SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by ACD
May 13th, 2011, 6:26 am
Forum: Careers Forum
Topic: Are these courses worth it (UK)?
Replies: 7
Views: 21714

Are these courses worth it (UK)?

What type of Quant do you want to be? You could do a masters/Phd. that deals with statistics/econometrics which will be useful in a lot of hedge funds and would make you an attractive hire to them if you Phd. is in a useful area.
by ACD
May 4th, 2011, 4:15 pm
Forum: Careers Forum
Topic: Professional quants, please confirm!
Replies: 4
Views: 22075

Professional quants, please confirm!

Doesn't sound too promising for your career goals IMO...
by ACD
April 6th, 2011, 6:19 pm
Forum: Student Forum
Topic: Basic Probability
Replies: 15
Views: 21066

Basic Probability

<t>QuoteOriginally posted by: DoubleTroubleQuoteOriginally posted by: ACDAre they from a multivariate normal distribution or are thy just marginally normally distributed?They are not from a multivariate normal distribution. I have X_1, ..., X_n random variables which are all N(0,1).Ok can't really h...
by ACD
April 6th, 2011, 5:21 pm
Forum: Student Forum
Topic: Basic Probability
Replies: 15
Views: 21066

Basic Probability

Are they from a multivariate normal distribution or are thy just marginally normally distributed?
by ACD
December 8th, 2010, 10:31 am
Forum: Student Forum
Topic: garch but random volatility
Replies: 1
Views: 22069

garch but random volatility

<t>These pointers I think may help. x(t) is distributed as a normal variance-mean mixture. Normal Variance Mean mixtureIf you could observe z(t) this would be fairly trivial to estimate. Depending on the distribution of z(t) it may be fairly easy to determine the distribution of z(t) | e(t) and then...
by ACD
November 26th, 2010, 12:52 pm
Forum: Student Forum
Topic: how to integrate Brownian Motion with dt
Replies: 15
Views: 31393

how to integrate Brownian Motion with dt

<t>QuoteOriginally posted by: martingullHiIsnt it just integration by parts. where f(x) = tau, f'(x) = 1, g(x) = B(tau), g'(x) = dB(tau)so that its tau * B(tau) - B(tau)Or am I misunderstanding you?Is that right? I don't use Ito calculus much (so forgive me if I'm talking crap) but I would have thou...
by ACD
November 17th, 2010, 12:34 pm
Forum: Book And Research Paper Forum
Topic: The Boost C++ Libraries I, II
Replies: 51
Views: 75894

The Boost C++ Libraries I, II

Thanks for the pointer, Hansi's third picture looks fine to me. A download link would be fine too (anything that avoids having to type the code out of the book).
by ACD
November 17th, 2010, 7:32 am
Forum: Book And Research Paper Forum
Topic: The Boost C++ Libraries I, II
Replies: 51
Views: 75894

The Boost C++ Libraries I, II

Any chance of this being made avilable on the Kindle (or is it already? I got one recently and really like the thing)? Would it even work in that format? I assume there's a cd with the book, do amazon allow for CD bundling with a Kindle purchase? Thx
by ACD
October 19th, 2010, 1:57 pm
Forum: Student Forum
Topic: covariance matrix algebra
Replies: 2
Views: 22565

covariance matrix algebra

Or another way (think this should work):[diag(s)]^(-1) C [diag(s)]^(-1)Where the diag operator takes a column vector and returns a diagonal matrix with the vectors elements along the diagonal.
by ACD
August 26th, 2010, 2:32 pm
Forum: Student Forum
Topic: plot 4 times series with different scale in same graph
Replies: 5
Views: 24872

plot 4 times series with different scale in same graph

Also you could standardise them by their in sample volatility so that their movements are of similar magnitudes (if you don't care about the volatilities).
by ACD
June 11th, 2010, 6:53 am
Forum: Student Forum
Topic: positive definite
Replies: 23
Views: 42766

positive definite

<t>QuoteOriginally posted by: outrunThat was all I was saying:"it's impossible for the sum of observed data to have a negative variance"*but* you're moving to a different discussion: "the origin of faulty correlation matrices"There are lots of way to handle missing data when estimation correlations!...
by ACD
June 10th, 2010, 5:41 pm
Forum: Student Forum
Topic: positive definite
Replies: 23
Views: 42766

positive definite

<t>QuoteOriginally posted by: outrunI'm talking about actual data: e.g x1={3,1,4,1,5,2,6,5,...}, you can construct a linear combination of vectors that give a vector who's elements have negative variance. You are talking about transform of properties of variables, I'm talking about actual values of ...
by ACD
June 10th, 2010, 2:21 pm
Forum: Student Forum
Topic: positive definite
Replies: 23
Views: 42766

positive definite

<t>QuoteOriginally posted by: outrunQuoteOriginally posted by: ACDBecause it is invalid in this situation. If it wasn't (semi) positive definite then you could construct a linear combination of the variables in the matrix whose sum has a negative variance.I think there is subtle difference: its more...
by ACD
June 9th, 2010, 5:49 pm
Forum: Student Forum
Topic: positive definite
Replies: 23
Views: 42766

positive definite

Because it is invalid in this situation. If it wasn't (semi) positive definite then you could construct a linear combination of the variables in the matrix whose sum has a negative variance.
by ACD
April 23rd, 2010, 12:39 pm
Forum: Student Forum
Topic: Binary vs Digital Option not the same
Replies: 4
Views: 30072

Binary vs Digital Option not the same

Neither term refers to a Barrier option in my experience, they just mean that the payoff is the Heaviside step function (i.e. a fixed amount or nothing, hence the names as there are only 2 possible outcomes) and are inter-changeable.
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