Not offering a proof but I would guess that people dont like inflation numbers to be volatile due to differences in say the different types of shirts in the basket of goods and a geometric average is less volatile than an arithmetic average ceteris paribus.

google "Brent-WTI spread broken: analyst"

<t>I don?t see why a strategy that beats an investible benchmark such as the GSCI can?t be considered as alpha. Alpha is a measure of the skill of an investment manager so whether you?re using moon cycles or TA, as long as you?re beating your investible benchmark you?re adding value. The problem mig...

<t>Given that you?ve got a degree in CompSci and Engg you probably know something about differential equations, Linear Algebra, Statistics and probability, in which case you?ll be fine. You have to pass a qualifying exam. I think term has already started so you might need to ask the department if it...

That's interesting i seem to find loads when i google the word "Msc Financial Engineering" and filter for UK sites only.

if they are correlated then that implies they are not independent which implies that the joint probability distribution can't be written as a product of pdfs of each variables separately.

Someone told me that Ostrom’s work was on the solutions to the problem of overfishing, which doesn’t seems sufficiently revolutionary for a Nobel Prize in Economics; but it seems her work has much wider application and implications which could explain the decision.

Wasn't the "Four Colour Theorem" proven by computer?

<t>This is an interesting chart with events that impacted on the Gold price over the last 30 yearshttp://news.bbc.co.uk/1/hi/business/7284184.stmYou can see that gold prices peaked to over $800 in 1979 but what's interesting is that if you adjust for inflation, the $800 in 1979 would be over $2,000 ...

<t>I would approach it this way: The denominator of the returns calculation should be the amount you are keeping aside to meet the losses that might occur from your futures position, including the deposit margin. This should be at a level such that if losses reach this level then you would close you...

<r>This article suggests excessive profits-<URL url="http://www.telegraph.co.uk/finance/newsbysector/banksandfinance/6224004/Survivor-banks-will-grow-fat-on-fees-gravy-train.html"><LINK_TEXT text="http://www.telegraph.co.uk/finance/news ... train.html">http://www.telegraph.co.uk/finance/newsbysector...

<t>I'd look at it as an investment opportunity in terms of the Sharpe-ratios.The Sharpe-ratio would be approx unchanged if you charge twice as much for doubling your position and standard deviation.However even if the risk is normal, you can not indefinitely double the position and the charge becaus...

<t>Let P(t) = probability of spending the gift card by time tValue of gift card with limited life-span n =$5 x P(n) + $0 x {1-P(n)} = $5 x P(n) Value of gift card with unlimited life =$5 x P(All n) = $5 x 1 = $5So the value difference will depend on your consumption preferences, which in turn determ...

<t>Well the explanation is: unemployment is a lagging indicator and stock markets are a forward looking indicator. When you’re at the bottom of the cycle, the stock markets anticipate a recovery in the near future and so stocks go up. But unemployment will continue to rise until actual demand in the...

<t>I would have thought that if a stock jumps and stays at that level for the rest of the day, then the High-Low for that day is zero, as the stock has not moved at all from the open; whereas the close to close change, is the value of the jump. So when you calculate the vol using high to low you cou...