SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Edgey
November 27th, 2018, 11:12 am
Forum: General Forum
Topic: Boring
Replies: 35
Views: 3153

Re: Boring

Being a quant is the join between maths and finance.  Finance on it's own is boring, but stick some maths on it and it's suddenly interesting (and you can get paid a lot of money for it).   Maybe you just need some suggestions for new maths that can be applied to finance.   For example, are you fami...
by Edgey
February 7th, 2018, 11:13 am
Forum: Trading Forum
Topic: Some volatility products may terminate tomorrow
Replies: 13
Views: 1927

Re: Some volatility products may terminate tomorrow

How do banks like Credit Suisses hedge their "short volatility etf XIV" products?  
I presume they sell options at various strikes and maturities, but how do they control the basis risk?
by Edgey
June 21st, 2017, 3:25 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 797
Views: 83000

Re: End of bitcoin?

The headline Bitcoin Mining Craze Sees US Sell Out Of AMD Graphics Cards is incorrect.  

GPUs are too slow.  The hash calculation for bitcoin has moved to ASICs.  
Maybe they are being used for other coins, like ethereum or zcash (which would be much better for ransomware as it is anonymous)
by Edgey
May 15th, 2017, 3:56 pm
Forum: Trading Forum
Topic: Implementing put protection - theory
Replies: 2
Views: 904

Implementing put protection - theory

I'm looking into implementing put/put spread protection for a pension scheme, probably written on the Eurostoxx 50.   I've got some trading advice from Bloomberg (e.g. buy at 25-30 delta, currently historically low implied vol), but I'm looking for some financial theory.  For example:-  When is the ...
by Edgey
January 13th, 2017, 11:03 am
Forum: Programming and Software Forum
Topic: Execute R script from Excel
Replies: 4
Views: 1045

Re: Execute R script from Excel

Try sticking with RExcel.  I think you can control Rexcel through VBA, so that may reduce the clicking.  

Otherwise why not ignore excel completely and let R do all the work.  Use the libraries XLConnect, r2excel etc. to read and write what you need directly to the spreadsheets.  
by Edgey
August 30th, 2016, 4:49 pm
Forum: Trading Forum
Topic: Modelling Bid-Ask spread using explanatory variables
Replies: 26
Views: 2303

Re: Modelling Bid-Ask spread using explanatory variables

Are you looking at spot prices or futures?  Asking about Bid and Ask pricing is very confusing in this context.  Do you actually mean Supply and Demand pricing? In terms of spot price Renewable (Wind/Hydro/Solar/Nuclear) tend to bid at 0 Thermal (Coal, Gas, Bio) bid at their marginal cost, sometimes...
by Edgey
August 17th, 2016, 1:43 pm
Forum: Economics Forum
Topic: Blockchain ledgers for banks
Replies: 29
Views: 4431

Re: Blockchain ledgers for banks

1 Ledgers can be public, but (partially) encrypted.  Value could be determined by the regulator without exposing all information to all parties.   2 If the ledger is self contained (a la bitcoin) then reality = record.  But if you want some real world value on the blockchain then you need some sort ...
by Edgey
July 12th, 2016, 2:36 pm
Forum: Book And Research Paper Forum
Topic: [Request] Fixed vs Floating irates - Existence of a risk premium
Replies: 11
Views: 996

Re: [Request] Fixed vs Floating irates - Existence of a risk premium

List1 - Paul restates my question far better than I could explain.  Please let me know if I can clarify further.   Paul - Found a copy.  Thanks!  Paper link A very interesting read.  Just what I was looking for.  I'll add some comments if I may:- The sample period covered in the paper is one of decr...
by Edgey
July 11th, 2016, 4:56 pm
Forum: Book And Research Paper Forum
Topic: [Request] Fixed vs Floating irates - Existence of a risk premium
Replies: 11
Views: 996

Re: [Request] Fixed vs Floating irates - Existence of a risk premium

It seems this new formatting has some teething trouble.  Anyway. An example.   I can issue fixed at 2% for 10 years or I can issue floating at 0.5% now and take a gamble on future rates.   No arbitrage/financial theory tells me that I should be indifferent.  On average the floating rate will follow ...
by Edgey
July 11th, 2016, 10:03 am
Forum: Book And Research Paper Forum
Topic: [Request] Fixed vs Floating irates - Existence of a risk premium
Replies: 11
Views: 996

[Request] Fixed vs Floating irates - Existence of a risk premium

So I got into an office argument about whether or not there is a risk premium for issuing debt as a floating rate risk rather than fixed (ignoring credit spread effects).   What I'm looking for is an empirical paper that shows that a premium doesn't (or does) exist.  Can anyone point me towards a so...
by Edgey
June 14th, 2016, 2:50 pm
Forum: Technical Forum
Topic: Reliability of historical Bundesbank data for risk management purposes?
Replies: 6
Views: 711

Reliability of historical Bundesbank data for risk management purposes?

Whatever risk management you are doing, I'd look to repeat the same analysis using long term historical GBP and USD rates to get a fuller picture.
by Edgey
May 4th, 2016, 7:52 am
Forum: Programming and Software Forum
Topic: Virtual Reality
Replies: 30
Views: 7303

Virtual Reality

<t>Live sports and music can be captured in 360º video, but that's not quite the same as being there as you can only rotate your head, not move it. My bet would be that the main application (outside games) will be drama. You can take any current theater production, motion capture the actors, enhance...
by Edgey
May 2nd, 2016, 2:16 pm
Forum: Programming and Software Forum
Topic: The future for Excel VBA
Replies: 35
Views: 5581

The future for Excel VBA

@fulmerspotExcel server is different to the Data Model, (which is like Pivottables 2.0) that is programmed using DAX. There doesn't seem to be a way to add UDFs to the DAX language.
by Edgey
April 6th, 2016, 12:54 pm
Forum: Technical Forum
Topic: Model for these electricity prices?
Replies: 8
Views: 2468

Model for these electricity prices?

The cleanest method I've seen for electricity pricing is Valery Kholodnyi's Non markovian approach, where you switch between (more spikey and less spikey) regimes with a given transition matrix. Paper attached.
by Edgey
March 30th, 2016, 2:19 pm
Forum: Programming and Software Forum
Topic: The future for Excel VBA
Replies: 35
Views: 5581

The future for Excel VBA

<t>I think VBA will remain and stagnate. MS are pushing powerquery and powerpivot for database connection and creating pretty, interactive visualisations. There is no way to add UDFs within this environment, although the power BI desktop application allows you to add graphs created by an R script. I...
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