SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 591 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 40
by msperlin
September 6th, 2012, 12:53 pm
Forum: Book And Research Paper Forum
Topic: Feedback on paper (Market Microstructure)
Replies: 4
Views: 11902

Feedback on paper (Market Microstructure)

<t>QuoteOriginally posted by: farmerTell me if this is what you are saying. If a stock goes up 1% with only 10 consecutive ticks at the offer, then a news search will almost surely show some news for that ticker symbol, or some general market-moving news. But if the same stock goes up 1% after ticki...
by msperlin
September 6th, 2012, 12:33 am
Forum: Book And Research Paper Forum
Topic: Feedback on paper (Market Microstructure)
Replies: 4
Views: 11902

Feedback on paper (Market Microstructure)

<t>QuoteOriginally posted by: MCarreiraHi msperlin,It is an interesting paper. I would include VALE3, PETR4, USIM3 also to see whether the results are the same for different classes of stocks issued by the same company.The following step would be to group companies by sector (I would add BRAP4 to VA...
by msperlin
September 5th, 2012, 2:12 pm
Forum: Book And Research Paper Forum
Topic: Feedback on paper (Market Microstructure)
Replies: 4
Views: 11902

Feedback on paper (Market Microstructure)

<t>Dear Wilmoters,I'm writing a paper on the topic of assessing the likelihood of having news in the financial market based solely on trade data. Here's the abstract:Abstract: In this paper we look into the problem of identifying the strength of the incoming of news in the financial market. With the...
by msperlin
August 31st, 2011, 4:34 pm
Forum: Numerical Methods Forum
Topic: Markov Regime Switching GARCH models - controlling the regimes
Replies: 2
Views: 20503

Markov Regime Switching GARCH models - controlling the regimes

<t>QuoteOriginally posted by: vzomtrHello - I have been using Markov Regime Switching GARCH models (only 2 regimes - high and low vol regimes), and during daily runs over a period of time, I noticed that I cannot control which regime should high or low. For example, I'd like to ensure that regime 1 ...
by msperlin
July 30th, 2010, 11:08 am
Forum: General Forum
Topic: Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!
Replies: 11
Views: 31070

Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!

<r>QuoteOriginally posted by: phubabaI too am unable to download the paper.Have an account at ssrn... no download options.found it here:<URL url="http://mpra.ub.uni-muenchen.de/23381/1/MPRA_paper_23381.pdfFell"><LINK_TEXT text="http://mpra.ub.uni-muenchen.de/23381/1/ ... 81.pdfFell">http://mpra.ub.u...
by msperlin
June 16th, 2010, 7:43 am
Forum: Student Forum
Topic: ACD modeling (GARCH with additonal indepedent var)
Replies: 3
Views: 143246

ACD modeling (GARCH with additonal indepedent var)

<t>QuoteOriginally posted by: buckeyeI am trying to implement an Autoregressive Conditional Duration model. According to a paper by Noble Laureate Robert Engle and Joe Lange, the ACD model is given as:EPTIME (t) = omega + alpha1 * PTIME(t-1) + beta1 * EPTIME(t-1) - (A), andEPTIME (t) = omega + alpha...
by msperlin
June 15th, 2010, 3:49 pm
Forum: Off Topic
Topic: double struck capital E in Microsoft Word 2007
Replies: 2
Views: 28257

double struck capital E in Microsoft Word 2007

<r>QuoteOriginally posted by: HendonHi guys,I am writing my thesis using Microsoft Word 2007 and I am using the Equation Editor for adding my thesis formulas and equations. There is a letter-like symbol called "Double struck Capital E" which I cannot find in the Letter-like symbols of the Equation e...
by msperlin
June 15th, 2010, 9:59 am
Forum: General Forum
Topic: psychic investors
Replies: 49
Views: 33329

psychic investors

<t>QuoteOriginally posted by: crootActually, why would it be more silly than any SDE model?I imagine the following:is the forecast at time t of stock price at time T.Here, EEG is the measured electroencephalogram of the psychic trader (PhD from top university required, showing exceptional promise in...
by msperlin
June 15th, 2010, 9:32 am
Forum: General Forum
Topic: psychic investors
Replies: 49
Views: 33329

psychic investors

<t>QuoteOriginally posted by: trackstarVerily I say unto you that it would be easier for a camel to pass through the eye of a needle, than for a quant to become a psychic investor.But, on the other side of the argument, can you really say that assuming that stock prices follows a GBM is any differen...
by msperlin
June 11th, 2010, 10:06 pm
Forum: General Forum
Topic: Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!
Replies: 11
Views: 31070

Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!

QuoteOriginally posted by: ErrrbI quickly looked at the paper (will try to read over weekend), it looks pretty good paper! Very different from typical academic research on the subject.Thanks errrb. I'll wait for the feedback.
by msperlin
June 11th, 2010, 10:04 pm
Forum: General Forum
Topic: Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!
Replies: 11
Views: 31070

Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!

<t>QuoteI have read your paper quite quickly, it's a big oneDespite the fact I am not a quant I found it very interesting. For the good point, I found it very clear, well written and mathematically simple (it changes from paper with stochastic volatility or paper with laplace transform for high path...
by msperlin
June 10th, 2010, 9:31 am
Forum: General Forum
Topic: Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!
Replies: 11
Views: 31070

Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!

QuoteOriginally posted by: frenchXI'll read the paper today,It seems interesting, I will post my comments tonight or tomorrow.Thanks frenchX. Apreciate the feedback.
by msperlin
June 7th, 2010, 1:26 pm
Forum: General Forum
Topic: Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!
Replies: 11
Views: 31070

Another PhD Working Paper in Mkt Microstructure - Comments very Welcome!

<t>Guys, this is the last paper of my phd thesis (download it here).I would be happy to have some feedback on it. Really apreciate it..The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond MarketAbstract:The focus of this paper is on the study of the drivers ...
by msperlin
June 2nd, 2010, 9:07 am
Forum: Trading Forum
Topic: Pointers to good Matlab utilities for processing gigantic tick data set?
Replies: 8
Views: 32075

Pointers to good Matlab utilities for processing gigantic tick data set?

<r>QuoteOriginally posted by: mizhaelAnybody knows some good Matlab utilities for processing gigantic tick data set?I like the vectorized operations in Matlab and speed shouldn't be an issue;but the Matlab memory limitation is a problem...Any thoughts?I've been working with 20gb+ data in matlab for ...
by msperlin
April 19th, 2010, 9:24 am
Forum: General Forum
Topic: PhD Working Paper in Mkt Microstructure - Comments Welcome!
Replies: 4
Views: 29200

PhD Working Paper in Mkt Microstructure - Comments Welcome!

<t>QuoteOriginally posted by: AnthisI am not sure if spillover is the right term in your case. Typically has been used for effects of one market to another, eg from NYSE to TSE or LSE. I doubt its the roper term to use for comovements on bonds of the same yield curve, you may also confuse it with th...
  • 1
  • 2
  • 3
  • 4
  • 5
  • 40
GZIP: On