<t>Okay, I know this is probably basic math, but I'm hung up on something and I can't seem to find my ass with a flashlight in order to get out. I have a time series in a spreadsheet. Column A are all of the closing prices of a stock (say, A1:A100). In column B, I want the first derivative of the pr...

<t>Okay, now you've confused me. One cannot do regression analysis on a time series? Then what else do you do with them? Okay, so let's start at the beginning: you've got daily closing prices of VIX or S&P, whatever. I thought the first step was to smooth the data to remove excess noise. To do t...

<t>So if I'm simply going to do regression analysis on time series data and want to smooth the data, are Holt (for trending) or Brown (non-trending) methods preferable to an n-period EMA of the data, or do Holt/Brown only apply if I'm doing forecasting. Then again, isn't regression analysis pretty m...

<t>QuoteOriginally posted by: Colossus2420Is anyone familiar with Variance Swaps? I'm trying to figure out a daily p/l calculation. Here's the particulars:Index 1 Level (Day1): 3331.4Index 1 Level (Day 2): 3349.6Doing a square of the ln of the returns I get 0.00003, then I figure out the daily volat...

Msperlin,Great help. I've often wondered about that as well.Now the next question is about regression. It seems there are numerous methods of running regression and if I want to run multiple regressions, where should I start? With which method?

<t>QuoteOriginally posted by: eiriamjhvarswap MTM_t = [t/T x Realised Vol(0;t)^2 - (T-t)/t x Implied Vol(t;T)^2 - Strike^2 ]/(2 x Strike)you need to know both realised and implied volse.The formula I was given was simply Vega notional times (Implied Volatility squared - Strike squared) / 2 times the...

<t>Is anyone familiar with Variance Swaps? I'm trying to figure out a daily p/l calculation. Here's the particulars:Index 1 Level (Day1): 3331.4Index 1 Level (Day 2): 3349.6Doing a square of the ln of the returns I get 0.00003, then I figure out the daily volatility (annualized) in Excel-speak is =S...

<t>By better smoothing, I meant what is typically the preferred method? I've read about H-P filters, and EMAs, someone else just does a log of the returns. Is any one better than the others?As for the advice question....no one tosses around ideas or points newbies in a direction to find their own pa...

<t>Okay, so let's start at the beginning. I've got several time-series of closing prices for indices and I'm looking to build a model or two to determine what sectors to trade or what pairs to trade in a long/short-market neutral game plan. I don't believe in mean reversion when it comes to the stoc...

Quantumar, I couldn't open the file. Any ideas? I'm running Excel 2003.

Yes, if anyone has that Barra file, can they please repost a link? This one doesn't work.

<t>QuoteOriginally posted by: Traden4AlphaThree broad strategies come to mind:1. Throw every algorithm calculated with every possible value of the parameters at your data to see if any predict the returns seen in the future.2. Laboriously develop a very clever theory for why you think prices move an...

<t>What do I want to do...okay, I want to run a comparison between different indices, looking for hedging opportunities or ways to make alpha on the spread between two (or more indices). For example: if I take returns data for all 10 US sectors (industrials, energy, financials, etc.), and take the t...

Whoops. Withdrawn.-Dr. J

<t>It's funny. I trot around these forums looking for ideas and clues to becoming quant-like (my background is in math and computer science, but that was like 15 years ago in college), but all I end up is more confused by talk of stochastics, GARCH, et al.With all of these great minds in one place, ...