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by bostonquant
April 27th, 2006, 10:35 pm
Forum: Technical Forum
Topic: Quantitative models for Growth Investments...
Replies: 3
Views: 108643

Quantitative models for Growth Investments...

It's just simple equity quant research, looking at factors to explain stock movement. Earnings acceleration is a factor used alot in growth investing.
by bostonquant
April 26th, 2006, 4:23 pm
Forum: Technical Forum
Topic: statistical arbitrage techniques
Replies: 39
Views: 198941

statistical arbitrage techniques

Farmer, if this is your site www.thcotner.com I'd hire a professional to do your marketing. Posing with a harem of women and your dog isn't going to increase AUM.
by bostonquant
April 20th, 2006, 5:55 pm
Forum: Careers Forum
Topic: Becoming a quant, a little too late?
Replies: 22
Views: 115580

Becoming a quant, a little too late?

Fact:People who are unemployed and have no quant experience shouldn't be giving out quant job advice, or making jokes at others expense.That my friends, is what is called irony. ROTF
by bostonquant
April 20th, 2006, 2:16 pm
Forum: Careers Forum
Topic: Becoming a quant, a little too late?
Replies: 22
Views: 115580

Becoming a quant, a little too late?

QuotePhD in string theory.Real intelligent comment guys. Great advice for someone who is 32.
by bostonquant
April 20th, 2006, 2:14 pm
Forum: Careers Forum
Topic: Becoming a quant, a little too late?
Replies: 22
Views: 115580

Becoming a quant, a little too late?

Duplicate post.
by bostonquant
April 16th, 2006, 9:31 pm
Forum: Student Forum
Topic: Easy Likelihood Question
Replies: 4
Views: 110311

Easy Likelihood Question

isn't the ln likelihood just...sum(y)ln(p)+(n-sum(y))ln(1-p)+sum(y)ln(q)+(n-sum(y))ln(1-q)+sum(y)ln(1-p-q)+(n-sum(y))ln(p+q)it's just a discrete bernoulli distribution
by bostonquant
April 13th, 2006, 11:49 pm
Forum: Student Forum
Topic: Which degree of GARCH(p,q) to chose
Replies: 10
Views: 111096

Which degree of GARCH(p,q) to chose

<t>Gustavo,I have a MS Word file I can send you from a course in Time Series Analysis that I took where the prof modeled NYSE returns and I believe div yields using GARCH models. It shows the process from beginning to end with graphs using R. It would probably help you out. Post your email if intere...
by bostonquant
April 13th, 2006, 1:28 pm
Forum: Student Forum
Topic: Which degree of GARCH(p,q) to chose
Replies: 10
Views: 111096

Which degree of GARCH(p,q) to chose

It's more of an art than a science... look at residuals (after all the point of a GARCH model is to counter heteroskedasticity), AIC, and Ljung-Box, etc...Look at your ACF and PACF of differenced data. Do they cutoff or trail off?
by bostonquant
April 12th, 2006, 5:41 pm
Forum: Careers Forum
Topic: Advice Regarding MFE Career.
Replies: 6
Views: 134278

Advice Regarding MFE Career.

<t>I'm so tired of listening to people whine about degrees. You either get it or you don't. As an example, there are kids in junior high who are better programmers then people with PhDs. Some of the dumbest people I have ever known have had PhDs.You either get it or you don't. It's pretty simple. </t>
by bostonquant
April 11th, 2006, 4:42 pm
Forum: Careers Forum
Topic: Is PhD a must?
Replies: 3
Views: 111070

Is PhD a must?

<t>"Is PhD a must?"It depends what you want to do in quant. Not all quants model derivatives. I've worked for someone who was an astrophysicist and I've worked for someone who had a MS in engineering. In terms of building stock selection models as an equity quant, I've yet to work with someone who h...
by bostonquant
April 6th, 2006, 6:41 pm
Forum: Student Forum
Topic: correlation between 10yUSD-DEm spread and USD/EUR is negative
Replies: 7
Views: 113073

correlation between 10yUSD-DEm spread and USD/EUR is negative

traderH, at the age of 17 if you are looking at yields and correlations you are miles ahead of anyone your age. keep it up, it pays to be academically curious.
by bostonquant
April 5th, 2006, 4:52 pm
Forum: Student Forum
Topic: Multinormal distribution (not multinomial)
Replies: 1
Views: 111136

Multinormal distribution (not multinomial)

The multinormal distribution is just another term for the multivariate normal distribution.y~N(mu,sigma)y is px1mu is px1sigma is pxp
by bostonquant
March 31st, 2006, 8:59 pm
Forum: Student Forum
Topic: Simulating GARCH (0,2) Model
Replies: 0
Views: 111913

Simulating GARCH (0,2) Model

Using package fseries in R.Please ignore.
by bostonquant
March 27th, 2006, 4:19 pm
Forum: Student Forum
Topic: Stochastic Optimization Project
Replies: 2
Views: 112784

Stochastic Optimization Project

<t>Currently I am taking a PhD course in Advanced Simulation where we have covered many root finding algorithms, etc and have moved into Stochastic Optimization. The course is taught in our Industrial Engineering Department so we none of the examples we cover involve finance/investments. We've been ...
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