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by slacknoise
May 12th, 2014, 2:07 pm
Forum: Student Forum
Topic: Equity Arbitrage/ Position Fill and Risk Reduction
Replies: 9
Views: 5028

Equity Arbitrage/ Position Fill and Risk Reduction

<t>I am currently working on a model which runs automated ADR/Local equity arbitrage and having some troubles to define the correct roundtrip and risk reduction measures.To start off. At a sufficient spread size between ADR and Local the machine should buy and sell up to a certain limit say 10.000 U...
by slacknoise
April 21st, 2014, 7:32 pm
Forum: Student Forum
Topic: bloomberg data retrieved to matlab
Replies: 9
Views: 21828

bloomberg data retrieved to matlab

it might be outdated but had some problems with the connection myself and this solved it. in matlab use the javaaddpath function in my case for example it is "javaaddpath('C:\blp\API\blpapi3.jar') also consider cases
by slacknoise
April 21st, 2014, 2:02 pm
Forum: General Forum
Topic: Consultancy
Replies: 1
Views: 4784

Consultancy

Hi, anybody knows consulting firms which provide services concerning algo programming in the trading context, preferably with presence in Latin america? best
by slacknoise
February 25th, 2014, 3:25 pm
Forum: General Forum
Topic: VaR model based on copulas and EVT
Replies: 1
Views: 5272

VaR model based on copulas and EVT

<t>Hi,I am currently trying to develop a VaR model for an equity portfolio which incorporates EVT and copulas. Currently i am working with excel but in the near future i will implement a similar model in matlab. I would like to know whether somebody has an excel file which fits the description above...
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