SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Gmike2000
January 14th, 2011, 7:16 pm
Forum: Trading Forum
Topic: Clarium Capital in the news
Replies: 7
Views: 24652

Clarium Capital in the news

<t>Bill Gross manages 250 billion and has done like 8-12% on average over the past 20 years. Sharpe ratio over 1.0. Last year the fund was up 8%. Alpha was about 1%. That is a 2.5 billion P&L.If you are good, size just does not matter. I would argue it is easier to manage 100 billion than to man...
by Gmike2000
January 14th, 2011, 7:09 pm
Forum: Trading Forum
Topic: Question from trader to trader 2
Replies: 10
Views: 23147

Question from trader to trader 2

<t>Can fund managers beat the market consistently? Yes, but not all of them. Prop is the same thing. Fund manager manages versus the benchmark, prop guy has to beat the funding cost of this bank. At the end of the day, both of them chase alpha.This has nothing to do with "thinking" ("Do you THINK th...
by Gmike2000
January 14th, 2011, 7:01 pm
Forum: General Forum
Topic: long bond options price history
Replies: 3
Views: 22033

long bond options price history

try USH09C instead
by Gmike2000
January 12th, 2011, 6:50 am
Forum: Careers Forum
Topic: Best Head Hunter to search for candidates
Replies: 18
Views: 27520

Best Head Hunter to search for candidates

<t>Spain is so much nicer to live in than London or Paris or even NYC. If they had more variety in finance jobs (and if I spoke Spanish) I'd move there in a heartbeat, even if it means lower pay. Offer me a trading job in Barcelona or Spain or Sevilla...and I am in.The truth is that most kids who mo...
by Gmike2000
January 12th, 2011, 6:34 am
Forum: Student Forum
Topic: math question and change of num
Replies: 5
Views: 22130

math question and change of num

i am not a quant but as a trader the first one is common sense and seems trivial. even with discontinuous dividends, as long as you know the amount, you should be able to hedge this. am i the only one who thinks this is a good example for how finmath obscures reality?
by Gmike2000
January 12th, 2011, 5:42 am
Forum: Trading Forum
Topic: electronic trading of OTC products? FT article...
Replies: 1
Views: 22054

electronic trading of OTC products? FT article...

<t>"Extract the value from quants and programmers" ? What is this, the new version of Karl Marx' "Capital and Labour"?You think you can handle a 5 billion client order for gamma swaptions with your c++ compiler? I understand many quants perceive themselves to be better than traders, just because the...
by Gmike2000
January 9th, 2011, 12:24 pm
Forum: Technical Forum
Topic: PCA applied to volatility surfaces
Replies: 25
Views: 57315

PCA applied to volatility surfaces

<t>First of all, on a Sunday noon you should be enjoying your time off my friend My experience is only in the OTC market, so I guess perhaps the SP500 is more liquid and observable and lends itself to interesting analyses.I am really curious about this PCA shapes theory...one of our former quants on...
by Gmike2000
January 8th, 2011, 11:37 pm
Forum: Careers Forum
Topic: Value of CFA in Buy-side
Replies: 6
Views: 25329

Value of CFA in Buy-side

<t>Are you kidding, the CFA is a lot more recognized on the buy side than on the sell side.There are some big buy side firms that (gently and unofficially) require you to get the CFA, ahem I mean become a CFA charterholder, in order to advance to certain positions.And in contrast to that, there are ...
by Gmike2000
January 8th, 2011, 11:31 pm
Forum: Economics Forum
Topic: Money Supply and the Quantitative Easing Measures
Replies: 13
Views: 38186

Money Supply and the Quantitative Easing Measures

<t>In the old days, people would look at the money supply figures with as much anticipation as we do today when it comes to non-farm payrolls.But then sometime in the late 80s, the FED abandoned monetarism and targeting the money supply. I mean, with all that private sector credit creation happening...
by Gmike2000
January 8th, 2011, 11:22 pm
Forum: Technical Forum
Topic: PCA applied to volatility surfaces
Replies: 25
Views: 57315

PCA applied to volatility surfaces

by "trader" i meant "market maker"
by Gmike2000
January 8th, 2011, 11:21 pm
Forum: Technical Forum
Topic: PCA applied to volatility surfaces
Replies: 25
Views: 57315

PCA applied to volatility surfaces

<t>Don't mean to be a party pooper, but isnt there a theory that says that basically PCA will always yield a shift, slope, and curvature result for any random system?Also, how liquid is the vol surface you are "analyzing"? Can you be sure that all strikes always trade and that their "prices" are all...
by Gmike2000
January 8th, 2011, 11:16 pm
Forum: General Forum
Topic: Positive carry trade and roll down
Replies: 12
Views: 30091

Positive carry trade and roll down

<t>Rolldown is a theoretical concept but it is easily tested using historical data.I find that, depending on where on the curve you look (and also depending on the currency), you can expect to capture between 20% and 80% of the rolldown over a certain time horizon x and with a confidence of y. But i...
by Gmike2000
January 7th, 2011, 10:03 pm
Forum: Economics Forum
Topic: from the news
Replies: 8
Views: 26233

from the news

<t>0.3% is not = 103k jobsyou have about 300 million americansof those, 66% participate in the labor force (and about 35% are fat and have little education)unemployment figures are based on that participating fractiontoday the unemployment rate went down because the participation rate dropped as ppl...
by Gmike2000
December 8th, 2010, 11:09 pm
Forum: Economics Forum
Topic: The US "recovery"
Replies: 37
Views: 31765

The US "recovery"

<t>QuoteOriginally posted by: daveangelI suspect that given your previous bullish stance when things were going to hell in a handbasket that your current bearish stance must mean that 1. the US does create 2.5 million jobs 2. the housing market does recover3. the stock market is a massive buyLOL, se...
by Gmike2000
December 8th, 2010, 12:23 am
Forum: Economics Forum
Topic: The US "recovery"
Replies: 37
Views: 31765

The US "recovery"

<t>With today's treasury market bloodbath...the 7yr sold off by 25bps...QE2 is officially a failure. Yes yes you may claim it represents "rising inflation expectations" and hence QE2 has actually worked. This is middle brow thinking.The point is this. With the belly of the treasury curve exploding h...
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