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by chocolatemoney
September 9th, 2013, 1:51 pm
Forum: Trading Forum
Topic: about the pairs trading for three stocks
Replies: 6
Views: 8052

about the pairs trading for three stocks

<t>QuoteOriginally posted by: JeriotIf you just want to work in correlation, you can literally take one time series and do an ordinary least squares regression on the other time series, which will give you the weights of the individual assets. But that is just a variance reduction technique, which i...
by chocolatemoney
September 5th, 2013, 1:45 pm
Forum: General Forum
Topic: HFT in Switzerland or Germany
Replies: 4
Views: 7380

HFT in Switzerland or Germany

<t>QuoteOriginally posted by: AcademicThank you Eduoard,I also read that post. However, most of the companies listed do not acutally reside in Switzerland. They are simply trading at SIX and if they are based in Europe then mostly in London.I am involved in a research project that is interested in t...
by chocolatemoney
September 5th, 2013, 1:33 pm
Forum: Book And Research Paper Forum
Topic: Numerical Methods and Optimization
Replies: 1
Views: 8533

Numerical Methods and Optimization

As a matter of fact, the company I work with owns a copy of it.It is a broad collection of stuff, rather a reference than study material in my view.Anyway, there is nothing that could not be found online as university course material, paper, OCW...
by chocolatemoney
August 28th, 2013, 5:28 am
Forum: Trading Forum
Topic: Hedge ratio with nonlinear cointegration
Replies: 2
Views: 6925

Hedge ratio with nonlinear cointegration

<t>Well, in my case, the choice of the functional form has a clear financial and economic meaning.Now it is time to numerically, locally linearize the outcome, so I can figure out the hedge ratios.Just trying to brainstorm if high school algebra does the job or if I am missing something..Anyway, tha...
by chocolatemoney
August 27th, 2013, 7:51 am
Forum: Careers Forum
Topic: CQF Graduates in NY have some tough competition in the job market
Replies: 24
Views: 10811

CQF Graduates in NY have some tough competition in the job market

<t>Well, I guess the gentlemen were well advised by the NYU career center. Those CVs were designed by career advisers to impress other recruitment specialists, so I'll probably inspire myself..Mine were not meant to be words of advice: I am currently looking for a new job and I have to say that I ne...
by chocolatemoney
August 27th, 2013, 6:27 am
Forum: Careers Forum
Topic: CQF Graduates in NY have some tough competition in the job market
Replies: 24
Views: 10811

CQF Graduates in NY have some tough competition in the job market

<t>OK, I see your point on school projects. Makes sense.However, coming from eng/math/phys I should sort of expect a student to know latex, or expect him to be able to learn it in a few days/weeks and fix nasty layouts with the help of specialized online forums.Same for the p-c parity, at least up t...
by chocolatemoney
August 26th, 2013, 7:09 pm
Forum: Careers Forum
Topic: CQF Graduates in NY have some tough competition in the job market
Replies: 24
Views: 10811

CQF Graduates in NY have some tough competition in the job market

Since when latex, put-call parity and school projects go on a CV?
by chocolatemoney
August 26th, 2013, 9:07 am
Forum: Trading Forum
Topic: Hedge ratio with nonlinear cointegration
Replies: 2
Views: 6925

Hedge ratio with nonlinear cointegration

<t>Hi,Let's say we have a nonlinear cointegrating relationship y = f(x) where x is a vector of independent tradable variables (f.ex shares).I am new to non-linear cointegration. How would you calculate the hedge ratios?I could just linearize f(x). Is there something I should take into account, on to...
by chocolatemoney
July 27th, 2013, 8:33 pm
Forum: Careers Forum
Topic: Additional computer languages
Replies: 34
Views: 10481

Additional computer languages

<t>QuoteOriginally posted by: capafan2Cuch,When you say FP is a better method for large systems, do you mean that in the Concurrent Systems context or in the design context (FP makes it cleaner to design Big Systems).Are you implying that OOP makes it impossible to design and "Implement" large syste...
by chocolatemoney
July 26th, 2013, 11:43 am
Forum: Careers Forum
Topic: Additional computer languages
Replies: 34
Views: 10481

Additional computer languages

<r>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: chocolatemoneyI personally would not spend time learning an additional imperative language. I would invest time in trying to work out code with a new approach - pure functional in Haskell, OCAML, F#, for example. I guess that brings ...
by chocolatemoney
July 25th, 2013, 10:09 am
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8384

Granger Causality

by chocolatemoney
July 24th, 2013, 4:02 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8384

Granger Causality

<t>QuoteOriginally posted by: akkakaraniabut we know that Do n faff(2010) that the historic mean for the difference of prices between two stocks are not constant so if they trend then we need to model that.. dont we?Well, you need to find a cointegrating vector. Then you'll have stationarity in your...
by chocolatemoney
July 24th, 2013, 3:55 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8384

Granger Causality

<t>QuoteOriginally posted by: edouardQuoteStock A &B ( High frequency 1min tick) i do EG test and found them to be co-integrated.EG test is all about A causes B.cointegration is the story of a I(0) vector between two I(1) series (very loosely speaking), involving unit root tests of some kinds.Ho...
by chocolatemoney
July 24th, 2013, 3:53 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8384

Granger Causality

On the KF side: the unknown variable is usually designed to be the weights of the trade lags. It is a way to adjust the weights (in the cointegrating regression they corresponded to the regression coeffs) filtering out some noise and reflecting fresh market data as it becomes available
by chocolatemoney
July 24th, 2013, 3:47 pm
Forum: Technical Forum
Topic: Granger Causality
Replies: 14
Views: 8384

Granger Causality

<t>Quote [Ajay Kakarnia] Based on historical data, we get the residual, however as i understand, we need to forecast this residual to get the maximum bucks for the money... and to do that we need to model it.. something like Kalman filter.. where i am getting lost is.. how to use this adaptive beta....
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