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by Colossus2420
May 28th, 2009, 7:39 pm
Forum: Numerical Methods Forum
Topic: Second derivative of a time series
Replies: 1
Views: 41796

Second derivative of a time series

<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...
by Colossus2420
October 15th, 2007, 5:35 pm
Forum: Numerical Methods Forum
Topic: Holt or Brown or EMA??
Replies: 3
Views: 64982

Holt or Brown or EMA??

<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...
by Colossus2420
October 12th, 2007, 1:57 pm
Forum: Numerical Methods Forum
Topic: Holt or Brown or EMA??
Replies: 3
Views: 64982

Holt or Brown or EMA??

<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...
by Colossus2420
September 25th, 2007, 2:15 pm
Forum: Numerical Methods Forum
Topic: Variance Swap question
Replies: 4
Views: 69805

Variance Swap question

<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...
by Colossus2420
September 25th, 2007, 1:27 pm
Forum: Student Forum
Topic: Regression
Replies: 4
Views: 65173

Regression

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?
by Colossus2420
September 25th, 2007, 1:23 pm
Forum: Numerical Methods Forum
Topic: Variance Swap question
Replies: 4
Views: 69805

Variance Swap question

<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...
by Colossus2420
September 24th, 2007, 5:58 pm
Forum: Numerical Methods Forum
Topic: Variance Swap question
Replies: 4
Views: 69805

Variance Swap question

<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...
by Colossus2420
September 18th, 2007, 7:31 pm
Forum: Student Forum
Topic: Where to begin?
Replies: 3
Views: 65552

Where to begin?

<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...
by Colossus2420
September 17th, 2007, 5:55 pm
Forum: Student Forum
Topic: Where to begin?
Replies: 3
Views: 65552

Where to begin?

<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...
by Colossus2420
September 17th, 2007, 5:46 pm
Forum: Student Forum
Topic: EWMA in Excel
Replies: 13
Views: 78142

EWMA in Excel

Quantumar, I couldn't open the file. Any ideas? I'm running Excel 2003.
by Colossus2420
September 17th, 2007, 5:43 pm
Forum: Student Forum
Topic: Could someone give some help about forecasting the beta of stocks?
Replies: 13
Views: 72062

Could someone give some help about forecasting the beta of stocks?

Yes, if anyone has that Barra file, can they please repost a link? This one doesn't work.
by Colossus2420
January 10th, 2007, 6:01 pm
Forum: Numerical Methods Forum
Topic: How do I get started
Replies: 8
Views: 84634

How do I get started

<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...
by Colossus2420
January 10th, 2007, 5:53 pm
Forum: Numerical Methods Forum
Topic: How do I get started
Replies: 8
Views: 84634

How do I get started

<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...
by Colossus2420
January 10th, 2007, 2:58 pm
Forum: Programming and Software Forum
Topic: xlwplus
Replies: 151
Views: 152758

xlwplus

Whoops. Withdrawn.-Dr. J
by Colossus2420
January 10th, 2007, 2:51 pm
Forum: Numerical Methods Forum
Topic: How do I get started
Replies: 8
Views: 84634

How do I get started

<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, ...
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