<t>I'm currently running econometric models with a quant in an interest rate group, and, even though what you describe isn't frequently used, it can be done. There are some papers on combining no-arbitrage modeling with modern structural economics (check the Fed working paper series for a start), an...

<t>Did you run the VAR with levels or returns? Did you have any causal relationships in mind, or is this just data mining? If "yes" to either (especially the first), be very wary. VAR is basically (in estimation) multiple OLS. Thus, if you run it with nonstationary series (like, say, asset prices), ...

<t>I'm exploring some research topics on the boundary between economics and finance, and I am curious as to how panel data analysis is typically used within quantitative finance. The vast majority of the analysis that I have seen has relied on pure time series methods (as I would expect), but some a...

<t>QuoteOriginally posted by: KackToodlesQuoteOriginally posted by: yabbadabbaQuoteOriginally posted by: KackToodles When somebody wins the game, somebody else has to lose. Zero sum.So in the shortterm a closed market may well be a zero sum game, but it is impossible to track where people take 'real...

<t>QuoteOriginally posted by: yabbadabbaQuoteOriginally posted by: UnderTheRadarBTW, the discussion on EMH and finance theory has progressed since Fama (1970, 1991). The issue with EMH is not 'are markets efficient or inefficient?' but rather the discussion of EMH has moved on to 'how efficient or i...

I was at an econ department event tonight, and an interesting question came up in a conversation: is financial theory largely a stagnant field?

<t>Quick comment. When I wrote "Second, none of the programs that I'm looking at require (or recommend) further study in abstract algebra, so I'm quite uncertain about its value.", I was viewing this more as a signal of value than an indication of need. In terms of maximizing utility, there are many...

<t>Interesting. Thanks for the info. I will start on algebra as soon as comps are over, although I think I will also focus less on those programs that look for it. It seems to be a signal that they want more of a pure math background than I have, and, given how interdisciplinary mathematical finance...

gardener3 & zeta:You basically hit what I was trying to get at. I was thinking along the lines of a principal component analysis, which is at its core a change of basis operation on a set of data vectors.

<t>Quick question on the last reply (if it's dumb, I apologize in advance): Linear regression is an orthogonal projection operation, and the only resulting vector that is guaranteed to be orthogonal to the data is the vector of residuals. Thus, running a regression of one variable on another does no...

<t>I have a bit of a conundrum on my hands, and I'm hoping that you can shed some light on it. I'm currently looking at PhD programs in mathematical finance & sorting out GREs. Most programs require the general GRE or GMAT, but a few also require a math subject GRE. My math background is fairly ...

My department uses Scientific Workplace for its lab computers. Very impressive package - it's Scientific Word with a CAS added in. For example, you type in function, select Jacobian, and get fully formatted matrix in LaTeX. Saves time for a lot of thing.

<t>Antonio - Interesting research group. I looked over some of the work being done and hit SSRN, and it's the type of material that I'm looking to work on (Geman's work on electricity prices was quite intriguing). I also noticed their degree program - similar to what I'm looking for, but a bit out o...

I am looking to pursue a PhD in Finance, and one of my research interests is commodity markets. Unfortunately, I have seen little academic work on this set of topics. I wanted to see if anyone here knew if/where such research was being done in finance departments.

Anyone know if Stata is used frequently or semi-frequently? I've seen it a lot in economics departments and business schools (and spent a bit over a year learning it).