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by gevor
July 19th, 2007, 6:13 am
Forum: Trading Forum
Topic: arbitrage from one stock exchange to another
Replies: 5
Views: 70631

arbitrage from one stock exchange to another

<t>Is there big difference?I doubt that it is the fungible asset with large volume - otherwise big banks would have exploited it.What might be interesting for you if you want to trade intraday is to analyze the differences in the behaviour of two stocks, esp. if you believe in some sort of informed ...
by gevor
July 18th, 2007, 6:43 am
Forum: Trading Forum
Topic: arbitrage from one stock exchange to another
Replies: 5
Views: 70631

arbitrage from one stock exchange to another

<t>You mean - to convert one line to another?I think it is somehow done for some stocks, i.e. Russian MICEX and LSE listings, for a small fee (5 cents?).But sometimes it is not the case, i.e. there are some Russian MICEX and NYSE listings traded with 17% premium one to another due to nun-fungibility...
by gevor
July 18th, 2007, 6:42 am
Forum: Trading Forum
Topic: Top Investors
Replies: 17
Views: 71279

Top Investors

Funny not to have Simons in the list.
by gevor
July 11th, 2007, 5:20 pm
Forum: General Forum
Topic: Analyst data
Replies: 8
Views: 70310

Analyst data

The thing is that I will test my strategy, and make the decision..So I wanted to do as good backtests as I can.So - thanks for the replies! If I found smth interesting, will write here.
by gevor
July 10th, 2007, 4:56 pm
Forum: Off Topic
Topic: Satisfaction from finance
Replies: 19
Views: 71119

Satisfaction from finance

<r>You help the capitalism mechanism work <E>:-)</E> Or pretend that you do it.If we consider the perfect world (no arbitrage, perfect forecasts etc), we can expect zero profits for speculators.If we consider a bit less perfect world, we can expect speculators making profits by shifting the markt cl...
by gevor
July 10th, 2007, 3:50 pm
Forum: Trading Forum
Topic: hedging
Replies: 8
Views: 71327

hedging

Sometimes it makes sense to replicate a position in stocks wit ha position in index futures because of liquidity reasons. Ie if we get a huge principal trade.
by gevor
July 10th, 2007, 3:40 pm
Forum: General Forum
Topic: Analyst data
Replies: 8
Views: 70310

Analyst data

Thanks for the reply!Those guys?http://www.factset.com/And why/in what it is better comparing to IBES and Reuters data?
by gevor
July 10th, 2007, 7:26 am
Forum: General Forum
Topic: Analyst data
Replies: 8
Views: 70310

Analyst data

Sad :-(You are right, Reuters is not that popular, sometimes you have 1-2 analysts for Reuters and a few more for IBES.So, should I go for IBES, do backtests, run the strategy live and just hope that the data was not too screwed?..
by gevor
July 9th, 2007, 7:50 am
Forum: General Forum
Topic: Analyst data
Replies: 8
Views: 70310

Analyst data

Hm..I thought IBES has some problems with data accuracy and backfills, which limit it's use for historical backtests.And what do you think about Reuters consensus estimates?
by gevor
July 6th, 2007, 7:32 am
Forum: General Forum
Topic: Analyst data
Replies: 8
Views: 70310

Analyst data

Hi,The more I look at the analyst historical data, published py different agencies, the more concerns about the quality of that data I have.So guys, what is the best data for analyst estimates?
by gevor
July 5th, 2007, 3:49 pm
Forum: Trading Forum
Topic: BARRA factors for algotrading
Replies: 14
Views: 80415

BARRA factors for algotrading

You mean - how to find hedging ptfs exposed to only one factor? 1m$ question :-)
by gevor
June 8th, 2007, 4:02 am
Forum: General Forum
Topic: LTCM and correlation
Replies: 32
Views: 75408

LTCM and correlation

It'd be awesome to work together with TraderJoe!Just write me when you hire him... ;-)
by gevor
June 7th, 2007, 7:20 am
Forum: General Forum
Topic: LTCM and correlation
Replies: 32
Views: 75408

LTCM and correlation

Trading is not a zero-sum game.If the market sums to X bln on a particular date and X/2 bln 6 months later, it means that the sum changed.
by gevor
May 25th, 2007, 6:36 am
Forum: Trading Forum
Topic: BARRA factors for algotrading
Replies: 14
Views: 80415

BARRA factors for algotrading

But this leaves us on the "backward-looking" side only with a limited amount of benchmarks - too many are in Barra. That's what bothers me...Thanks a lot for the explanations!
by gevor
May 24th, 2007, 2:53 pm
Forum: Trading Forum
Topic: BARRA factors for algotrading
Replies: 14
Views: 80415

BARRA factors for algotrading

<t>Right.The problem I see here is that Barra factors take into account some <potentially> valuable fund data and technical data.So, when we try to regress residuals we should not use those factors (or use them in some discrete way) - because otherwise it is smth like "double division" you mentioned...