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by adannenberg
October 11th, 2015, 6:55 pm
Forum: Student Forum
Topic: Variance of X^2 + 2X
Replies: 4
Views: 2113

Variance of X^2 + 2X

C'mon... Just do it:var(y) = E(y^2) - E(y)^2 = E(x^4 + 4X^3 + 4x^2) - 1 = E(x^4) + 4E(x^2) -1 (E(x^3) =0 because pdf(x) is even) = 3 + 4 - 1 = 6
by adannenberg
May 22nd, 2014, 6:30 pm
Forum: Programming and Software Forum
Topic: Extracting data points from a graph image
Replies: 5
Views: 5327

Extracting data points from a graph image

Not 100% sure I understand your question, but if you're looking to back out the the set of x,y coordinates corresponding to the points of a plot for which you have only a jpeg then you may want to look at the Google Chrome plugin named WebPlotDigitizer.
by adannenberg
August 23rd, 2013, 4:22 pm
Forum: Student Forum
Topic: Asset allocation under uncertain parameters
Replies: 6
Views: 6654

Asset allocation under uncertain parameters

I thought about this a long time ago and wrote up my conclusions. Might help... http://arxiv.org/abs/0908.1444
by adannenberg
April 15th, 2011, 2:04 pm
Forum: Student Forum
Topic: Mixing positive definite matrices
Replies: 2
Views: 19015

Mixing positive definite matrices

it looks like y is supposed to be a wt, but you don't say that. the answer is obviously no if y outside of [0,1] is allowed. consider A = 2x2 identity, B = 2x2 with 0 diagonal terms, -3 off-diagonal. y = 4. then c = ((4,9),(9,4)) with det = 16-81...
by adannenberg
May 28th, 2010, 7:07 pm
Forum: Programming and Software Forum
Topic: iPad, Editing Equations and LaTeX
Replies: 9
Views: 33393

iPad, Editing Equations and LaTeX

Haven't tried this, and it's for windows-based tablets rather than iPads, but it's worth mentioning http://enventra.com/products/mobomath/overview.htm . It looks very cool... Anyone use this?
by adannenberg
April 16th, 2009, 11:44 am
Forum: Book And Research Paper Forum
Topic: NEW ARTICLE: A Novel Simple But Empirically Consistent Model for Stock Price and Option Pricing
Replies: 61
Views: 57962

NEW ARTICLE: A Novel Simple But Empirically Consistent Model for Stock Price and Option Pricing

<t>We've got to define terms here in order to have a reasonable discussion... The skew between fixed strikes declines as expiration increases simply because the quantiles of the pdf that the strikes represent become closer together as expiration increases and the distribution spreads out. Only if th...
by adannenberg
January 30th, 2009, 3:23 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Wilmott Magazine missing technical articles...
Replies: 7
Views: 46482

Wilmott Magazine missing technical articles...

Yes, but will they also be on the website?
by adannenberg
October 9th, 2007, 10:51 pm
Forum: Student Forum
Topic: Obvious arbitrage?
Replies: 5
Views: 64147

Obvious arbitrage?

Dividends
by adannenberg
December 6th, 2006, 8:26 pm
Forum: Brainteaser Forum
Topic: Classical problem from control
Replies: 5
Views: 88759

Classical problem from control

Yes, but can you show it on the back of an envelope
by adannenberg
December 5th, 2006, 1:53 pm
Forum: Brainteaser Forum
Topic: Classical problem from control
Replies: 5
Views: 88759

Classical problem from control

<t>Otherwise known as the marriage problem... Here's the bank's optimal strategy if their goal is to maximize the likelihood of hiring the best candidate: When you're 1/e of the way through the sample you decide that the next candidate that's better than all the previous candidates is the one you're...
by adannenberg
March 30th, 2006, 2:03 pm
Forum: Programming and Software Forum
Topic: which laptop has the best performance in computing?
Replies: 20
Views: 114189

which laptop has the best performance in computing?

<r>What about <URL url="http://hardware.slashdot.org/article.pl?sid=06/03/23/1717259&from=rss"><LINK_TEXT text="http://hardware.slashdot.org/article.pl ... 9&from=rss">http://hardware.slashdot.org/article.pl?sid=06/03/23/1717259&from=rss</LINK_TEXT></URL>? Does anyone know if this result...
by adannenberg
January 25th, 2006, 9:21 pm
Forum: Forum and Website Bugs and Suggestions
Topic: rss feeds
Replies: 4
Views: 129145

rss feeds

Never mind, I got it...
by adannenberg
January 25th, 2006, 1:47 pm
Forum: Forum and Website Bugs and Suggestions
Topic: rss feeds
Replies: 4
Views: 129145

rss feeds

<r>How do you see Wilmott in RSS? I use Firefox and, normally, there's a little indicator next to the url that indicates whether there's an RSS feed that I can subscribe to by clicking on it (as per <URL url="http://www.mozilla.com/firefox/livebookmarks.html">http://www.mozilla.com/firefox/livebookm...
by adannenberg
November 7th, 2005, 4:33 pm
Forum: Trading Forum
Topic: Equity Prime Brokerage Rates
Replies: 3
Views: 131592

Equity Prime Brokerage Rates

<t>Can anyone comment upon their rates? In particular: 1) What spread do you pay between the margin rate on money you borrow to pay for your longs and the short rebate rate you receive on the proceeds of short sales? 2) Also, do you lend out your longs, or are they held in a segregated account, or d...
by adannenberg
September 27th, 2005, 1:10 am
Forum: General Forum
Topic: Sharpe Ratios - What's Good, What's Bad, What's Better
Replies: 2
Views: 135710

Sharpe Ratios - What's Good, What's Bad, What's Better

<r>After a quick reading on <URL url="http://scienceworld.wolfram.com/physics/BuckinghamsPiTheorem.html"><LINK_TEXT text="http://scienceworld.wolfram.com/physics ... eorem.html">http://scienceworld.wolfram.com/physics/BuckinghamsPiTheorem.html</LINK_TEXT></URL>, I must admit that I don't see how the...
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