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by Stale
March 7th, 2012, 9:41 pm
Forum: General Forum
Topic: Company generates revenues in different currencies - FX risk exposure
Replies: 3
Views: 14305

Company generates revenues in different currencies - FX risk exposure

<t>Look at this as a weighted sum of pnl in different currencies. Break it into parts (e.g. different time periods) and currencies. Having N time-buckets and M currencies would leave you with a NxM matrix on which you could to PCA using historical FX-rates to find covariance. Applying this to your c...
by Stale
February 3rd, 2012, 12:17 pm
Forum: Trading Forum
Topic: ANN based sotck price prediction
Replies: 11
Views: 16663

ANN based sotck price prediction

Hi,Quick question: By processing you mean scaling/transforming to obtain normalized and perhaps stationary data?Stale
by Stale
January 15th, 2012, 10:58 pm
Forum: General Forum
Topic: hedging metals
Replies: 10
Views: 16470

hedging metals

<t>As far as I understand, Iron Ore is used to make steel. To actually do this you need coke so the prices should be co-integrated, I assume. Nice starting point for a hedge - at least for the financial products. Electric Arc Furnaces are used to melt steel for reshaping/recycling it - not create st...
by Stale
January 14th, 2012, 8:05 pm
Forum: General Forum
Topic: hedging metals
Replies: 10
Views: 16470

hedging metals

by Stale
November 15th, 2011, 9:52 am
Forum: Numerical Methods Forum
Topic: Option hedging with implied vs. relaized/actual vola
Replies: 6
Views: 19120

Option hedging with implied vs. relaized/actual vola

Common, you should be able to remove the trailing "," from the URLs.
by Stale
November 14th, 2011, 10:29 am
Forum: Numerical Methods Forum
Topic: Option hedging with implied vs. relaized/actual vola
Replies: 6
Views: 19120

Option hedging with implied vs. relaized/actual vola

<r>Hi,See this: <URL url="http://www.wilmott.com/blogs/paul/index.cfm/2006/7/8/Volatility-arbitrage-some-results"><LINK_TEXT text="http://www.wilmott.com/blogs/paul/index ... me-results">http://www.wilmott.com/blogs/paul/index.cfm/2006/7/8/Volatility-arbitrage-some-results</LINK_TEXT></URL>, and the...
by Stale
October 31st, 2011, 8:51 pm
Forum: Technical Forum
Topic: String to Date Conversion in R
Replies: 3
Views: 17282

String to Date Conversion in R

Well, take a look at the format you use "%Y-%m-%d %H:%M:%S". You're actually providing a string with a dot as separator between the fields, not a hyphen as you specify in the format.
by Stale
October 18th, 2011, 11:35 am
Forum: General Forum
Topic: Brent-WTI Spread
Replies: 24
Views: 23283

Brent-WTI Spread

They should be in line up to difference in o&m-costs plusquality.The quality of the oil doesn't explain the difference. Disruptions to supply (Libya) and reduced capacity in the North Sea would. Rembember brent is offshore-based and WTI land based.
by Stale
September 29th, 2011, 7:45 pm
Forum: Student Forum
Topic: Simulation of Gas Forward Curves - PCA Calibration
Replies: 4
Views: 18137

Simulation of Gas Forward Curves - PCA Calibration

<t>I don't know anything about this, but looking at your quote I would say that you need to consider the fact that implied volatilities are a time-weighted average (or, more precisely the expected realized volatility to maturity for a given contract). So you need to pay attention to consistency with...
by Stale
September 1st, 2011, 6:23 pm
Forum: Programming and Software Forum
Topic: Got Advice on Database set up/data sources?
Replies: 32
Views: 22470

Got Advice on Database set up/data sources?

Well, p/b would be cool - but I was more thinking of interpolating curves, doing forecasts and the like on inserts. The alternative is scipting in Python? Works nicely for now...
by Stale
September 1st, 2011, 1:44 pm
Forum: Programming and Software Forum
Topic: Got Advice on Database set up/data sources?
Replies: 32
Views: 22470

Got Advice on Database set up/data sources?

<r>I was thinking of stored procedures (<URL url="http://msdn.microsoft.com/en-us/library/ms131102.aspx">http://msdn.microsoft.com/en-us/library/ms131102.aspx</URL>) and triggers (<URL url="http://msdn.microsoft.com/en-us/library/938d9dz2%28v=vs.80%29.aspx"><LINK_TEXT text="http://msdn.microsoft.com...
by Stale
September 1st, 2011, 11:02 am
Forum: Programming and Software Forum
Topic: Got Advice on Database set up/data sources?
Replies: 32
Views: 22470

Got Advice on Database set up/data sources?

Hi all - interesting discussion.Anyone doing MSSQL and adding C# assemblies? Wondering how this would work....S
by Stale
August 9th, 2011, 11:14 am
Forum: Off Topic
Topic: norway
Replies: 551
Views: 80878

norway

And since their preferred prey are harder to come by these days, I'm sure they will feast on well-fed English tourists who think the Arctic is a friendly place to be.
by Stale
August 9th, 2011, 11:03 am
Forum: Technical Forum
Topic: Cointegration in commodities
Replies: 11
Views: 24274

Cointegration in commodities

<t>CCGTs are gas-powered electricity-generators and depending on the particular generator it will do this conversion with some degree of efficiency. Older generators are typically less effective than newer ones. Efficiency is obviously a vaguely defined concept and mostly interesting for the enginee...
by Stale
August 9th, 2011, 10:42 am
Forum: General Forum
Topic: Physical commodity trading
Replies: 9
Views: 20561

Physical commodity trading

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