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by edgetrading
August 4th, 2013, 4:47 pm
Forum: Student Forum
Topic: Swap valuation question
Replies: 2
Views: 7084

Swap valuation question

<r>I am working through the document here: <URL url="http://www.cfapubs.org/doi/pdf/10.2470/rf.v1995.n4.4453.5On"><LINK_TEXT text="http://www.cfapubs.org/doi/pdf/10.2470/ ... 4.4453.5On">http://www.cfapubs.org/doi/pdf/10.2470/rf.v1995.n4.4453.5On</LINK_TEXT></URL> page 63 (3rd page of the document) ...
by edgetrading
July 1st, 2013, 7:07 pm
Forum: Careers Forum
Topic: Do Agents Really Need Passports?
Replies: 6
Views: 8506

Do Agents Really Need Passports?

I am applying for a role in London. I live in the UK and am a UK citizen.The recruitment agent wants me to send him my photo and a copy of my passport. I am very suspicious of this. Is this unusual? I have never been asked for my passport before.
by edgetrading
April 3rd, 2013, 11:47 am
Forum: General Forum
Topic: Expected range of a random walk?
Replies: 10
Views: 10054

Expected range of a random walk?

Suppose I have a random walk.What is the expected range (high price - low price) over a period of time?
by edgetrading
January 21st, 2013, 10:44 am
Forum: General Forum
Topic: Historical Data For Unit Trusts and OEICs?
Replies: 0
Views: 8697

Historical Data For Unit Trusts and OEICs?

Does anyone know where I can download historical price data for Unit Trusts and OEICs?Thanks
by edgetrading
July 20th, 2012, 8:32 am
Forum: General Forum
Topic: Daily Unit Trust Prices
Replies: 0
Views: 11526

Daily Unit Trust Prices

<t>Does anyone know where I can get historical daily unit trust and OEIC prices from?Some funds have them on their websites, but not all. But I would prefer a single website that has prices for all unit trusts.I have spent an hour searching the internet but cannot find what I require anywhere. Bloom...
by edgetrading
July 1st, 2012, 9:45 am
Forum: General Forum
Topic: Maximum Return/Risk Portfolio for multiple covariance matrices and expected returns
Replies: 1
Views: 12019

Maximum Return/Risk Portfolio for multiple covariance matrices and expected returns

<t>Hello,In normal maximum return/risk portfolio optimisation, we minimiseby taking the natural log and then differentiating.I would like to perform a simular operation, but adding another term, using a different \Sigma_1 and \mu_1. i.e.Following that, I would like to generalise for any number of \S...
by edgetrading
May 15th, 2012, 8:55 pm
Forum: General Forum
Topic: Price based forecasting features?
Replies: 0
Views: 12497

Price based forecasting features?

<t>Hello,I am trying to get a list of purely price based indicators for stock and index returns. I am only interested in features that are statistically significant, rather than all the unproven/unprovable claims found in most technical analysis publications.So far I found research describing: - 1-2...
by edgetrading
April 7th, 2012, 5:45 pm
Forum: General Forum
Topic: Fund Supermarket with best choice of single priced, 0% initial charge
Replies: 1
Views: 13372

Fund Supermarket with best choice of single priced, 0% initial charge

Hello,Which fund supermarket has the largest selection of unit trusts which which are single priced and have 0% initial charge?
by edgetrading
March 26th, 2012, 5:12 pm
Forum: General Forum
Topic: Maximum Return/Risk Portfolio, with additional constraint
Replies: 4
Views: 14659

Maximum Return/Risk Portfolio, with additional constraint

<r>Hello,I have tried using Lagrange Multipliers, but without luck. I have LaTeXed up how far I have got below: Working from <URL url="http://www.maths.sussex.ac.uk/Staff/QT/FO/Chapter4.doc">http://www.maths.sussex.ac.uk/Staff/QT/FO/Chapter4.doc</URL>, 4.4 The Maximum Return Risk Ratio Portfolio:. I...
by edgetrading
March 25th, 2012, 2:46 pm
Forum: General Forum
Topic: Maximum Return/Risk Portfolio, with additional constraint
Replies: 4
Views: 14659

Maximum Return/Risk Portfolio, with additional constraint

For the maximum risk portfolio, the weight vector isw = \How can I modify the equation, so that I have additional constraints, such as setting a particular weight to 0.3?
by edgetrading
November 12th, 2011, 4:39 pm
Forum: Student Forum
Topic: Posterior Distribution
Replies: 0
Views: 16091

Posterior Distribution

<t>%% Question% From Gaussian Processes for Machine Learning:% $p(w|y,X) = \frac{p(y|X,w)p(w)}{p(y|X)}$%% I do not know how to show that is true.%% Using Bayes Rule,%% $p(y_A|y_B) = \frac{p(y_A)p(y_B|y_A)}{p(y_B}$%% I get:%% $p(w|y,X) = \frac{p(y,X|w)p(w)}{p(y,X)}$% $=\frac{p(y,X|w)p(w)}{p(y|X)p(X)}...
by edgetrading
September 19th, 2011, 9:33 pm
Forum: Technical Forum
Topic: model combining stock returns over different timespans
Replies: 0
Views: 17893

model combining stock returns over different timespans

<t>Hi,I am having trouble modelling a time series for monthly stock data.The monthly returns have negative autocorrelation for a single lag. The correlogram then decays to zero.However, the monthly returns also exhibit a positive autocorrelation to the 12 month total return (the total return over th...
by edgetrading
September 1st, 2011, 9:14 am
Forum: Technical Forum
Topic: Recursive Calculation of Arifma forecasts?
Replies: 0
Views: 19785

Recursive Calculation of Arifma forecasts?

<r>Suppose I have fit an ARFIMA model <URL url="http://en.wikipedia.org/wiki/Autoregressive_fractionally_integrated_moving_averageI"><LINK_TEXT text="http://en.wikipedia.org/wiki/Autoregres ... g_averageI">http://en.wikipedia.org/wiki/Autoregressive_fractionally_integrated_moving_averageI</LINK_TEXT...
by edgetrading
August 1st, 2011, 6:57 am
Forum: Technical Forum
Topic: What is wrong with this?
Replies: 2
Views: 18796

What is wrong with this?

QuoteOriginally posted by: ChicagoGuyt+1-t-1=0Thanks for reply ChicagoGuy.On which line of my incorrect working out does your t+t-t-1=0 go? I still don't understand.
by edgetrading
July 31st, 2011, 9:24 pm
Forum: Technical Forum
Topic: What is wrong with this?
Replies: 2
Views: 18796

What is wrong with this?

<r>I am trying to understand this:<URL url="http://arxiv.org/PS_cache/arxiv/pdf/1107/1107.3364v1.pdfIn"><LINK_TEXT text="http://arxiv.org/PS_cache/arxiv/pdf/110 ... 64v1.pdfIn">http://arxiv.org/PS_cache/arxiv/pdf/1107/1107.3364v1.pdfIn</LINK_TEXT></URL> Equation (2) I get G(1) instead of G(0).What i...