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by honeyoak87
December 29th, 2012, 3:19 am
Forum: Numerical Methods Forum
Topic: MCMC vs MLE
Replies: 31
Views: 198418

MCMC vs MLE

<t>QuoteOriginally posted by: rezaMCMC vs MLEany reason to perfer one to the other?advantages/ disadvantages ... philosophical differences?for an unusual distribution, both would require simulation and would be computationally expensive ...I wonder why recently most researchers use MCMC for SV probl...
by honeyoak87
December 29th, 2012, 2:43 am
Forum: Numerical Methods Forum
Topic: Univariate Time Varying Parameters Model
Replies: 1
Views: 9827

Univariate Time Varying Parameters Model

<t>Has anyone had success capturing time varying parameters using only univariate data? I have been playing around with the kalman filter and found that despite using multiple configurations of ARIMA and various asset classes (FX, equities, bonds) the state transition parameter is either highly nega...
by honeyoak87
February 23rd, 2011, 9:51 pm
Forum: Careers Forum
Topic: non-developer breaking into algo
Replies: 5
Views: 20620

non-developer breaking into algo

<t>QuoteNo, you don't have the skills, you don't have the right attitude either, and your social views render you unsuitable for the work in any way. You can't be trained to do it, and if by accident you got such a job you'd be so unhappy it would be a race between you quitting and being fired. Ther...
by honeyoak87
February 23rd, 2011, 6:01 pm
Forum: Careers Forum
Topic: non-developer breaking into algo
Replies: 5
Views: 20620

non-developer breaking into algo

<t>Hi I am an Econ grad student that is looking into breaking into Algo trading but am not certain if I have the correct skills for the industry. I am really good at econometrics/statistics and have self thought myself C++ skills. In the process of learning programming I have discovered that i have ...
by honeyoak87
February 22nd, 2011, 6:35 pm
Forum: Economics Forum
Topic: Capacity elimination
Replies: 8
Views: 25779

Capacity elimination

<t>there are two ways that I can come up with (I am sure they are more ) as to why this would be the case. one reason is coordination costs. It is simply easier to coordinate action among fewer players. the possibility that one member of a group will shirk and defect (expanding capacity at the behes...
by honeyoak87
February 18th, 2011, 12:56 pm
Forum: Economics Forum
Topic: USD 3M LIBOR
Replies: 3
Views: 29243

USD 3M LIBOR

<r>1. LIBOR is specifically sensitive to perceived bank risk. As it is a short term rate, it is not as sensitive to interest rates and inflation as longer term securities.<you can do the math yourself. how much can you expect to loose if interest rates rise 1% (which is a lot in three months) on an ...
by honeyoak87
February 18th, 2011, 12:45 pm
Forum: Economics Forum
Topic: Optimal capital structure of a firm
Replies: 45
Views: 32308

Optimal capital structure of a firm

<t>if you actually bothered to read it, you would see that the paper discusses how the adjustments of capital by firms in practice can be reconciled with two theories of capital structure. in practice we cannot observe ideal levels of capital structures that firms have, only their moments towards th...
by honeyoak87
February 16th, 2011, 11:30 pm
Forum: Economics Forum
Topic: Optimal capital structure of a firm
Replies: 45
Views: 32308

Optimal capital structure of a firm

<r>Here is a good paper on the topic:<URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=651345in"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... d=651345in">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=651345in</LINK_TEXT></URL> short, it seems that agency costs dominat...
by honeyoak87
February 12th, 2011, 5:02 pm
Forum: Economics Forum
Topic: Stimulus
Replies: 8
Views: 25322

Stimulus

<t>Sure. Lets say that the local government wants to build a bridge and they fund that with bonds paid by foreign investors. to build a bridge it takes a few things, labour (i.e. people to build the bridge) capital (i.e. equipment used to build the bridge) and materials ( steel, concrete, etc.). by ...
by honeyoak87
February 12th, 2011, 3:36 pm
Forum: Economics Forum
Topic: Stimulus
Replies: 8
Views: 25322

Stimulus

<t>It is also important to remember what the government is spending the stimulus on. if the government spends 1$ on domestic resources (i.e. labour, materials, capital) that is 1$ that the private sector cannot use for its own purposes. there is a fixed amount of labour and capital for a given unit ...
by honeyoak87
January 29th, 2011, 3:02 pm
Forum: Economics Forum
Topic: Money Supply and the Quantitative Easing Measures
Replies: 13
Views: 38254

Money Supply and the Quantitative Easing Measures

<r>the external "external factors" high commoditiy/energy prices, weakened currency are entirely under the control of the BOE. If they want a stronger currency, they can just print less of it. it is a simple supply and demand picture. if you go to <URL url="http://www.bankofengland.co.uk/markets/bal...
by honeyoak87
January 28th, 2011, 2:39 pm
Forum: Economics Forum
Topic: Money Supply and the Quantitative Easing Measures
Replies: 13
Views: 38254

Money Supply and the Quantitative Easing Measures

<t>In QE 1, (QE 2 is a bit different) the fed was buying mortgages from the banks outright who then placed those moneys in the central bank. A substitution of balance sheets between the fed and the banks if you will. this money (1 trillion) is just sitting there and not floating around the economy. ...
by honeyoak87
January 23rd, 2011, 6:08 pm
Forum: Economics Forum
Topic: QE2 and Long term Interest Rates
Replies: 6
Views: 26072

QE2 and Long term Interest Rates

<r> I can understand why it is confusing but i suggest that you ignore ANY THING that the popular media says about such topics. The topic is simply too complicated for it to be conveyed profitably in a major media outlet. If you want to better understand monetary policy I highly suggest that you rea...
by honeyoak87
January 23rd, 2011, 3:11 pm
Forum: Economics Forum
Topic: QE2 question
Replies: 3
Views: 24989

QE2 question

I am not sure that the statement is correct. It is hard for me to see how t-bills impact consumer loans as banks do not get funding from t-bills. my car loan is quoted in LIOBOR + spread, not the treasury rate.
by honeyoak87
January 17th, 2011, 1:48 pm
Forum: Economics Forum
Topic: latest oil price forecasts ?
Replies: 2
Views: 25226

latest oil price forecasts ?

you can try looking at oil futures:http://www.cmegroup.com/trading/energy/ ... crude.html
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