<t>QuoteOriginally posted by: KackToodlesstat arb is just a fancy name for hocus pocus. they used to call it chartism; then technical analysis; when tech analysis got debunked, they changed the name to stat arb. what will they call it next? I disagree. I think if you have a good statarb strategy the...

I know Bloomberg dont have that I was looking for it too... trying to backtest a strategy. I think you have to get a provider like OptionMetrics...

very interesting...

<t>thanks thats actually what he says!I think I understood what he meant by historic smile... I had skipped a few pages - sorry about that. Apparently he calibrates an SV model using the historic stock prices vs a calibration using options prices and gets two implied vol smiles that he compares to e...

<t>thanks for looking at it! I dont know if you read the book but he describes in the last chapter a skewness trading strategy. He exhibits several plots that show the implied smile vs the "historic" smile and I am trying to understand what he means by historic smile. I think he defines it by the fo...

don't they screen email addresses for new members??it was only a gif or jpg file don't be too paranoid. I don't think a hacker would know Javaheri's book nor what implied vol is.

Hi all, I am attaching a file here. I was wondering if anyone knows how to calculate this implied volatility concretely? Tks for your input,M -Edit (a few minutes later...) -----------------------------------Actually I am ok guys. Sorry about that.

<t>Hi - I am looking into skew trades on equity as well. I am looking at single stocks skew vs their relative index skew and I am trying to take into account the beta of the stock in my model. Since the beta is in some way the volatility to the index I feel there is something that could be looked at...

ITG?

<t>QuoteOriginally posted by: pb273I got curious when I read your post. From the CMU website:and my guess is that they will cover maths that they feel might be useful for stat arb. they don't know real stat arb, else they won't have mentioned cointegration (which is so passe).Why do you think cointe...

<t>Thanks pnrodriguez. I've read Lo's paper on HF replication, also Martelini's work is interesting on that same topic. The problem is that some HF like some stocks exhibit non-normal return distributions and this is why I am trying to get away from the linear replication. Linear models fail to repl...

<t>Congrats to all the guys that talked yesterday!I know some of them read this forum (like Aaron!). I was a little bit disappointed because I was expecting something totally different. When you announce people like Derman, Brown, Carr, etc. you expect to learn stuff. I left after an hour 1/2 becaus...

<t>Hi all, I am working on how to replicate a stock with a basket of stocks and I am using the nnls package in R that performs a quadratic optimization program. I was wondering if anybody was familiar with this and wanted to discuss if it was relevant to apply a variance analysis and look at the t-s...

<t>Hi,I would like to select some variables in a very large sample, to carry out a regression with variables as independent as possible. More precisely, I have 500 variables that I can use in a multiple regression, to explain the move of a stock A. But I want to select the variables I have to keep, ...

<t>Hi,I would like to select some variables in a very large sample, to carry out a regression with variables as independent as possible. More precisely, I have 500 variables that I can use in a multiple regression, to explain the move of a stock A. But I want to select the variables I have to keep, ...