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by slacknoise
September 11th, 2014, 5:24 pm
Forum: Off Topic
Topic: Wedding Etiquette - advice needed.
Replies: 265
Views: 13170

Wedding Etiquette - advice needed.

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: slacknoiseCongratulations! Chile's a nice country -- great wine and awesome terrain (surf and snowboard on the same day).Chile is nice but once you live here you cannot appreciate the political, the educational, neither the health ...
by slacknoise
September 11th, 2014, 5:13 pm
Forum: Off Topic
Topic: Wedding Etiquette - advice needed.
Replies: 265
Views: 13170

Wedding Etiquette - advice needed.

random, but i am getting married this December....wohooo, and for being in Chile, having 100% attendance of my friends this is quite awesome.
by slacknoise
September 11th, 2014, 4:56 pm
Forum: Off Topic
Topic: VICE
Replies: 6
Views: 3393

VICE

What do you think about this? I've seen a couple of documentary's and to be honest up til now i like their documentation style. Never checked out the webside though. http://www.vice.com/en_us
by slacknoise
September 11th, 2014, 4:51 pm
Forum: General Forum
Topic: Time Horizont for measuring market Risk
Replies: 27
Views: 5677

Time Horizont for measuring market Risk

<t>Going back to your original question on window length etc. I have two suggestions: First, use more than one (a lot of folks use short, medium and long horizon based VaR numbers) and second, backtest backtest backtest! That way you will have a bit of an early warning if the regime is changing. I h...
by slacknoise
September 11th, 2014, 2:37 pm
Forum: General Forum
Topic: Time Horizont for measuring market Risk
Replies: 27
Views: 5677

Time Horizont for measuring market Risk

Has anyone here experience with real time VaR models concerning this topic?
by slacknoise
September 10th, 2014, 1:39 pm
Forum: General Forum
Topic: Time Horizont for measuring market Risk
Replies: 27
Views: 5677

Time Horizont for measuring market Risk

<t>QuoteOriginally posted by: MHill"It depends"If your equities are global, then close-of-business prices are staggered across time zones. You're probably better basing the calculation on weekly returns. So to keep a good estimate of individual stock volatilities, you're going to need a longer histo...
by slacknoise
September 10th, 2014, 11:42 am
Forum: General Forum
Topic: Time Horizont for measuring market Risk
Replies: 27
Views: 5677

Time Horizont for measuring market Risk

thanks for the insight and the fast reply. very much appreciated
by slacknoise
September 10th, 2014, 11:25 am
Forum: General Forum
Topic: Time Horizont for measuring market Risk
Replies: 27
Views: 5677

Time Horizont for measuring market Risk

Hi all,I would like to measure the risk of my equity portfolio via a VaR model incorporating a Student-T Copula and Extreme Value theory. What is an appropriate historical time span to consider for the equities in order to so? I appreciate any help. kind regards,
by slacknoise
September 8th, 2014, 3:55 pm
Forum: General Forum
Topic: Practical solution for fat-tail risk management?
Replies: 33
Views: 34847

Practical solution for fat-tail risk management?

<r>There is a recent paper about tail risk which i found quite interesting: "Robust and Practical Estimation for Measure of Tail Risk" <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2444381"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... id=2444381">http://papers.ssrn.com...
by slacknoise
August 20th, 2014, 3:49 pm
Forum: General Forum
Topic: Variable which describes abnormal price movements
Replies: 3
Views: 3751

Variable which describes abnormal price movements

<t>For Stock splits, dividends, mergers are being accounted for. I am referring to economic shocks. I am currently building a market maker infrastructure and would like to incorporate certain conditions taking into account these economic shocks. therefore, i am thinking about using a variable like r...
by slacknoise
August 20th, 2014, 11:31 am
Forum: General Forum
Topic: Variable which describes abnormal price movements
Replies: 3
Views: 3751

Variable which describes abnormal price movements

Hi,I am looking for a variable which describes abnormal price movements of a given security. The objective is to take certain risk measures, once a security experiences abnormal price decreases or increases. any suggestions? best regards,
by slacknoise
July 23rd, 2014, 2:53 pm
Forum: General Forum
Topic: How to value an equity Swap with prepayment option and accrued interest
Replies: 2
Views: 4283

How to value an equity Swap with prepayment option and accrued interest

<t>sladner, a client of mine is asking for this instrument and the prepayment option so there has to be a way. I have no problems valuating the swap as one leg is a fixed rate and the other leg is the return of the equity. I already constructed a discount curve but i am missing two details i think. ...
by slacknoise
July 23rd, 2014, 1:40 pm
Forum: General Forum
Topic: How to value an equity Swap with prepayment option and accrued interest
Replies: 2
Views: 4283

How to value an equity Swap with prepayment option and accrued interest

Hi,Anyone has a spreadsheet available and would be willing to share it which allows me to value an equity swap with the details mentioned in the titel?best regards,Paul
by slacknoise
July 15th, 2014, 4:04 pm
Forum: Programming and Software Forum
Topic: Matlab, Transfer Datafeed information to Database
Replies: 2
Views: 4230

Matlab, Transfer Datafeed information to Database

Hi,Curerently i am running a real time datafeed with data from Bloombeerg. I have the Oracle Express database connected to Matlab so i would like to store and accumulate the datafeed data and insert it automatically into the database. Any suggestions on how i could proceed? best regards
by slacknoise
July 4th, 2014, 7:39 pm
Forum: Trading Forum
Topic: Pairs Selection in Arbitrage Trading
Replies: 13
Views: 6149

Pairs Selection in Arbitrage Trading

As I mentioned previously. Would anybody interested in interchanging Arbitrage Excel files or Matlab files?
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