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by Siberian
August 28th, 2008, 1:52 pm
Forum: General Forum
Topic: IR risk - vodka at stake?
Replies: 10
Views: 50935

IR risk - vodka at stake?

but if the interest rates go down, economy will expand, incomes will rise, more parties will be held and so the demand for vodka will increase causing an increase in the price, what do you think about that?Siberian
by Siberian
August 27th, 2008, 6:43 pm
Forum: General Forum
Topic: trade sharpe vs. daily sharpe and sampling frequency
Replies: 6
Views: 50328

trade sharpe vs. daily sharpe and sampling frequency

<t>but my point is exactly that the frequency of trading does not matter because of the way returns are measured. say you have a macro guy who rebalances every say 3 months. if we were to mark-to-market based on his investment horizon then in 5 years we have only 20 returns from which we can calcula...
by Siberian
August 27th, 2008, 5:22 pm
Forum: General Forum
Topic: trade sharpe vs. daily sharpe and sampling frequency
Replies: 6
Views: 50328

trade sharpe vs. daily sharpe and sampling frequency

<t>Thanks for the replies, I wholeheartedly agree with your comments. However let me point out that even if you knew the strategies in-and-out, it seems counterintuitive to say that assuming the strategies have the same sharpe, i am equally confident in the one that made 6 trades over the last 3 yea...
by Siberian
August 27th, 2008, 1:18 pm
Forum: General Forum
Topic: trade sharpe vs. daily sharpe and sampling frequency
Replies: 6
Views: 50328

trade sharpe vs. daily sharpe and sampling frequency

<t>say you have 2 strategies with identical IRs. one is trading every minute, another one every 6 months. which one you would feel more confident in and why.Let me elaborate a bit:most of the hedge funds that i met report their pnl on a monthly basis, if you are lucky on a daily, that does not neces...
by Siberian
August 14th, 2008, 12:30 pm
Forum: Off Topic
Topic: South Ossetia
Replies: 85
Views: 58888

South Ossetia

<t>I am sorry scholar, that is just a silly thing to say... Countries are fine where they are, they just have to be smart...If you read the report by the HRW, the genocide or attempts of thereof were recorded on both sides, and it is not clear who started it this time. The military operation was sta...
by Siberian
August 14th, 2008, 12:16 pm
Forum: General Forum
Topic: Very simple dispersion option pricer
Replies: 3
Views: 51905

Very simple dispersion option pricer

oops, silly typo, it is of course sqrt(YrsTM)...centroid is just a mean return, dispersion in this case is the MAD (mean absolute deviation)the rest is just simulating the return N times, averaging out and discounting.thanksEv
by Siberian
July 29th, 2008, 6:15 pm
Forum: General Forum
Topic: ANY BOOKS on quantitative methods in portfolio management?
Replies: 5
Views: 51628

ANY BOOKS on quantitative methods in portfolio management?

Bob Litterman's book Modern Investment Management
by Siberian
July 22nd, 2008, 7:41 pm
Forum: Trading Forum
Topic: order flow/trading imbalance variables for statistical arbitrage
Replies: 1
Views: 53572

order flow/trading imbalance variables for statistical arbitrage

from what i have seen it is in use rather extensively but it is not very consistent
by Siberian
July 22nd, 2008, 4:48 pm
Forum: Brainteaser Forum
Topic: Expectation at Infinity
Replies: 15
Views: 53256

Expectation at Infinity

<t>QuoteOriginally posted by: quantystQuoteOriginally posted by: Siberianif x(0) = 1, then x(1)~U(0,1^1), x(2)~U(0,1^1), i.e. 1^a is 1 for any a?No. Your understanding is different from mine.It is correct that X(1)~U(0,1).But it is incorrect to say X(2)~U(0,1). In fact, X(2)~U(0,X(1)).Now, let's fin...
by Siberian
July 22nd, 2008, 4:00 pm
Forum: Brainteaser Forum
Topic: Expectation at Infinity
Replies: 15
Views: 53256

Expectation at Infinity

if x(0) = 1, then x(1)~U(0,1^1), x(2)~U(0,1^1), i.e. 1^a is 1 for any a?
by Siberian
July 22nd, 2008, 2:38 pm
Forum: Technical Forum
Topic: Equity L/S perfomance measure
Replies: 7
Views: 51702

Equity L/S perfomance measure

<t>IR? Sharpe?you can use a tracking error and a vol estimate to come up with an implied notional, take monthly pnl (net of bmark like t-bills or whatever other cash bmark you are using) and divide it by the implied notional to obtain a % return;some FoF are using monthly value add divided by the (m...
by Siberian
July 22nd, 2008, 2:04 pm
Forum: Brainteaser Forum
Topic: Expectation at Infinity
Replies: 15
Views: 53256

Expectation at Infinity

am i missing smth or it's really just 1/2?
by Siberian
July 22nd, 2008, 12:21 pm
Forum: Trading Forum
Topic: long term algo's?
Replies: 4
Views: 51546

long term algo's?

look at some fundamental econ models like FEER or ERER - these are FX models. I think GSAM was trading FEER at one point.Ev
by Siberian
July 15th, 2008, 5:24 pm
Forum: General Forum
Topic: Can the impossible happen?
Replies: 14
Views: 54058

Can the impossible happen?

QuoteOriginally posted by: farmerWho am I buying this from that I think will pay off when the US government defaults? Seems the height of silliness...Saudis? ADIA? Norwegian Pension Plan?
by Siberian
July 15th, 2008, 3:49 pm
Forum: General Forum
Topic: has anyone read this?
Replies: 1
Views: 50722

has anyone read this?

Did not read anything new. Did not hear anything about Hyde Park Global.Cheers,Ev
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