SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by bostonquant
June 19th, 2009, 10:23 pm
Forum: Student Forum
Topic: Code for Portfolio Optimization
Replies: 5
Views: 131999

Code for Portfolio Optimization

<t>QuoteOriginally posted by: OliverPIf you use R there is an R Package called quadprog, I believe there is also something available in Fortran (try google) but I doubt you'll find anything in Java that anyone is prepared to give away! I don't understand what you mean about attempting to solve a qua...
by bostonquant
June 11th, 2009, 1:05 pm
Forum: Programming and Software Forum
Topic: Speed: Code run on Linux vs Windows XP
Replies: 6
Views: 39062

Speed: Code run on Linux vs Windows XP

Both are Lenovo X61 ultraportables. They are 100% identical. Same Centrino Duo 2.2 ghz processor. 2 GB RAM.I did whatever the default install is for R, Emacs and ESS.The diff in speed is about 30% in favor of the Windows XP machine.
by bostonquant
June 10th, 2009, 3:47 pm
Forum: Programming and Software Forum
Topic: Speed: Code run on Linux vs Windows XP
Replies: 6
Views: 39062

Speed: Code run on Linux vs Windows XP

<t>Anyone have any idea why a piece of code run on two identical computers hardware wise (same model laptop, same processor, same memory, etc) would be a lot faster on one than the other?The only diff between the two machines is one OS is Win XP Pro and the other is Ubuntu Linux. Both running the sa...
by bostonquant
June 2nd, 2009, 8:57 pm
Forum: Programming and Software Forum
Topic: Skewed normal/skewed t distribution in Excel
Replies: 2
Views: 44097

Skewed normal/skewed t distribution in Excel

If you know R interface R through Excel.
by bostonquant
January 18th, 2009, 6:07 pm
Forum: Student Forum
Topic: Who can be called a "quant"?
Replies: 6
Views: 45374

Who can be called a "quant"?

<t>QuoteOriginally posted by: Y0daWhat is required for a person to call herself a "quantitative analyst"?Is a PhD needed? If not, does bachelor degree + experience in a bankwith some quant stuff qualify as a "quant"?According to Daniel Duffy you must spend a minimum of 80% of your time coding in C++...
by bostonquant
November 28th, 2008, 8:52 pm
Forum: Student Forum
Topic: Stats courses
Replies: 2
Views: 45550

Stats courses

<t>QuoteOriginally posted by: merevHi everyone,I am finishing my PhD in Applied Math in May 2009. I was thinking about taking one of these 2 statistics courses during my last semester:Time Series Analysis (textbook: Time Series Analysis and its Applications, Shumway and Stoffer)or Applied Multivaria...
by bostonquant
November 19th, 2008, 7:10 pm
Forum: Student Forum
Topic: Better to short 2X ETF or go long -2X ETF
Replies: 7
Views: 47512

Better to short 2X ETF or go long -2X ETF

<t>QuoteOriginally posted by: rynoblasterQuoteOriginally posted by: bostonquantQuoteThoughts?Over the long run corporate earnings and profits will keep increasing so unless earnings multipliers shrink the market will keep increasing.Any relevant thoughts? I'm trying to tell you as nicely as possible...
by bostonquant
November 19th, 2008, 11:00 am
Forum: Student Forum
Topic: Better to short 2X ETF or go long -2X ETF
Replies: 7
Views: 47512

Better to short 2X ETF or go long -2X ETF

QuoteThoughts?Over the long run corporate earnings and profits will keep increasing so unless earnings multipliers shrink the market will keep increasing.
by bostonquant
November 19th, 2008, 3:35 am
Forum: Student Forum
Topic: Better to short 2X ETF or go long -2X ETF
Replies: 7
Views: 47512

Better to short 2X ETF or go long -2X ETF

Does your "model" tell you the market is heading up or down?
by bostonquant
November 6th, 2008, 9:09 pm
Forum: Student Forum
Topic: Matlab Code Help. for Random Number Generators and Histogram
Replies: 18
Views: 72057

Matlab Code Help. for Random Number Generators and Histogram

<t>msperlin,Don't do people's homework assignments. You can point them in the right direction but you aren't helping him by giving him the answer.Quote thx but how can i shift it It's really common sense. If I said that the distribution of a stock payout is normal(100,10) how would you simulate that...
by bostonquant
November 6th, 2008, 9:20 am
Forum: Student Forum
Topic: Matlab Code Help. for Random Number Generators and Histogram
Replies: 18
Views: 72057

Matlab Code Help. for Random Number Generators and Histogram

QuoteOriginally posted by: Firas1994hi, please im new in matlab how can i use the command rand to generate a randomvariable thxSimulate a bernoulli and then shift it.
by bostonquant
October 31st, 2008, 12:41 pm
Forum: Student Forum
Topic: Setting stop-level and probability
Replies: 7
Views: 47589

Setting stop-level and probability

Quote... Where z~N(0,1)Thanks for the laugh.
by bostonquant
September 24th, 2008, 9:00 pm
Forum: Technical Forum
Topic: can i regress Garch risk?
Replies: 4
Views: 48821

can i regress Garch risk?

Look at the assumption of OLS. Quick answer. No.
by bostonquant
September 18th, 2008, 9:23 pm
Forum: Programming and Software Forum
Topic: Statistical software to analyze time series
Replies: 11
Views: 50716

Statistical software to analyze time series

<t>SAS-----------> Terrible for TSAEviews------------> Most user friendly. Not very scalable. Great if just doing a quick model.R------------------>Not very user friendly. Very scalable. Most flexible with parameters and options. Best IMO if you truly understand TSAMatlab--------------> I've never u...
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