Hi Kaje,Thanks for your response, it looks solid. I'll compute through when I've had a decent sleep Thanks again, Scotty

<t>QuoteOriginally posted by: secret2What do you think the equation is for the 2 asset case?It varies depending on what values the correlation and PL are. even a slightly change will change the equation.But to solve for it is easy.If we think of my example below and graph it on a xy plane, we'll get...

<t>Hey guys,I came across an author who used a bit of a simple formula to estimate the probability of losing (PL) on two positions if you trade them together.Basically he said If PL of your strategy is 0.6 and you trade two different assets your overall risk is0.6*0.6=0.36The big problem being of co...

You know whats sad, I know some people who trade pretty poorly, but even they wouldn't blow up their losses to more than 3 months of their income (aparantly UBS lost 2 bil and are likely to be posting a loss for this quarter, got that from the news so 85/90% confidence in it)

<r>here's the link to where I bought the data,I got 20 years of data for some, 50 years for others, does depend on how long the security has been listedhttp://<URL url="http://www.premiumdata.net/It%27s">www.premiumdata.net/It's</URL> only EOD data btw, I didn't need any tick data they have a few ot...

a couple missing bits wasn't the problem, I was finding 100-200 or so missing data peices between the sets. Very unsure about their methods for backadjusting too.I ended up buying some, CME quoted me $20,000 for the data I wanted, shopped around and got the same for $99.

<r>I'm doin a little indepdent research on futures and needing a good 10-20 years of data.<URL url="http://wikiposit.org/p?futuresCan">http://wikiposit.org/p?futuresCan</URL> anyone vouch for the accuracy of this data?Part of my research involves intermarket analysis, so I'll run one dataset versus ...

hmm well it is Scholes, he's certainly made some 'great' predictions in the past that made 'great' returns

Just looking for a simple defintion, I've googled it but seem to get a lot of info on products that do it but not what it is and involves Is it where you take all of the trades made by your institution in one group and pass them through for clearance on the market?

damn that is one good course

<t>I wont' go into specifics but I basically use momentum to determine whether a trend is going to continue or not. There's a million ways to measure it (indicators etc). You can imagine this probably works well in some markets and not so well in others, like I lost 7.5% in July, but in August the s...

any other comments?

typo.

<t>QuoteOriginally posted by: edouardQuoteFor a quant is this a good selection?quant ... what? according to what i've read so far, a "quant" role may be very different from another.you could that : clarification on the quant job you dream of -> attached compentencies/knowledge identification -> cour...

<r>QuoteOriginally posted by: frenchXSeems to be quite complete. You have a lot of statistics but not so much probabilities. I would take additional course in probabilities in addition to your stochastic calculus lecture. And what about programming ? I'm guessing that you have some programming proje...