<t>Skull, sure volatility jumped. JPM is in the S&P500 so one would expect the volatility of both S&P and JPM to jump nearly together. However, they diverged significantly which makes me think it is more than just overall volatility increase. Further, VIX measures implied volatility while th...

<t>In the attached image I have a plot of the rolling correlation of 90-day historic volatility (using the Garman Klass estimator based on Sinclair's Volatility Trading) of JPM v. the S&P. As can be clearly seen, the correlation is generally somewhere near 1. However, there are times when the co...

<t>What are some methods employed in optimizing position size when trading listed equities in a high-frequency environment? I realize that it surely depends on the specific strategy employed, but are there some general concerns folks consider? What are the issues faced when NOT optimizing sizing (sl...

<r>The io module (pandas.io) has a pytables.py file (<URL url="https://github.com/wesm/pandas/blob/master/pandas/io/pytables.py"><LINK_TEXT text="https://github.com/wesm/pandas/blob/mas ... ytables.py">https://github.com/wesm/pandas/blob/master/pandas/io/pytables.py</LINK_TEXT></URL>) which contains...

Center for Research in Securities Prices at the U. of Chicago.

Honestly, I've been watching quantlib for so long it almost has celebrity appeal to me. Don't get me wrong, I think it's great but it's so niche that have to have it widely distributed, is, well surprsing.

<r>Quantlib appears to be packaged within Fedora Core 12 distribution.<URL url="http://download.fedora.redhat.com/pub/fedora/linux/releases/12/Everything/i386/os/Packages/"><LINK_TEXT text="http://download.fedora.redhat.com/pub/f ... /Packages/">http://download.fedora.redhat.com/pub/fedora/linux/rel...

<r>From what I've read on Wilmott, it has to do with caching and the type of queries that can be run. Look through the posts, there are several good threads or read more here:<URL url="http://en.wikipedia.org/wiki/Relational_databasehttp://en.wikipedia.org/wiki/Time_series_database"><LINK_TEXT text=...

Nice.

<r>The variance swap entry on WilmottWiki talks about the "slope of the skew curve" under the Rule of Thumb published by Demeterfi?Derman?Kamal?Zou (1999). What is a skew curve?<URL url="http://www.wilmottwiki.com/wiki/index.php/Variance_swap">http://www.wilmottwiki.com/wiki/index.php/Variance_swap<...

Please delete this post. It is an empty duplicate.

I assumed he meant running a Cholesky decomposition on a correlation matrix to correlate the random variables.

<t>QuoteActually MS Access is better than mySQL from a portablity POV i.e. you can just copy it to a disk or email it to someone and they can make use of it straight away. MySQL can live on a web server. You can write a script to automatically email your user or your user can just point to a web pag...

It took me about two weeks to learn Python and write my own. Are the pricing models closed form? What types of instruments are you pricing? What type of sequence are you using (Sobol, Niederreiter, etc.)?

BLAS, GSL