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by wh408
October 15th, 2017, 10:46 pm
Forum: Trading Forum
Topic: Best UK broker for API access to futures, etfs?
Replies: 8
Views: 9779

Re: Best UK broker for API access to futures, etfs?

Hi,
I have the same question for European equities. Trading universe will be the top 500 stocks on LSE, EURONEXT, XETRA, SIX, NORDIC. Trades are submitted in every ten minutes.
by wh408
April 5th, 2017, 10:32 am
Forum: Technical Forum
Topic: Minimize turnover for combined portfolio
Replies: 3
Views: 676

Re: Minimize turnover for combined portfolio

Hi Alan, sorry I did not make it clearly enough. The math expression of turnover is position changes for each stocks on each day. If I use python DataFrame with dates as index and stocks as columns to represent a portfolio (entries are money allocated to each stock on each day), then the turnover is...
by wh408
April 4th, 2017, 9:44 am
Forum: Technical Forum
Topic: Minimize turnover for combined portfolio
Replies: 3
Views: 676

Minimize turnover for combined portfolio

Assume I have M portfolios, each of them can be represented as a T by N matrix, where N represents number of stocks traded and T represents number of days. For each portfolio matrix, each row is under the following constraints: Absolute values for each row entries sum up to one which represents the...
by wh408
April 4th, 2015, 1:34 pm
Forum: Student Forum
Topic: simulation and volatility for tick by tick data
Replies: 2
Views: 2741

simulation and volatility for tick by tick data

<t>Hello, I am trying to simulate order book level data and I find it very different from simulating mid to low frequency data. It is pretty standard if we use Black-Scholes framework where we simulate GMB or whatever SDEs. In that case the volatility is in consistent with the vol that are quoted in...
by wh408
November 14th, 2014, 8:47 am
Forum: Student Forum
Topic: cost function in linear regression
Replies: 2
Views: 3270

cost function in linear regression

<t>Hi guys, I am not sure if this question has been asked before. Except computation reasons, why do not we minimize the distance between the points (x,y) and the straight line that we are trying to estimate. The usual cost function is to minimize the squares of the vertical distances. If we swap x ...
by wh408
October 16th, 2014, 4:33 pm
Forum: General Forum
Topic: models for different underlying products?
Replies: 0
Views: 3368

models for different underlying products?

<t>Hi there, I wonder if there are any good recent papers/books that summarize models for different type of underlying that are being used today in the industry.As there are so many different models (eg. local/sto vol), which model(s) should I use for option pricing (vol forecasting), say for some p...
by wh408
March 26th, 2014, 4:58 pm
Forum: Student Forum
Topic: Questions about implied risk neutral density
Replies: 1
Views: 4932

Questions about implied risk neutral density

<t>Hello, I have some questions about implied risk neutral density. Here are my understandings, correct me if I am wrong. 1. Purposes of computing implied risk neutral density (RND): a) Practitioners use available options to get some inferences to stock prices (distribution/dynamics) so that they ca...
by wh408
May 20th, 2013, 6:57 am
Forum: Student Forum
Topic: How to prove a process is feller
Replies: 1
Views: 7447

How to prove a process is feller

<t>I am considering the continuity and differentiability of the semi-groups of CIR process. The first question is how to prove CIR is feller continuous better without using its exact conditional distribution (Non-central Chi-square). Or what are the general conditions for a diffusion process to be f...
by wh408
March 26th, 2013, 12:12 am
Forum: Trading Forum
Topic: Advances in High Frequency Strategies By Marcos M. López de Prado
Replies: 10
Views: 13006

Advances in High Frequency Strategies By Marcos M. López de Prado

<t>I am recently looking at pin/vpin stuff. It turns out to be a simple measure of the markets participants' buy/sell intentions. If the intentions that we measure is not symmetric over buys and sells, we believe there are some informed traders and we get a trending signal? There seems to be a lot o...
by wh408
March 15th, 2013, 1:57 pm
Forum: Trading Forum
Topic: Advances in High Frequency Strategies By Marcos M. López de Prado
Replies: 10
Views: 13006

Advances in High Frequency Strategies By Marcos M. López de Prado

Hi, I have read the introduction part of this paper and found it interesting. I would like to hear from people who are familiar with his work or have bought the full text of this paper.
by wh408
March 7th, 2013, 3:51 pm
Forum: Student Forum
Topic: Why shop loss
Replies: 12
Views: 8702

Why shop loss

QuoteOriginally posted by: ppaupershop loss or stop loss ?Sorry for the typo, I mean stop loss.
by wh408
March 7th, 2013, 3:48 pm
Forum: Student Forum
Topic: Why shop loss
Replies: 12
Views: 8702

Why shop loss

<t>QuoteOriginally posted by: AlanQuoteOriginally posted by: wh408Optional stoping theorem suggests that adding a stopping rule to our portfolio won't change the expectation. Any explanation from practical, mathematical or behavioural finance perspectives?ThanksI know you're thinking of short-term r...
by wh408
March 7th, 2013, 2:48 am
Forum: Student Forum
Topic: Why shop loss
Replies: 12
Views: 8702

Why shop loss

Optional stoping theorem suggests that adding a stopping rule to our portfolio won't change the expectation. Any explanation from practical, mathematical or behavioural finance perspectives?Thanks
by wh408
February 25th, 2013, 11:32 pm
Forum: Student Forum
Topic: Alternatives to Matlab
Replies: 5
Views: 9183

Alternatives to Matlab

Thanks Hansi, can you also give me some comments on c++ in terms of the above factors? I may have to learn it anyway as c++ appears frequently in banks' interviews.
by wh408
February 25th, 2013, 7:47 pm
Forum: Student Forum
Topic: Alternatives to Matlab
Replies: 5
Views: 9183

Alternatives to Matlab

<t>Hi, I have been using Matlab for several years and I have got some codes written by myself. After I finish my study I will not be eligible to use Matlab unless I buy a licence myself which is very expensive. In terms of other programming languages, I only know C++ a little bit. My questions are:1...
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