That's great thanks!

<t>Thanks for the input!When I look at the data then, the predictions of implied vola are slightly undershooting or am I seeing this wrongly? I.e. implied vola predicts say 20% for the next 3 months but this level is reached earlier by the historical vola.I thought I read that it should be the other...

<t>From Poon and Granger's extensive survey (2003) it seems that implied vola was seen as the most proven, if biased, predictor of future realised volatility back in 2003.Is that still the accepted tenor or did the last 7 years yield models that are now preferred or have shown the predictive power o...

<t>Hi folks,I am interested in measuring how well option-implied volatilities predict actual future realised volatilities in the forex markets.I use data from Bloomberg - my question: Is it correct to compare, say, the Bloomberg 3-month implied volatility data for Jan 1st with the Historic volatilit...

<t>Hi there, I am writing a uni paper and currently on travels - completely cut off from Bloomberg etc. Before I packed I downloaded some data however it seems that during the saving a part was cut off due to Excel table limitations (I know, silly me for not double checking!).I'm looking for the imp...

Thanks for the input!I just spoke with a friend who works at a similar firm (not in HR though) and he basically agrees: he would find it extremely annoying if a candidate would contact him in that early stage of the application and sort of implied that his judgment must be helped in some form.

<t>Hi there,I am a grad student currently applying for on-campus interviews at the bulge-bracket banks. I have received some invites but my favorite firm has informed me that I'm short-listed.I really want to talk to them so s there a good way to proceed from here, i.e. an email to them where I make...

<t>Hi there,I have used some implied volatility data from Bloomberg. With the command OVDV you get their description of how they calculate their implied vola surfaces. They say "OVDV also suggests a default ATM volatility maturity or correlation factor based on empirical test results".What exactly d...

<t>In an interview I've read Simons talks a lot about 'good bets' in a mathematical sense. He says that if he finds an 'apparent' 70/30 bet he will trade long enough for the good events to occur. To me it sounds like a fair bit of data mining, what else can it be. Quote`Working On Statistics' The fi...

<t>Hi there,I just saw that the Renaissance Technologies' Medallion Fund apparently had a return well above 80% for the year 2008. I'm aware that, among hedge funds, by pure chance alone there will be some that will do very well over time. However, don't the investors get very nervous with these kin...

Uhm, stupid me, I completely overlooked what dealing with daily returns meant :-PIs there some convention like 252 days (i guess that's for stockmarkets) for foreign exchange markets (since these are open practically everyday afaik)?Thanks for the headsup!

<t>Hi there,For an introductory finance course I have played around with calculating historic volatilities using the EUR/USD exchange rate as an example. Here are the daily numbers for Dec 2000 0.87350.89080.8810.88280.89430.88950.88040.87820.87480.88390.89840.89660.89030.90590.91460.9240.9310.92850...