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by Stale
July 23rd, 2011, 9:06 pm
Forum: Careers Forum
Topic: How to Earn More Money as a Quant
Replies: 20
Views: 86386

How to Earn More Money as a Quant

So, assuming you want to stay, what is the dominant strategy against people trying to make you quit?Not paying attention, alert someone that will tell the boss?
by Stale
June 28th, 2011, 6:39 pm
Forum: Student Forum
Topic: Wind Forecast Outturn
Replies: 10
Views: 20395

Wind Forecast Outturn

<t>Yeah, I think my memory is corrupt when it comes to the correlation - 250km sounds true.Anyway, power output is a function of the power-curve. For the farms you have hourly output, you could try a scatter-plot off (vind, power)-pairs. It would be pretty messy, but you should be able to get an app...
by Stale
June 28th, 2011, 10:09 am
Forum: Student Forum
Topic: Wind Forecast Outturn
Replies: 10
Views: 20395

Wind Forecast Outturn

<t>If the wind-farms are, say, 50-100km apart, the production should be uncorrelated and must be modelled seperately. Cluster analysis or PCA to isolate related sites, and then model these?You tried looking at actual production and actual windspeeds, or don't you have any production data for specifi...
by Stale
April 27th, 2011, 3:13 pm
Forum: Technical Forum
Topic: Pricing Commodity Exotic Options
Replies: 8
Views: 23086

Pricing Commodity Exotic Options

<r>Hi,Take a look at this <URL url="http://db.riskwaters.com/data/energyrisk/EnergyRisk/Energyrisk_0408/56-60_MasterclassApr08.pdf.Stale"><LINK_TEXT text="http://db.riskwaters.com/data/energyris ... .pdf.Stale">http://db.riskwaters.com/data/energyrisk/EnergyRisk/Energyrisk_0408/56-60_MasterclassApr0...
by Stale
February 1st, 2011, 9:21 pm
Forum: Off Topic
Topic: Cross Country Skiing
Replies: 38
Views: 34997

Cross Country Skiing

Well, Petter Northug should get in shape to the world championship in Oslo this February/March. He hasn't convinced so far this season. Bjørndalen may deliver. Marit Bjørgen will deliver.We'll have our fair share of medals, and our pride is at stake :-)
by Stale
January 27th, 2011, 8:17 pm
Forum: Programming and Software Forum
Topic: Creating Mean Reverting Jump Diffusion Timeseries, MATLAB
Replies: 2
Views: 23418

Creating Mean Reverting Jump Diffusion Timeseries, MATLAB

HiI've done this for an OU process driven by gamma noise.Look up Barndorff-Nielsen and Neil Shepard (2001). I did it in R, and the simulations were horribly slow.Br,S
by Stale
January 3rd, 2011, 10:59 am
Forum: Trading Forum
Topic: algo-trading setup
Replies: 13
Views: 25517

algo-trading setup

Hi,How will you keep track of the executed trades?? Other system-parameters? I think you will end up using some kind of database anyway, so why not go for SQL? Also, which language will you use to implement this? ORMs are quite neat for implementation speed at least.Stale
by Stale
October 26th, 2010, 7:01 pm
Forum: Off Topic
Topic: Favorite comics (or manga) characters
Replies: 29
Views: 30964

Favorite comics (or manga) characters

Sven is cool 'cause he's a werewolf.
by Stale
August 11th, 2010, 9:56 pm
Forum: Programming and Software Forum
Topic: Numpy and Scipy
Replies: 12
Views: 30595

Numpy and Scipy

Hi,Does NumPy and/or SciPy even work on IronPython?I was under the impression that they didn't..S
by Stale
August 10th, 2010, 6:53 pm
Forum: Technical Forum
Topic: volatility surface arbitrage
Replies: 8
Views: 27124

volatility surface arbitrage

I agree. Seems, though, that arbitrage is a word people like to throw around. Arbitrage, in it's original meaning, would be hard to come by, I'd guess.Would doing a PCA of the vol-surface and then look at the scores for patterns be defined like statistical arbitrage then?S
by Stale
August 7th, 2010, 9:45 pm
Forum: Technical Forum
Topic: volatility surface arbitrage
Replies: 8
Views: 27124

volatility surface arbitrage

Hi,Is gamma scalping regarded as arbitrage?S
by Stale
August 7th, 2010, 9:34 pm
Forum: Trading Forum
Topic: Volatility arbitrage with sto vol models.
Replies: 5
Views: 29383

Volatility arbitrage with sto vol models.

<t>Hi,I'm no expert on this particular topic, but since nobody have answered I'll. Basically I have the same background as yourself.In general, I would say that volatility arbitrage is certainly possible, but probably one of the harder things to earn a living from - especially if you are working in ...
by Stale
August 3rd, 2010, 5:38 am
Forum: Trading Forum
Topic: Heston correlation in commodities
Replies: 14
Views: 42043

Heston correlation in commodities

Nice
by Stale
August 2nd, 2010, 6:43 pm
Forum: Trading Forum
Topic: Heston correlation in commodities
Replies: 14
Views: 42043

Heston correlation in commodities

crmorcom,Are you making money on this? If not, why so secretive?S
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