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by BretXu
July 19th, 2005, 11:14 pm
Forum: General Forum
Topic: Intraday Volatility Calculation
Replies: 1
Views: 141752

Intraday Volatility Calculation

<t>I would like to know how people calculate intraday volatility for equity markets? Unlike FX that opens 24 hours, equity markets close everyday. So there is an over-night jump in the price between the open and last evening's close. If one uses 5-min interval for variance calculation intraday, how ...
by BretXu
July 7th, 2005, 11:59 pm
Forum: Careers Forum
Topic: S-Plus or MATLAB
Replies: 13
Views: 148100

S-Plus or MATLAB

I am just curious, in the industry (particularly statistical arbitrage areas), which software package is more commonly use, S-Plus, MATLAB or another? Thanks.
by BretXu
June 23rd, 2005, 9:42 pm
Forum: General Forum
Topic: Variance Swaps with Dividend
Replies: 6
Views: 144986

Variance Swaps with Dividend

How do I factor dividend yields into pricing variance swaps. I can't find any paper on that.
by BretXu
October 25th, 2004, 11:53 pm
Forum: General Forum
Topic: Unit Root test for stationarity
Replies: 2
Views: 171102

Unit Root test for stationarity

<t>In time series, an AR(1) process stationary if the coefficient alpha lies inside the unit circle (in other words, absolute value of alpha is less than 1). In Dickey Fuller test for stationarity, they look at t-statistics (one-sided) on the beta coefficient of the regression to make sure it is sig...