SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by chocolatemoney
November 18th, 2008, 1:01 pm
Forum: Student Forum
Topic: covariance correlation estimator bias
Replies: 8
Views: 49397

covariance correlation estimator bias

My take on the problem is that real correlation = future correlation, while empirical = estimated and, if you look at time series, historical.For instance, in bad times, when liquidity drains and markets experience big sell-offs, correlations tend to be higher than those in good times.
by chocolatemoney
November 18th, 2008, 8:56 am
Forum: Student Forum
Topic: currency in pricing
Replies: 7
Views: 46887

currency in pricing

I don't know if I've understood your question.I would use price quotes all converted in base currency. That will sum up the stock price movements and the FX gains/losses.Anyway, I'm just thinking loud: I am a novice.
by chocolatemoney
November 5th, 2008, 7:15 am
Forum: Student Forum
Topic: Setting stop-level and probability
Replies: 7
Views: 47659

Setting stop-level and probability

Thanks for your help!PS: Dave was right: I've already been told by those in charge of the trading that they would stick to a stop-loss strategy "with some degree of freedom".
by chocolatemoney
October 31st, 2008, 6:27 am
Forum: Student Forum
Topic: Setting stop-level and probability
Replies: 7
Views: 47659

Setting stop-level and probability

Thanks outrun and daveangel.Is there anything to read you would recommend to understand barriers?
by chocolatemoney
October 30th, 2008, 9:05 pm
Forum: Student Forum
Topic: Setting stop-level and probability
Replies: 7
Views: 47659

Setting stop-level and probability

<t>Hello, I was thinking about how a stop-loss level should be set.Given the usual stock-price dynamics: dX = aXdt + sXdWI have computed the following:If my computation is correct it should be possible to plug in the formula reasonable values for a, s and let's say in a time interval of one year (Δt...
by chocolatemoney
October 29th, 2008, 4:01 pm
Forum: Student Forum
Topic: How central banks work
Replies: 1
Views: 46633

How central banks work

<t>Up to my basic understanding of how central bank works, I have always thought that:1) When the Treasury needs money, they issue bonds. 2) There is an auction and buyers pay dollars to the T to receive bonds. The government then uses the money to their own expenses and pays interests on its debt, ...
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