<t>In the CLS system (The FX clearing system set up to avoid Herstatt risk) , if a US based bank trades with a Saudi Based bank on Wednesday, when does actual settlement take place?Using the T+2 rule I expect a US bank to settle on Friday (Wed + 2 working days).For the Saudi Based bank, the working ...

Cuchulainn,Apologies for the long silence. I have been inundated with coursework so I have been sidetracked. Hopefully I'll be able to get back on the case when exams etc are over...Did anyone else do the speed comparison?

<t>Hi all,In pricing a compound option (e.g. 'call on call'), it appears that the generally accepted analytical approach is to use a bivariate normal distribution which assumes that the price of the "ultimate underlying" moves in a GBM *AND* the price of a "call on the underlying" also moves in an G...

<t>Hi all,I am trying to perform a co-integration test on a file containing 10 years of daily closing equity prices and I'm trying to find the best approach. The file is a 6 Gig text file downloaded from the CRSP database (Center for Research in Security Prices). It contains daily closing prices of ...

<r>I've been reading news articles about the 'Volcker Rule' and trying to establish the difference between this and Glass Steagall (1933).The more I read the more confused I get.For example in the New York Times;<URL url="http://economix.blogs.nytimes.com/2010/01/22/glass-steagall-vs-the-volcker-rul...

<r>QuoteOriginally posted by: HansiDigital = Binary, you have either cash or nothing or asset or nothing or gap. Barriers are a whole different "beast:<URL url="http://www.sitmo.com/eqcat/3">http://www.sitmo.com/eqcat/3</URL> Also american/european doesn't make sense for barrier, it's american by de...

<t>Hi all,Just want to clarify the naming convention of barrier options. I have always considered this to be true.Binary Option = American Barrier Option (i.e. one-touch)Digital Option = European Barrier Option However, I've been challenged a few times now by people who are adamant that a the terms ...

Hmmm,The other way would be to bootstrap sections of the history to compare performance... alternatively I could run the same test over multiple markets, but then that assumes that all markets are identical in behaviour.Any suggestions?

<t>Hi all,I wanted to get the forum's collective wisdom on my proposed methodology.I am writing a research proposal for testing the statistical significance of deterministic buy signals generated by a Technical Analysis (TA) indicator. The indicator in question doesn't have any parameters requiring ...

<t>Hi all,Does anyone know a good reliable 'tick data' source for academic research. I've already looked at Bloomberg and Reuters.Reuters 3000XTRa (Short History)Their history is only 30,000 ticks according to their helpdesk (i.e. a few hours on a busy day).Issue with BloombergUsing the COM Object I...

<r>Hi all,Does anyone have the source code to this book?I recently bought a copy of "Microsoft Excel VBA Professional Projects by Duane Birnbaum"ISBN:1592000657Publisher: Premier Press BooksThe companion website in the book is listed as <URL url="http://www.premierpressbooks.com/downloads.asp">http:...

<t>To all Cass Mathematical Trading & Finance MSc alumni.I have serious concern about choosing electives 'blind' as there is no indication about the teaching ability of the lecturer or the 'fairness' of the exam. (I don't expect that any academic institution will provide statistics on the mean, ...

Hi Cuchulainn,Mesh size was increased and everything works a lot better. Will post more info later, but busy right now but wanted to say thanks for all your help!

<r>Hi all,Has anyone analysed tick data with market depth from the CME? I'm trying to backtest an elementary trading strategy.Here is some sample tick data with market depth from the CME.<URL url="http://www.cmegroup.com/market-data/datamine-historical-data/marketdepth.htmlHowever"><LINK_TEXT text="...

<t>Hey Mazinkaiser,How about looking at a book aimed to introducing quant-world math alongside finance concepts. E.g. Wilmott's "Introduces Quantitative Finance". If you're woefully confused by this, you can try improving your maths skills by working through some more specific books recommended on t...