anyone using Excel Add-Ins for MC simulation?

PopTools is another (free) add-in. Quite good - not as extensive as @Risk though.
by PinballWizard
September 6th, 2006, 2:52 pm
Forum: Programming and Software Forum
Topic: Excel VBA builder tools??
Replies: 8
Views: 94449

Excel VBA builder tools??

You can do exactly that by using the personal workbook feature of Excel - or package all comon code in an add-in.
by PinballWizard
July 5th, 2006, 6:26 pm
Forum: Programming and Software Forum
Topic: Looking for a C# Matrix Library
Replies: 6
Views: 119848

Looking for a C# Matrix Library

Interfacing C# to compiled Matlab routines (COM Compiler) works great.
by PinballWizard
July 5th, 2006, 6:23 pm
Forum: Book And Research Paper Forum
Topic: pairs trading
Replies: 3
Views: 103058

pairs trading

Vidyamurthy is the only one worth reading... but don't be fooled by the level of quant modeling involved... it's all good to have good underlying theory, but the trading rules you 'll eventually apply will define your success.
by PinballWizard
July 5th, 2006, 6:20 pm
Forum: Book And Research Paper Forum
Topic: Applied Quantitative Methods for Trading and Investment
Replies: 2
Views: 101658

Applied Quantitative Methods for Trading and Investment

This is actually a very good book. The authors generally try to go beyond the academic & theoretical models and discuss mundane details such as ... implementation.definitely worth getting.
by PinballWizard
June 15th, 2006, 7:37 pm
Forum: Book And Research Paper Forum
Topic: The Poker Face of Wall Street by Aaron Brown and Nassim Taleb
Replies: 141
Views: 155428

The Poker Face of Wall Street by Aaron Brown and Nassim Taleb

Nassim Taleb was on the cover of that ...hum..."publication" only a couple of months ago... what's going on!
by PinballWizard
February 14th, 2006, 6:38 pm
Forum: Programming and Software Forum
Topic: COM addin for excel
Replies: 17
Views: 120656

COM addin for excel

Excel is fully COM compliant. You can create a COM dll using any language you want and call it from a VBA wrapper.
by PinballWizard
December 20th, 2005, 1:24 pm
Forum: Book And Research Paper Forum
Topic: Anyone know of a free ebooks site
Replies: 11
Views: 178467

Anyone know of a free ebooks site

Actually - there's no need to go to the other web-site. The instructions require only elementary reading skills.
by PinballWizard
December 19th, 2005, 4:45 pm
Forum: Book And Research Paper Forum
Topic: Anyone know of a free ebooks site
Replies: 11
Views: 178467

Anyone know of a free ebooks site

Hull, Greene, Jorion, Rubinstein & many many more.... unreal
by PinballWizard
November 22nd, 2005, 3:34 pm
Forum: General Forum
Topic: mean reversion
Replies: 4
Views: 129267

mean reversion

you can simulate it (e.g. using OU process) and obtain the distribution of deviations from equilibrium.
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