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by msperlin
April 18th, 2010, 10:08 pm
Forum: Programming and Software Forum
Topic: Matlab 2010a out - student version improved
Replies: 7
Views: 36075

Matlab 2010a out - student version improved

<t>QuoteOriginally posted by: renormHow reliable are numerical methods in Matlab? Did 2010 version start up time improved compared to version 2009?Can't complain about the numerical functions. These days is hard to find a function that is not already implemented in base packages such as stats. From ...
by msperlin
April 16th, 2010, 11:52 am
Forum: General Forum
Topic: PhD Working Paper in Mkt Microstructure - Comments Welcome!
Replies: 4
Views: 29218

PhD Working Paper in Mkt Microstructure - Comments Welcome!

<t>QuoteOriginally posted by: endian675I read through and found it interesting, even if I couldn't follow everything. Perhaps this betrays my own lack of reading, but could you provide a clearer definition of "spillover"? Is it that heavier trading in the first of two correlated instruments encourag...
by msperlin
April 14th, 2010, 12:26 pm
Forum: General Forum
Topic: PhD Working Paper in Mkt Microstructure - Comments Welcome!
Replies: 4
Views: 29218

PhD Working Paper in Mkt Microstructure - Comments Welcome!

<t>Guys,I finished writing up one of my papers for my PhD. You can download it here:Comments are very welcome. Really apreciate it. A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market Abstract: This paper is set to investigate the existence of spillo...
by msperlin
April 9th, 2010, 9:14 am
Forum: Student Forum
Topic: Urgent ARMA-GARCH Question
Replies: 5
Views: 30640

Urgent ARMA-GARCH Question

Jokes aside, have a look in the help files for the function garchfit. If you have never worked with matlab, I suggest for you to have a look in Eviews, which is easier to use.
by msperlin
April 9th, 2010, 9:12 am
Forum: Student Forum
Topic: Urgent ARMA-GARCH Question
Replies: 5
Views: 30640

Urgent ARMA-GARCH Question

<t>QuoteI can't understand your command. How could you fit the model without an argument for the data?Sorry I forgot about it.Just type:eval('Mr Matlab, x is my dependent variable. Thanks'); QuoteBy the way I input your command into the command window in Matlab, an error appeared as stated below.???...
by msperlin
April 8th, 2010, 9:51 pm
Forum: Student Forum
Topic: Urgent ARMA-GARCH Question
Replies: 5
Views: 30640

Urgent ARMA-GARCH Question

<t>QuoteOriginally posted by: 89578251I have a financial time series, and I want to fit the financial time series to ARMA(1,1) with GARCH(1,1) volatility. How could I estimate the values of the coefficients in the specified model, preferrably in Matlab? Thanks very much in advanced.Go to matlab and ...
by msperlin
April 8th, 2010, 9:40 pm
Forum: Book And Research Paper Forum
Topic: New Book - High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems by Irene Aldridge
Replies: 3
Views: 36063

New Book - High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems by Irene Aldridge

<t>QuoteOriginally posted by: ChukchiHigh-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems (Wiley Trading)by Irene AldridgeHardcover: 352 pages Publisher: Wiley (November 25, 2009) ISBN-10: 0470563761 FinMath.comI read the book. Besides a couple of typos, I thought ...
by msperlin
April 8th, 2010, 9:36 pm
Forum: Student Forum
Topic: garch for non-equally spaced data (order book data)
Replies: 1
Views: 28314

garch for non-equally spaced data (order book data)

<t>QuoteOriginally posted by: agerigkhello everyone,I have to use d-vines with garch marginals for order book data in my master's thesis.does anyone have recommendations for a garch extension that allows non-equally spaced data?I haven't got any experience with the problem of non-equally spaced data...
by msperlin
March 22nd, 2010, 11:33 pm
Forum: Numerical Methods Forum
Topic: Need help with OPT++ constraints
Replies: 1
Views: 30903

Need help with OPT++ constraints

<t>I am using open source (Sandia Labs) OPT++ with newmat to model a GARCH(1,1) process. I need to estimate the parameters (omega, alpha, beta) which give the maximum likelihood. I have convinced myself that the likelihood function is correct. When I minimize (the negative) of the likelihood functio...
by msperlin
February 27th, 2010, 3:50 pm
Forum: General Forum
Topic: Betting Strategy - Gaussian Distribution
Replies: 5
Views: 30628

Betting Strategy - Gaussian Distribution

<t>QuoteOriginally posted by: nfactorialHiAlkmene, you're right I should have said stable distribution. Thus the parameters of the distribution are known.Msperlin, a short strangle positioned at 2std with a stoploss at 1std gives positive expectancy, as long as we have a gaussian distribution.Howeve...
by msperlin
February 27th, 2010, 1:01 pm
Forum: General Forum
Topic: Betting Strategy - Gaussian Distribution
Replies: 5
Views: 30628

Betting Strategy - Gaussian Distribution

QuoteOriginally posted by: nfactorialHi everyoneI we suppose that the distribution of price is gaussian (i.e. no fat tails), what would be a positive expectancy betting strategy?Thanks,Bet that you won't make any money on your bet ?? Interestingly, you will never win ..
by msperlin
February 26th, 2010, 10:15 am
Forum: Trading Forum
Topic: Crowd sourcing Quant hedge Fund
Replies: 10
Views: 38755

Crowd sourcing Quant hedge Fund

<r>QuoteOriginally posted by: filippibWe have just launched a massively opened quant hedge fund. We have a little video explaining our concept : <URL url="https://beta.algodeal.com/video.html">https://beta.algodeal.com/video.html</URL> come and let us know what you think!I liked the idea filippib. C...
by msperlin
February 26th, 2010, 10:07 am
Forum: Student Forum
Topic: How to Retain Graphs in Matlab
Replies: 5
Views: 31127

How to Retain Graphs in Matlab

<t>QuoteOriginally posted by: 89578251Using the codes below hopefully I will get 15 graphs, but in fact I only get one. Any function in Matlab can help me retain all of the 15 graphs? Thanks in advance.for i = 1:15 qqplot(Fkt1(:,i),Student_t15(:,i)) % Display 15 Q-Q plots versus Student-t distributi...
by msperlin
February 22nd, 2010, 10:08 am
Forum: Programming and Software Forum
Topic: Econometrics package for excel
Replies: 5
Views: 37902

Econometrics package for excel

<t>QuoteOriginally posted by: merhaba123Hi, I am not sure if this question goes here. If not, I am very sorry. I am desperately looking for a comprehensive econometrics packages that can be used entirely in Excel. It should have most of the functions of EViews and the likes. It is important that it ...
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