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by CTD
November 20th, 2008, 12:18 am
Forum: Numerical Methods Forum
Topic: Autocorrelation
Replies: 4
Views: 48917

Autocorrelation

<t>QuoteOriginally posted by: surideepakHi, I have been trying to look into serial autocorrelation in stock prices. The tests and methods I have been able to read so far are the Durbin-Watson test and the Portmanteau test(Chi square analysis). The biggest problem I have is that these are valid for l...
by CTD
November 19th, 2008, 10:24 pm
Forum: Technical Forum
Topic: how does matlab handle missing or NaN data points?
Replies: 3
Views: 49349

how does matlab handle missing or NaN data points?

Believe the function NANMEAN might be a bit more straightforward.
by CTD
November 19th, 2008, 9:26 pm
Forum: General Forum
Topic: Has anyone heard of GARCH being applied to modeling outside of finance?
Replies: 5
Views: 46581

Has anyone heard of GARCH being applied to modeling outside of finance?

Did and couldn't find a one...hence my query.
by CTD
November 19th, 2008, 6:20 pm
Forum: General Forum
Topic: Has anyone heard of GARCH being applied to modeling outside of finance?
Replies: 5
Views: 46581

Has anyone heard of GARCH being applied to modeling outside of finance?

Certainly, it was developed to model market vol, but given it IS fundamentally an econometric/statistical model as opposed to an exclusively financial model, has it been applied anywhere outside of financial markets?
by CTD
November 5th, 2008, 6:57 pm
Forum: Technical Forum
Topic: Looking to compare GARCH vol estimates with rolling st dev...
Replies: 4
Views: 48571

Looking to compare GARCH vol estimates with rolling st dev...

<t>That's interesting. Using GARCH in place of simple rolling vol rendered a rather significant improvement on performance as is (as we'd expect). It'll be interesting to see how much better still I'm able to do. Though given this isn't completely central to my process, I'd expect to hit a point of ...
by CTD
November 4th, 2008, 11:19 pm
Forum: Technical Forum
Topic: Looking to compare GARCH vol estimates with rolling st dev...
Replies: 4
Views: 48571

Looking to compare GARCH vol estimates with rolling st dev...

<t>Agreed regarding your interpretation of GARCH and interesting thought with implied vol--have you done anything similar to this? Certainly one could mimic VIX for different markets using options data...running something similar to the above, GARCH(1,1) still seems to perform approximately 20% bett...
by CTD
November 4th, 2008, 12:45 am
Forum: Technical Forum
Topic: Looking to compare GARCH vol estimates with rolling st dev...
Replies: 4
Views: 48571

Looking to compare GARCH vol estimates with rolling st dev...

<t>Can one or or all comment on the validity of my approach?(1) Used 500 days of calibration data for parameter estimation of a GARCH(1,1) process and used best fit parameters to estimate future vol over a subsequent data set of 2500 days. (2) Calculated the rolling n-day vol (equally weighted) usin...
by CTD
February 12th, 2008, 9:39 pm
Forum: General Forum
Topic: Can anyone shed some light into how the geometric return objective function is derived?
Replies: 0
Views: 58488

Can anyone shed some light into how the geometric return objective function is derived?

How do we arrive at the objective function for optimization using geometric returns in place of arithmetic returns?I'm a bit fuzzy, so please correct me if I'm incorrect about any of this. Thanks,C
by CTD
January 8th, 2008, 4:16 pm
Forum: General Forum
Topic: Hedge fund indices for risk attribution?
Replies: 4
Views: 60130

Hedge fund indices for risk attribution?

Got them as well...prob won't be able to do any better than the list I've got from the looks of it...
by CTD
January 7th, 2008, 5:19 pm
Forum: General Forum
Topic: Hedge fund indices for risk attribution?
Replies: 4
Views: 60130

Hedge fund indices for risk attribution?

MSCI and Credit Suisse/Tremont ought to be a good start, but are there other groups that publish hedge fund indices that I ought to check out?C
by CTD
December 11th, 2007, 10:42 pm
Forum: General Forum
Topic: Anyone familiar with Chinese H-Shares?
Replies: 1
Views: 60887

Anyone familiar with Chinese H-Shares?

Chinese open to buy H-sharesIt seems like the previously traded A- and B- shares are analogous to A and B class stock traded in the States, with H-Shares bearing similarity to ADRs.Can anyone add any color to this or correct any part of this that's incorrect?
by CTD
December 6th, 2007, 12:46 am
Forum: Careers Forum
Topic: Any Hope of Work?
Replies: 3
Views: 61702

Any Hope of Work?

<t>Without any real work experience, since you're fresh out of school, I doubt HHs would waste any time on you. Your best bet, in my mind, would be to apply (ideally through contacts as doing so through the websites will almost certainly be a waste of your time) at banks and hedgies and hope to get ...
by CTD
December 6th, 2007, 12:44 am
Forum: Careers Forum
Topic: Any Hope of Work?
Replies: 3
Views: 61702

Any Hope of Work?

Your best bet, in my mind, would be to apply at banks and hedgies and hope to get in. Perhaps prasenj used "quant" as a misnomer, but quants pretty consistently have PhD level backgrounds, so your best bet would likely be some flavor of quant analyst.
by CTD
November 30th, 2007, 5:47 pm
Forum: General Forum
Topic: Papers for Weighted Regression
Replies: 2
Views: 61672

Papers for Weighted Regression

Are you talking about weighted least squares? A simple wiki- search yields some useful info...Google is your friend in this case.
by CTD
November 27th, 2007, 6:49 pm
Forum: General Forum
Topic: Anyone have a reliable method for collecting market holidays?
Replies: 5
Views: 62501

Anyone have a reliable method for collecting market holidays?

This might work...any idea from where they got this holiday data? I would potentially be trading on this so need to be confident in its accuracy. Thx
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