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by Siberian
June 3rd, 2008, 12:14 pm
Forum: Trading Forum
Topic: Who needs a dictionary of Bloomberg fields?
Replies: 11
Views: 75206

Who needs a dictionary of Bloomberg fields?

thanks looks interesting, let me circulate around my trading floor, see if there is any interest.cheers,Ev
by Siberian
June 2nd, 2008, 10:23 pm
Forum: Trading Forum
Topic: Who needs a dictionary of Bloomberg fields?
Replies: 11
Views: 75206

Who needs a dictionary of Bloomberg fields?

i would not mind having a look at it. i find autocomplete in bloom pretty helpful, but out of curiosity would be interested.
by Siberian
May 30th, 2008, 8:03 pm
Forum: Technical Forum
Topic: covariance swap
Replies: 0
Views: 53853

covariance swap

sorry dbl post
by Siberian
May 30th, 2008, 12:14 pm
Forum: General Forum
Topic: Any ppl working at FoFs?
Replies: 1
Views: 53501

Any ppl working at FoFs?

<t>you can be fairly sophisticated with your analysis if you have a good data, if you - as most of FoF - have only monthly returns and some exposure reports weekly, there is only that much that you can do. For daily positions level data you can do a bunch of things, you can be creative with your fac...
by Siberian
May 27th, 2008, 12:55 pm
Forum: Trading Forum
Topic: fx liquidity forecasting
Replies: 8
Views: 55631

fx liquidity forecasting

Thanks LiKaShing, i have seen these papers, the problem is that being a relatively new shop we don't have that much of our own data, definitely not enough for exploratory analysis.Will keep digging.Thanks everyone.Ev
by Siberian
May 26th, 2008, 7:12 pm
Forum: Trading Forum
Topic: fx liquidity forecasting
Replies: 8
Views: 55631

fx liquidity forecasting

<t>i looked at some USDNOK trades, the price impact is drastically different from small size to mid to large size trades, varies much more than in USDEUR. I would like to come up with a good forecasting model for liquidity/t-cost of an fx trade as a function of the size. When i polled the brokers, a...
by Siberian
May 26th, 2008, 3:41 pm
Forum: Careers Forum
Topic: drop out rate, Cass Investment Management
Replies: 70
Views: 61219

drop out rate, Cass Investment Management

<t>Coming from pure math background, i feel i have to put my two kopecks in. I do agree with Cuch and this idea also seems to be shared by majourity of the faculty and grad students at least in university i attended, not sure how it is in other schools. At McGill we were constantly reminded about th...
by Siberian
May 23rd, 2008, 6:17 pm
Forum: Trading Forum
Topic: fx liquidity forecasting
Replies: 8
Views: 55631

fx liquidity forecasting

Also, is it really true if you compare a 1MM trade with a 100MM or 500MM trade? For some reason i doubt that the trader at the bank will be willing to take a large sum like that at the mid.
by Siberian
May 23rd, 2008, 3:26 pm
Forum: Trading Forum
Topic: Institutional Forex Trading Strategies
Replies: 8
Views: 57366

Institutional Forex Trading Strategies

<t>Nashequillibrium,I think you will be surprised to hear that Dr. Meese right now runs an FX strategy at BGI, and as far as i remember, his paper referred to inability of forecasting based on PPP differential, whereas right now there is a large nr of factors involved in forecasting equilibrium exch...
by Siberian
May 23rd, 2008, 3:02 pm
Forum: Trading Forum
Topic: fx liquidity forecasting
Replies: 8
Views: 55631

fx liquidity forecasting

is it the same for the em ccies as well?are you saying there is no need for t-cost model in ccies at all?Thanks for the reply.Ev
by Siberian
May 21st, 2008, 8:41 pm
Forum: Trading Forum
Topic: fx liquidity forecasting
Replies: 8
Views: 55631

fx liquidity forecasting

have seen a lot of research and data on equity t-cost/liquidity forecasting, not a whole lot on fx though, would greatly appreciate any help.Regards,Ev
by Siberian
May 15th, 2008, 11:37 am
Forum: Trading Forum
Topic: Algo trading
Replies: 7
Views: 56402

Algo trading

Thank you quantumar and rmax. I appreciate your responses. Will do more digging.Sib
by Siberian
May 14th, 2008, 4:06 pm
Forum: Trading Forum
Topic: Algo trading
Replies: 7
Views: 56402

Algo trading

Would it be correct to say that Coral8 has less in-built analytics than some of its peers?What is your experience so far with the CEPs in general?Thanks very much in advance,Ev
by Siberian
May 13th, 2008, 6:19 pm
Forum: Trading Forum
Topic: Algo trading
Replies: 7
Views: 56402

Algo trading

<t>Already posted a similar questions on software forum, and no replies, let me try it here, apologise to the webmasters;I am interested in hearing from people who are using complex event processing platforms for algo trading/tran costs/data filtering, if names like Aleri, Streambase and Coral8 mean...
by Siberian
May 13th, 2008, 5:35 pm
Forum: Programming and Software Forum
Topic: CEP
Replies: 3
Views: 55176

CEP

Does anyone out there use a complex event processing platform for trading/data processing etc.? Smth like Streambase or Aleri? If you do, would greatly appreciate any comments.THanks a mi in advance.
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