Thank you so much Traden4Alpha and GammaSkimmer!David

<t>Dear all, I came across a question on capacity of a specific strategy, and I wish someone could show me some pointers. For instance, if I have a strategy that only trades S&P500 options. How does one estimate the capacity of such a strategy? Would you look at avg daily trading volume/value? T...

<t>This actually comes from a real-life problem. Any help in tackling the problem is much appreciated. Thanks so much,DavidA real-life Portfolio Optimization Problem A portfolio invests in cash and securities with an initial capital C Assume cash yields zero return; assume 260 trading days in a ye...

<t>Dear all, I am studying the empirical stochastic volatility model derived in "Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits" by Oztukel and Wilmott (1996). I was wondering if anyone has an algorithm/code on the implementation of the volatility estimation pro...

Dear all, Do you know where I could find historical daily options data for the US Mkts? I have data back to Mar 2002, but I was wondering if I can find older data. Many thanks,David

Dear all, Do you know where I could find historical daily options data for the US Mkts? I have data back to Mar 2002, but I was wondering if I can find older data. Many thanks,David

Dear all, I would really appreciate it if you could suggest some resources/research work on risk management of an options portfolio. Thanks a lot for your help!David

Thank you all for your help!David

<t>Dear all, I have a question on the validity of backtesting process and results. Any input/suggestion/criticism is much appreciated!1. Suppose I have an indicator (let's use simple moving average as an example). I use 5, 10, 15, 20 days for SMA calculations, and use these SMAs to predict the retur...

MIT's PhD program in Finance is one of the top Finance PhD programs in the US. DKL

<t>To all: Your help is much appreciated!I have a time series of asset price {X(t)}, t=1,2…n, and an return function R*(t) that calculates the average return from t=j to t=j+k, taking into account the entire path of prices from X(j) to X(j+k). I could calculate the value of R*(t) for t=1 to t=n-k, b...

Hi quantstudent19, I am interested in applying to the LSE MSc in Finance and Economics. In general, what kind of credentials do one need to get accepted? Thanks!DKL

For fresh grads, some larger fund houses (Fido, Janus, Franklin) have similar 2-3 yr training programs, but also very selective. DKL

<t>Here's what I know about the program: 1. The students have, in general, quite a weak math background. As a result, most of the required graduate-level courses like Stochastic Calculus are much less rigorous that what you may see in Columbia, Stanford or NYU. 2 In terms of financial math knowledge...

Andrew Lo and Yacine Ait-Sahalia