Serving the Quantitative Finance Community

Search found 367 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 25
by kc11415
November 10th, 2011, 4:15 pm
Forum: Student Forum
Topic: Futures risk/return and amount of leverage
Replies: 19
Views: 17395

Futures risk/return and amount of leverage

<r>augustmonth:Where would you suggest should future contract on S&P500 be located relative to S&P500 on risk/return plane?You want a simple answer, well that's what acastaldo gave you, without the caveats about applying that answer in practice.However, the practical risk is barely a fractio...
by kc11415
November 10th, 2011, 3:18 pm
Forum: Economics Forum
Topic: valuing commodities
Replies: 6
Views: 19560

valuing commodities

FYI: there's a humorous lightweight documentary about some aspects of the grain commodity supply/demand chain King Corn.
by kc11415
November 10th, 2011, 3:13 pm
Forum: Economics Forum
Topic: Jim Roger: US Stagflation
Replies: 48
Views: 25539

Jim Roger: US Stagflation

<t>farmer:You are really a sick zombie parrot living in la-la land.To quote Ronald Reagan, "There you go again!"The neocons are the parrots repeatedly beating the drum about CRA as the cause of the housing bubble.To hear the neocons tell it, CRA only came into existence in 1995 during Clinton's admi...
by kc11415
November 10th, 2011, 2:41 pm
Forum: Student Forum
Topic: Assistant
Replies: 27
Views: 19524

Assistant

uhm... sorry to thread-jack, and I really have nothing of value to add to this thread, though that hasn't stopped others... ;-)trackstar:...defined by activity in the space between a computer chair, a Bloomberg screen and a keyboard. Uhm... would that meet the definition of PEBCAK?
by kc11415
November 10th, 2011, 2:29 pm
Forum: Student Forum
Topic: Looking for ideas to identify a certain pattern
Replies: 12
Views: 17033

Looking for ideas to identify a certain pattern

How about a ratio of (exponential weighted moving average)/(moving average)? If the sign of that ratio has the same directionality as the new extreme it would indicate how recent is the move to that new extreme.
by kc11415
November 10th, 2011, 2:14 pm
Forum: Student Forum
Topic: am I a good fit for Quant jobs ?
Replies: 7
Views: 17826

am I a good fit for Quant jobs ?

<t>shb:I have a strong passion for Quant jobsAre you sure you really really really have such a passion?How do you know? How long have you held this passion?What actions or studies or reading have you taken thus far in furtherance of this passion?Are you aware of how market events of the past several...
by kc11415
November 10th, 2011, 12:33 am
Forum: Economics Forum
Topic: Jim Roger: US Stagflation
Replies: 48
Views: 25539

Jim Roger: US Stagflation

<t>gardener3:And how long has Jim Rogers been saying this now? ThinkDifferent:back in 2006 the market was pricing subprime senior tranches junk with a tiny spread...I only started in 2005 tuning into Grant's Interest Rate Observer, and recall seeing recurring criticism of sub-prime mortgage issuance...
by kc11415
November 9th, 2011, 8:23 pm
Forum: Student Forum
Topic: Futures risk/return and amount of leverage
Replies: 19
Views: 17395

Futures risk/return and amount of leverage

<t>QuoteOriginally posted by: augustmonthOkay, now if we account for margin requirements, that future contract on S&P500 is not going to to have same risk /return characteristics, it will lie on the same line that connects risk free rate and S&P500 and exact position on the line will be dete...
by kc11415
November 9th, 2011, 6:24 pm
Forum: Student Forum
Topic: Futures risk/return and amount of leverage
Replies: 19
Views: 17395

Futures risk/return and amount of leverage

<t>QuoteOriginally posted by: augustmonthSo I guess calculations offered by acastaldo are correct and leverage also is a function exchange that we are trading on?I've not looked up the current values of the parameters acastaldo plugged in but the formula he used looks about right. However, that valu...
by kc11415
November 9th, 2011, 6:14 pm
Forum: Student Forum
Topic: Futures risk/return and amount of leverage
Replies: 19
Views: 17395

Futures risk/return and amount of leverage

<t>augustmonth:I understand margin requirement [...]then for the purpose of analysis let us assume that we are on the exchange that requires 0 margin [...]Maybe I'm misunderstanding something, but I think your insistence upon sticking to that assumption is actually contributing to your confusion.To ...
by kc11415
November 9th, 2011, 6:00 pm
Forum: Student Forum
Topic: Futures risk/return and amount of leverage
Replies: 19
Views: 17395

Futures risk/return and amount of leverage

<t>augustmonth:I am interested in simple answer, so it is okay to ignore [...] margin requirements.Actually the scope of the question you are attempting to ask (somewhat unsuccessfully) does not allow ignoring margin requirements.augustmonth:Also, it is common to hear that futures contract involve l...
by kc11415
November 9th, 2011, 3:44 pm
Forum: Student Forum
Topic: Futures risk/return and amount of leverage
Replies: 19
Views: 17395

Futures risk/return and amount of leverage

<t>One source of confusion when learning futures is to misunderstand the required margin deposit as if that were the amount of the investment or the size of the position. The size of the margin deposit is calculated by an exchange as an amount to cover max likely losses within a single day. That's b...
by kc11415
November 8th, 2011, 11:57 pm
Forum: Economics Forum
Topic: valuing commodities
Replies: 6
Views: 19560

valuing commodities

<t>I too would be very interested to hear any substantive responses to such questions.Your question is more about real-world anecdotal experiences, rather than introductory texts, so I'll assume you're already aware of:A Complete Guide to the Futures Markets: Fundamental Analysis, Technical Analysis...
by kc11415
November 8th, 2011, 10:22 pm
Forum: Student Forum
Topic: Implied volatility for call or put?
Replies: 6
Views: 17992

Implied volatility for call or put?

<t>I don't recall the steps I did to overlay dual charts of put & call IV in the Bloomberg (was a year or two ago).I seem to recall it was rather straightforward.If you peruse the FLDS upon an instrument for which IV is applicable,and scroll down to the risk section, you'll find field identifier...
by kc11415
November 8th, 2011, 10:01 pm
Forum: Student Forum
Topic: A basic probability question
Replies: 8
Views: 16948

A basic probability question

EDIT: Doh!!!I better go have a cup of coffee and re-read the question :-(
  • 1
  • 2
  • 3
  • 4
  • 5
  • 25