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by Siberian
April 10th, 2008, 3:59 pm
Forum: General Forum
Topic: standard error of ratio of mean to standard deviation
Replies: 12
Views: 56960

standard error of ratio of mean to standard deviation

normal over normal is a cauchy distrib, it has no moments. not sure about t over t
by Siberian
April 10th, 2008, 3:13 pm
Forum: General Forum
Topic: How good at Maths do you need to be in order to be a successful quant?
Replies: 60
Views: 63210

How good at Maths do you need to be in order to be a successful quant?

<t>QuoteOriginally posted by: jawabeanQuoteOriginally posted by: TraderJoesiberian just gave you one. RenTech don't hire MBA's, only PhD's in a hard science.why dont u work for them?they're not a typical HF. i bet in ur place all the owners and founders r MBA-typeThat's a valid point jawabean, all i...
by Siberian
April 10th, 2008, 2:30 pm
Forum: General Forum
Topic: How good at Maths do you need to be in order to be a successful quant?
Replies: 60
Views: 63210

How good at Maths do you need to be in order to be a successful quant?

<t>QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: jawabeanQuoteOriginally posted by: Siberian"Those who know how will always answer to those who know why"-don't remember who said it but i tend to agreeMBA knows why. Math PhD knows how.Not when it comes to quantitative hedge funds.Arg...
by Siberian
April 10th, 2008, 2:26 pm
Forum: General Forum
Topic: How good at Maths do you need to be in order to be a successful quant?
Replies: 60
Views: 63210

How good at Maths do you need to be in order to be a successful quant?

<t>QuoteOriginally posted by: jawabeanQuoteOriginally posted by: torontosimpleguyAnswer is pretty obvious. I'm surprised that so many smart people here can't explain it clearly.it's not that obvious, my friend. u cant know everything, unless u live 500 years ago and ur name is Leonardo.u do finance,...
by Siberian
April 10th, 2008, 2:21 pm
Forum: General Forum
Topic: How good at Maths do you need to be in order to be a successful quant?
Replies: 60
Views: 63210

How good at Maths do you need to be in order to be a successful quant?

"Those who know how will always answer to those who know why"-don't remember who said it but i tend to agree
by Siberian
April 10th, 2008, 1:37 pm
Forum: General Forum
Topic: How good at Maths do you need to be in order to be a successful quant?
Replies: 60
Views: 63210

How good at Maths do you need to be in order to be a successful quant?

<t>I will put my two kopecks in this thread: I have studied pure math in my undergrad, and one of the strongest guys in my class were the joint-honours physics+math guys, we did all analysis up to (and including) measure theory, complex, stoch process - the only way in my view to understand stoch pr...
by Siberian
April 9th, 2008, 4:58 pm
Forum: Student Forum
Topic: Roy criterion
Replies: 3
Views: 55955

Roy criterion

lolthanks a bunch bb
by Siberian
April 9th, 2008, 3:20 pm
Forum: Student Forum
Topic: Roy criterion
Replies: 3
Views: 55955

Roy criterion

Did anyone hear of that? It's supposed to be an alternative metric of hedge fund performance.Thanks a mil
by Siberian
April 8th, 2008, 7:50 pm
Forum: Book And Research Paper Forum
Topic: transaction cost and market impact model
Replies: 0
Views: 56151

transaction cost and market impact model

I would like to ask what papers i should read before attempting to build a t-cost model. Secondly, is there a benefit in creating particular models for different markets/securities, or simply have one model that will cover all assets and markets?Thansk a mil in advance,Siberian
by Siberian
February 12th, 2008, 1:18 pm
Forum: Programming and Software Forum
Topic: Minimum Spanning Tree
Replies: 2
Views: 59688

Minimum Spanning Tree

Thanks Cuch!You are the best!!!P.S.: Wow, that was fast
by Siberian
February 12th, 2008, 1:00 pm
Forum: Programming and Software Forum
Topic: Minimum Spanning Tree
Replies: 2
Views: 59688

Minimum Spanning Tree

Does anyone have a code for Kruskal's or any other algorithm handy?I would greatly appreciate it.Cheers,Ev
by Siberian
January 16th, 2008, 4:54 pm
Forum: General Forum
Topic: Hedge fund indices for risk attribution?
Replies: 4
Views: 60596

Hedge fund indices for risk attribution?

EDHEC. i like them b/c they are quite thoughtful regarding the survivorship bias
by Siberian
January 16th, 2008, 4:22 pm
Forum: Technical Forum
Topic: conjugates for stable distributions
Replies: 0
Views: 59821

conjugates for stable distributions

<t>Thinking about combining priors and lhd in a black-litterman type approach to portf optimization. If i am willling to assume a particular stable distribution for the empirical data, are there any conjugate priors so i can get a closed form solution?I am using definition of stable distributions as...
by Siberian
September 5th, 2007, 12:25 pm
Forum: Technical Forum
Topic: Sharpe ratio of high-frequency long/short strategy
Replies: 10
Views: 73741

Sharpe ratio of high-frequency long/short strategy

<t>in general a long/short equity fund (i am not sure whether it matters if it's hi-freq or not) will require some cash to be invested upfront, so what one can do is "loan" that amount of cash to a fund and charge a cash return on it (typically libor 3m), which implicitly implies a cash bmark, these...
by Siberian
June 26th, 2007, 8:49 pm
Forum: Book And Research Paper Forum
Topic: Financial Risk by JP Bouchaud and M. Potters
Replies: 3
Views: 73452

Financial Risk by JP Bouchaud and M. Potters

Yeah, I bought Dash's book which I enjoy immensely, so I just wanted to get a relative value analysis of Dash vs. Bouchaud.Thanks for your reply.
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