SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by GregWallace
June 28th, 2005, 11:49 am
Forum: Technical Forum
Topic: Market Impact Measure
Replies: 2
Views: 146825

Market Impact Measure

It might be worthwhile to have a look at EQimpact.com.EQ estimates the ex-ante market impact of 8,500 stocks across 52 markets each day.
by GregWallace
March 14th, 2005, 5:16 am
Forum: General Forum
Topic: Help Quant Needed
Replies: 1
Views: 156764

Help Quant Needed

What country?
by GregWallace
March 14th, 2005, 3:52 am
Forum: General Forum
Topic: Intraday Stock Selection for custom BASKETS
Replies: 7
Views: 162457

Intraday Stock Selection for custom BASKETS

To PM someone click on the lock icon on the far right of their post.If they don't have one they have chosen not to be able to be PMed.
by GregWallace
March 9th, 2005, 9:26 pm
Forum: Trading Forum
Topic: Best Execution
Replies: 4
Views: 158203

Best Execution

<t>OK, I will re-phrase the question.How do you know if execution has been done well?If you are a portfolio manager, how do you know if your in-house dealer is doing a good job executing your orders?If you are an institutional dealer, how do you know if your broker is doing a good job executing your...
by GregWallace
March 9th, 2005, 2:00 pm
Forum: Technical Forum
Topic: Additive assymetric distributions ...
Replies: 6
Views: 157582

Additive assymetric distributions ...

Similarly, are there any multiplicative distributions which give the same functional form?
by GregWallace
March 9th, 2005, 10:46 am
Forum: Student Forum
Topic: About CAPM
Replies: 1
Views: 156556

About CAPM

Best to just single post.Refer answers in General Forum.
by GregWallace
March 9th, 2005, 10:41 am
Forum: Trading Forum
Topic: Best Execution
Replies: 4
Views: 158203

Best Execution

<t>I have found no commonly agreed definition of "Best Execution" and suspect that it means (vastly) different things to different people, depending on their role in the markets.For those of you who execute trades, either for your fund or book or as a broker for institutional clients, what does "bes...
by GregWallace
March 9th, 2005, 10:32 am
Forum: Technical Forum
Topic: Urgently Need weight/MarketCap data for the MSCI Emerging Markets index
Replies: 1
Views: 157562

Urgently Need weight/MarketCap data for the MSCI Emerging Markets index

What specifically are you after?Regional weights?Country weights?Stock weights?
by GregWallace
March 9th, 2005, 10:30 am
Forum: General Forum
Topic: CAPM question
Replies: 8
Views: 158772

CAPM question

<t>Hi lwb 120As James H83 mentioned CAPM is more of a long-term or strategic measure.You are right that if ri is negative then DON'T invest in the underlying security (or short it if you are able).Thus CAPM is giving you exactly the correct signal.There is however, another issue.Please do not confus...
by GregWallace
March 9th, 2005, 2:15 am
Forum: Off Topic
Topic: The John Eales Bridge
Replies: 3
Views: 156910

The John Eales Bridge

<t>Mission: New Bridge at Wembley StadiumDo you love your rugby or despise the poms?Yes I know this is childish, but if we didn't get so much fun out of winding up the English we would stop doing it, wouldn't we?It's that time of the year again for Australians to play havoc with an online vote. This...
by GregWallace
March 7th, 2005, 8:37 pm
Forum: General Forum
Topic: Quant or Quants
Replies: 8
Views: 159165

Quant or Quants

My concern is that there is an upcoming IIR conference in Australia called "Quants 2005" about "Quantitative Techniques for Investment Risk Management".Common Australian usage suggests the conference should be called "Quant 2005".
by GregWallace
February 26th, 2005, 9:26 am
Forum: Programming and Software Forum
Topic: VBA Msgbox question
Replies: 4
Views: 158941

VBA Msgbox question

If you are not hugely time-constrained for your result you could try using sendkeys.However, you also need to know when to send these keys and that may not be obvious.An inelegant solution which may be useful in practice...
by GregWallace
February 26th, 2005, 9:09 am
Forum: Trading Forum
Topic: Block Trades
Replies: 4
Views: 159178

Block Trades

<t>If the "people" you are referring to are the trade initiators it is because they recognise that there is market impact in their trade.And they are willing to pay for peace of mind (refer PaperCut's comments re fear).If the "people" are liquidity providers it is because they want flow and are will...
by GregWallace
February 24th, 2005, 10:17 pm
Forum: Careers Forum
Topic: desk quant or modeller?
Replies: 4
Views: 159548

desk quant or modeller?

touche
by GregWallace
February 24th, 2005, 2:03 pm
Forum: Careers Forum
Topic: desk quant or modeller?
Replies: 4
Views: 159548

desk quant or modeller?

.... and if you want insights into predicting transaction costs we should talk.
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