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by psyborg
February 15th, 2010, 5:55 pm
Forum: Trading Forum
Topic: Quant trading: What's good about being market neutral?
Replies: 2
Views: 33205

Quant trading: What's good about being market neutral?

Hi,Can you please elaborate what you mean by "other weightings" ?For pair trading, shouldn't the weight be the cointegration coefficient between the two stocks ?Thanks & RegardsPsY
by psyborg
January 13th, 2010, 7:49 pm
Forum: Book And Research Paper Forum
Topic: Path to Enlightenment
Replies: 4
Views: 104834

Path to Enlightenment

<t>QuoteOriginally posted by: DavidJNThe path to enlightenment is a long one. Do not fear "old" knowledge for that is the foundation of wisdom. Besides, what much have the young brats to say for themselves, apart from being intimately involved in near destruction of our way of life?What about credit...
by psyborg
January 13th, 2010, 7:23 am
Forum: Book And Research Paper Forum
Topic: Stochastic Calculus
Replies: 2
Views: 33799

Stochastic Calculus

I found the following list of books related to Stochastic Calculus. I want suggestions on where to start first:1. Baxter/Rennie2. Nefti3. Shreve 1&24. BjorkThanks
by psyborg
January 12th, 2010, 4:09 am
Forum: Book And Research Paper Forum
Topic: Path to Enlightenment
Replies: 4
Views: 104834

Path to Enlightenment

HiThis list is quite old.Would someone like to update this ? I am not looking for a particular topic, I think for the benefit of all it would be best to "upgrade" this. Cheersanother fellow who seeks the path to enlightenment
by psyborg
January 9th, 2010, 1:58 am
Forum: Book And Research Paper Forum
Topic: Stochastic Calculus
Replies: 2
Views: 33799

Stochastic Calculus

<t>Hi,I just started with PWOQF and quite obviously there is a lot of SC. The book does explain some concepts as one reads along, but I'd like a reference.So, can someone suggest me good SC books to read side by side ?Edit: On finishing the chapter PW recommends Neftci, I guess I will have a look at...
by psyborg
January 5th, 2010, 6:45 am
Forum: Book And Research Paper Forum
Topic: a list of must read books for technical analysis
Replies: 3
Views: 39404

a list of must read books for technical analysis

<t>J, I am not sure I have come across that book, sorry. But here's a list of must read books on technical analysis :1. Edwards and Magee (a classic)2. Martin Pring - TA explainied or Kirkpatrick and Dahlquist3. Pring on MomentumPS: The above are not at all quantitative, but its good if you can prog...
by psyborg
January 2nd, 2010, 2:55 pm
Forum: Student Forum
Topic: Term structures of interest rates: shape
Replies: 8
Views: 34192

Term structures of interest rates: shape

<t>From an analytical pov, we have three ways of looking at the YC :1. Liquidity preference2. Market Segmentation3. Pure ExpectationsAny of the above can be used to define the YC : up-sloping, down-sloping or even humped. So you cannot say that you cannot find a theory. Normal YC : short term < long...
by psyborg
December 31st, 2009, 8:42 am
Forum: Programming and Software Forum
Topic: Future of VBA for Finance World
Replies: 10
Views: 40383

Future of VBA for Finance World

haven't we already moved past the VBA age ?One just needs to glance at the number of books with code in VBA as compared to MATLAB.
by psyborg
June 19th, 2009, 4:47 pm
Forum: Book And Research Paper Forum
Topic: Looking for the following articles
Replies: 0
Views: 37693

Looking for the following articles

I am looking for the following two articles...1. Generalized autoregressive conditional heteroskedasticity by Tim Bollerslevb2. A critique of the asset pricing theory's tests By Richard RollIf someone can send them, that'd be great. CheersA
by psyborg
June 18th, 2009, 6:42 pm
Forum: Book And Research Paper Forum
Topic: Book(s) on Matlab
Replies: 3
Views: 42198

Book(s) on Matlab

Hi All,It would be great if you guys could recommend me a good book on learning Matlab and using it for computational finance.I am looking to invest in really good book on Matlab.CheersA
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