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by msperlin
November 25th, 2009, 2:49 pm
Forum: Trading Forum
Topic: Stock Selection Strategy
Replies: 8
Views: 34224

Stock Selection Strategy

QuoteOriginally posted by: nick71692I am looking for a stock selection strategy that aims to maximize short term returns. Any ideas?buy low, sell high ?
by msperlin
November 11th, 2009, 1:10 pm
Forum: Technical Forum
Topic: implied covariances estimate
Replies: 9
Views: 33264

implied covariances estimate

QuoteSimulation would be an overkill here!Agreed, after seeing your solution.QuoteIt's just Property 7 here.If u r unfamiliar with matrix notations work it out for the 2 dimensional case, it's straightforward.Nice.
by msperlin
November 11th, 2009, 11:51 am
Forum: Technical Forum
Topic: implied covariances estimate
Replies: 9
Views: 33264

implied covariances estimate

double post
by msperlin
November 11th, 2009, 11:07 am
Forum: Technical Forum
Topic: implied covariances estimate
Replies: 9
Views: 33264

implied covariances estimate

<t>QuoteOriginally posted by: Shtrausshello,i have 3 variables (x1 x2 and x3) regressed against 4 other variables (r1 r2 r3 and r4) over some time. and i have the matrix of betas like this:beta11 beta21 beta31 beta41beta12 beta22 beta32 beta42beta13 beta23 beta33 beta43beta14 beta24 beta34 beta44i a...
by msperlin
November 9th, 2009, 9:25 am
Forum: General Forum
Topic: Could financial quarter reports of Lehman Brothers show the signal of its bankruptcy?
Replies: 5
Views: 32899

Could financial quarter reports of Lehman Brothers show the signal of its bankruptcy?

QuoteOriginally posted by: JAny ideas?This is a long shot, but did you check the stock's reaction to the financial reports? If there is any predictability in those documents, who better than the market to judge it..
by msperlin
November 7th, 2009, 3:25 pm
Forum: General Forum
Topic: GOOD HIGH FREQUENCY STRATEGIES
Replies: 5
Views: 33210

GOOD HIGH FREQUENCY STRATEGIES

<t>QuoteOriginally posted by: MarineQuotebecause any trading strategy can be inverted by switching the trading signs. This is not correct and misleading. You cannot always just switch a sign for a trading strategy and expect the return curve to be inverted. Usually when this happens it's because you...
by msperlin
November 5th, 2009, 10:48 pm
Forum: General Forum
Topic: GOOD HIGH FREQUENCY STRATEGIES
Replies: 5
Views: 33210

GOOD HIGH FREQUENCY STRATEGIES

<t>QuoteOriginally posted by: lombardovitowhat is a good Hf or UHF strategies? a lot of word about Hf but no paper with a good strategyAnd you honestly can't see the reason why? And I bet you won't also be able to see any paper with one the performs extremelly bad. One because it doesn't add anythin...
by msperlin
November 2nd, 2009, 9:36 pm
Forum: General Forum
Topic: Do you have complicated time series / Monte Carlo sample data for me?
Replies: 4
Views: 33744

Do you have complicated time series / Monte Carlo sample data for me?

<r>For state switching processes you can use the package I have been developing:<URL url="http://www.mathworks.com/matlabcentral/fileexchange/15789-msregress-a-package-for-markov-regime-switching-models-in-matlabIt"><LINK_TEXT text="http://www.mathworks.com/matlabcentral/ ... n-matlabIt">http://www....
by msperlin
September 12th, 2009, 12:09 pm
Forum: Careers Forum
Topic: Looking for some PhD students
Replies: 10
Views: 36705

Looking for some PhD students

I'll be interested in hearing it as well. Please pm me with details.
by msperlin
September 12th, 2009, 12:02 pm
Forum: Numerical Methods Forum
Topic: initial volatility at GARCH model simulation
Replies: 3
Views: 39604

initial volatility at GARCH model simulation

<t>QuoteOriginally posted by: wetherbyi was wondering what initial voliatility should be used for the case of the igarch model where no unconditional variance exists. also is there an explicit formula for calculating the unconditional volatility of egarch? ThanksYou can always use the empirical vari...
by msperlin
August 26th, 2009, 7:36 pm
Forum: General Forum
Topic: Historical data on stock prices
Replies: 6
Views: 36177

Historical data on stock prices

<r>QuoteOriginally posted by: cplxphilThanks to all for the replies. Unfortunately, I think the non-free solution is probably out of my price range, and while the Yahoo Finance options is a possibility, it seems like it would take a lot of effort to get that to work with a program.It seems strange t...
by msperlin
August 24th, 2009, 3:42 pm
Forum: Numerical Methods Forum
Topic: Matlab vs Excel optimizer
Replies: 3
Views: 39284

Matlab vs Excel optimizer

<r>QuoteOriginally posted by: dariotonoHi everyone,I'm trying to calibrate the Hull-White two factor model for interest rates via Excel/matlab.Starting from the same initial data I get very different results using the excel solver or the matlab function fmincon().Can anybody help me.....?ThanksMatla...
by msperlin
August 22nd, 2009, 9:50 am
Forum: Student Forum
Topic: Estimating the possible regimes given historical data.
Replies: 4
Views: 35473

Estimating the possible regimes given historical data.

<t>QuoteOriginally posted by: epon79Hi All,Does any one know of how to find out what are the distributions of possible regimes given historic data.I think the problem is easier if you have a set number of regimes and assume they are normal. I am interested in the case where there are 2 regimes.I i w...
by msperlin
August 12th, 2009, 8:00 pm
Forum: Numerical Methods Forum
Topic: initial volatility at GARCH model simulation
Replies: 3
Views: 39604

initial volatility at GARCH model simulation

<t>QuoteOriginally posted by: joshurI have estimated the coefficients (lamda,a,b,w) of GARCH(1,1). I now want to price an option using Monte Carlo simulation. My question is what value to include as the initial volatility value in the variance equation. Any help would be deeply appreciated. Thank yo...
by msperlin
July 27th, 2009, 7:27 pm
Forum: General Forum
Topic: Books like 'Liar's Poker'?
Replies: 17
Views: 43111

Books like 'Liar's Poker'?

<t>Here is my list of good books in finance:- "When genius failed" - Good description in LTCM episode. Including the intuition behind the trades, which is quite nice to see.- "a demon of our own design" - Also good. Presented some reasoning behind market failures. A bit of overlapping with previous ...
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