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by saminny
September 13th, 2013, 7:19 pm
Forum: Student Forum
Topic: reconcile tick data vs trade prices
Replies: 3
Views: 6175

reconcile tick data vs trade prices

the tick by tick data is sent by exchange. Could the exchange skip a few ticks?
by saminny
September 13th, 2013, 4:55 pm
Forum: Student Forum
Topic: reconcile tick data vs trade prices
Replies: 3
Views: 6175

reconcile tick data vs trade prices

<t>Hello,I am trying to identify state of order book when an order was executed at a certain trade price.However, I'm unable to find the trade price in the order book top of book data.The top of book data has every single tick in it, not sampled. So it appears best prices never actually reached that...
by saminny
August 25th, 2012, 2:32 am
Forum: Technical Forum
Topic: eurodollar future hedge
Replies: 1
Views: 11044

eurodollar future hedge

<r>I have a question on hedging eurodollar futures. If I understand correctly, the contract price for far out contract month is roughly based on the 3 month forward price on that month as seen today. So, for example, suppose today is June 25, 2007, the Sep 2008 contract trading today will roughly be...
by saminny
July 10th, 2012, 10:51 pm
Forum: Trading Forum
Topic: how do we estimate position of our order in order book?
Replies: 3
Views: 12936

how do we estimate position of our order in order book?

<t>how would you estimate your order in the exchange order book? The order of order events and acks is not deterministic or guaranteed. How could you write an algo to estimate accurately your position in the order queue? Note that when we send an order to exchange, we get acknowledgement back from e...
by saminny
November 7th, 2011, 10:42 pm
Forum: Technical Forum
Topic: Hasbrouck's information share
Replies: 0
Views: 17029

Hasbrouck's information share

<r>Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in page 12-13 of <URL url="http://www.jamesgoulding.com/Research_II/S&P%27s/S&P%20">http://www.jamesgoulding.com/Research_II/S&P's/S&P%20</URL>(Price%20Dynamics%20in%20...
by saminny
August 5th, 2011, 5:32 pm
Forum: Technical Forum
Topic: affect of long term swap spread on lending
Replies: 1
Views: 19445

affect of long term swap spread on lending

<t>I came across an article on bloomberg. It stated that in asian growing economies, the 5 year swap rates have fallen below the 1 year swap rates indicating a forthcoming bank lending slump. I do not understand this relationship. If the 5 year swap rates are low, the cost of borrowing 5 year term l...
by saminny
April 9th, 2011, 10:26 am
Forum: Student Forum
Topic: question on an equation in Avellaneda and Lee paper
Replies: 1
Views: 20983

question on an equation in Avellaneda and Lee paper

<r>Paper: <URL url="http://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdfIn"><LINK_TEXT text="http://www.math.nyu.edu/faculty/avellan ... 1108.pdfIn">http://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdfIn</LINK_TEXT></URL> the Appendix on page 46, how does he get...
by saminny
April 6th, 2011, 2:23 am
Forum: Student Forum
Topic: equilibrium martingale condition
Replies: 1
Views: 19156

equilibrium martingale condition

Is anyone familiar with 'equilibrium martingale condition'. I have come across this term in a number of market microstructure papers I have read but still don't comprehend what it means.
by saminny
February 2nd, 2011, 6:08 pm
Forum: General Forum
Topic: are american options path dependent
Replies: 7
Views: 23273

are american options path dependent

Is a single asset american put/call option a path dependent option? I am confused because it does depend on the path the underlying security takes which determines its early exercise region.
by saminny
November 11th, 2010, 3:51 am
Forum: Technical Forum
Topic: dividends projection
Replies: 1
Views: 23031

dividends projection

What are some of the methods for projecting stock dividends? I am trying to find some information on this online but I can't.thanks,Sam
by saminny
October 6th, 2010, 3:31 am
Forum: General Forum
Topic: z-spread term structure
Replies: 4
Views: 25447

z-spread term structure

Thanks.Does this actually happen in reality? Theoretically it makes sense, but in reality do we see spreads going down with extended maturities? I am trying to find some data online but can't.
by saminny
October 5th, 2010, 2:26 pm
Forum: General Forum
Topic: z-spread term structure
Replies: 4
Views: 25447

z-spread term structure

<t>I was looking at the z-spread term structure for past 50 years on Bloomberg. For investment grade bonds, rated A or higher, the z-spread increases as the time to maturity increases (as expected). However, for lower grade bonds (B or lower), the z-spread actually decreases with increasing time to ...
by saminny
September 2nd, 2010, 5:31 am
Forum: Book And Research Paper Forum
Topic: Derivagem pw
Replies: 44
Views: 210576

Derivagem pw

Some kind person please share the password via pm or email. I appreciate it.
by saminny
July 26th, 2010, 9:40 am
Forum: Student Forum
Topic: valuing an interest rate swap
Replies: 5
Views: 25692

valuing an interest rate swap

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: saminnyQuote If you cannot be bothered to do that you should really consider some other type of employment.Ok Ok... lolI don't think a basic interest rate swap valuation problem is that hard that it should take 2 months to learn. I've...
by saminny
July 26th, 2010, 2:25 am
Forum: Student Forum
Topic: valuing an interest rate swap
Replies: 5
Views: 25692

valuing an interest rate swap

Quote If you cannot be bothered to do that you should really consider some other type of employment.Ok Ok... lolI don't think a basic interest rate swap valuation problem is that hard that it should take 2 months to learn. I've already understood it. Thanks for your help
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