<t>I have several books on risk management:Fundamentals of Futures and Options Markets - HullManaging Financial Risk - SmithsonValue at Risk - JorionNot to mention the latest FRM designation handbook.These books are very good at telling you what risk is, how to measure it, report it, and they give y...

<t>"i'm not an index/equity guy, but i would check whether the S&P index is seasonal. i mean, maybe your restriction to the year 2011 is not that smart. ""that's YOUR job to determine wich model best fit your data. right?""your original time series is probably not stationary. thus, your statisti...

<t>Here is the LaTex of the output. I tried to post it but the forum blew up instead. If you can figure out how to view it it's easier to read than what I posted below.\documentclass[11pt]{article}\usepackage[utf8]{inputenc}\usepackage[a4paper,pdftex]{geometry}\usepackage{longtable}\begin{document}\...

<t>I've been dabbling with time series analysis for awhile. I haven't had the time to get as deep into it as I'd like. I'm working on a project right now to get myself more familiar with it and could use some help. I'm trying to read the output from the open source program gretl. I'm going to take t...

"Which book is that?"I know right?! Give it up Yoda!

<t>"Hmmm, if we take the book from brockwell and davis as an example then the kalman filter is taught at chapter 12. IMHO it is not that basic."True story.I went out to Amazon and didn't find a Pairs Trading book by Robert J. Elliott. Mizhael if you can't find it either I suggest Pairs Trading by Ga...

Sometimes I wonder if I'm speaking a foreign language....

<t>Lately it seems like more than one person has suggested a study of Signal processing to better the results from algorithmic trading. I've ran across one or two books on signal processing and algo trading. These books while highly recommended are sketchy at best. If you've done any amount of resea...

"You studied these stuffs in school ? Not bad."Well yeah. This is basic time series analysis. Any math major is going to hit this stuff like junior year if not sooner.

<t>IB is who we use and they were recommended to us by an equity trader that runs about $20MM; it's what he uses and it was recommended to him by his mentor. We looked at several other options and it was the best one to go with. They have well documented APIs. They are well known so a lot of 3rd par...

<t>Vegawizard thanks that makes TOTAL sense now. Paul my question was what was the real meaning of the log and why it was used to much in financial computations. We got kind of focused on natural logs because that was the example I used but I see Log base 10 in formulas as well. I think a clearer wa...

<t>#1 I understand fully. So here is a simple example from Analysis of Financial Time Series by Tsay. "The natural logarithm of the simple gross return of an asset is called the continuously compounded return or log return: r sub t = ln(1 + R sub t). Lets make R sub t = .05 so we have r sub t = ln(1...

<t>I've been studying math for about a year now. We work with logarithms a lot BUT in all this time I've never really been told what exactly the value of knowing the log is! I know it's the exponent that you need to raise the base to but what does that really mean? Why is it used so much in modeling...

<t>I thought I knew but maybe I don't. I thought that quants used their superhuman mathematical abilities to help banks and hedge funds umm..MAKE MONEY! And they did that by developing quantitative models of asset behavior that is used to forecast prices. Simplistically, you take a look at an asset,...

<t>Basically ANYTHING that teaches you how to deal with a complex system and randomness. That's why I started looking at control engineering and signals analysis. There is also machine learning and genetic algorithms but those are more software engineering topics. I have a book on modern control eng...