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by LiKaShing
May 27th, 2008, 9:41 am
Forum: Trading Forum
Topic: fx liquidity forecasting
Replies: 8
Views: 56330

fx liquidity forecasting

<r>The best is probably to make your own statistical study. Transaction data for model fitting is not easy to come over.Perhaps you can implement a model similar to the one suggested by Almgren in Risk Magazine 2005 - <URL url="http://www.courant.nyu.edu/~almgren/papers/costestim.pdf"><LINK_TEXT tex...
by LiKaShing
May 23rd, 2008, 12:53 pm
Forum: Trading Forum
Topic: fx liquidity forecasting
Replies: 8
Views: 56330

fx liquidity forecasting

Liquidity is not a problem in the FX-market where you can get a better price for a large order-size. In equities the opposite holds, large order size means large market impact and a high transaction cost.Therefore transaction cost/risk research is scarce for FX (and futures).
by LiKaShing
May 9th, 2008, 1:41 pm
Forum: Numerical Methods Forum
Topic: Can this expectation be computed analytically ?
Replies: 14
Views: 59179

Can this expectation be computed analytically ?

I hope it is OK if i hijack this thread for a similar question.Can this integral be evaluated analytically?Integrate [x(t)B(t)dt] for t:0 -> 1where B(t) is a brownian motion, x(t) is a decreasing continuous function, x(0)=1 and x(1)=0, x(t) has a primitive function X(t).Many thanksMikael
by LiKaShing
March 28th, 2008, 10:23 am
Forum: Numerical Methods Forum
Topic: Best interpolation method, returning a stable and analytical expression for a volume curve?
Replies: 0
Views: 57214

Best interpolation method, returning a stable and analytical expression for a volume curve?

<t>Dear allFor algorithmic trading purposes I need to convert the "actual time" to "volume weighted time" for stock-instruments, i.e. to calculate the intra-day historical "volume time-function". In order to do so I chose the "actual time" to start at 0 and finish at 1, and of course the same for "v...
by LiKaShing
August 28th, 2007, 11:53 am
Forum: Programming and Software Forum
Topic: Software suitable for tick-by-tick data analysis
Replies: 8
Views: 69492

Software suitable for tick-by-tick data analysis

<t>HiI am working in the algorithmic trading and arbitrage team as a tick-by-tick data analyst. Basically, I: -- Retrieve tick-data through ODBC from a tick database.-- Work with it using an analytical tool.-- Input it in another database using ODBC.Examples of output that I produce are distribution...
by LiKaShing
August 7th, 2007, 8:12 am
Forum: The Quantitative Finance FAQs Project
Topic: What are the most important unsolved problems in finance today?
Replies: 41
Views: 270394

What are the most important unsolved problems in finance today?

Market Impact, see "Equity Market Impact", Risk 2006, by Almgren for an interesting approach.
by LiKaShing
August 3rd, 2007, 12:41 pm
Forum: Book And Research Paper Forum
Topic: Journals on trading
Replies: 1
Views: 68357

Journals on trading

Hi!I am interested in subscribing to a journal as relevant as possible to quantitative trading / algorithmic trading. Anybody got ideas which one? Very grateful for a reply.Many thanksMicke