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by Traden4Alpha
October 5th, 2006, 12:22 pm
Forum: General Forum
Topic: what is your lifestyle if you have $30 million in the bank?
Replies: 129
Views: 97423

what is your lifestyle if you have $30 million in the bank?

<t>Some combination of:1) Fractional jet ownership so I can travel on my schedule, not the airlines' schedule2) Start a software company (advanced knowledge and data processing software)3) Write books (non-fiction and science fiction)4) Spend more time (and money) on doing photographyTechnically, I ...
by Traden4Alpha
October 4th, 2006, 9:34 pm
Forum: Student Forum
Topic: the volatility of return
Replies: 3
Views: 92239

the volatility of return

<t>You would expect the wider-spaced data points to show greater movement. If you assume IID movements and defined variance, then you would expect the volatility-induced movement during an N-period interval to be SQRT[N] times greater. Thus, you could divide the more widely spaced data points by 1/S...
by Traden4Alpha
October 4th, 2006, 12:32 pm
Forum: Numerical Methods Forum
Topic: Generating random trades
Replies: 1
Views: 91254

Generating random trades

<t>I wouldn't constrain the system unless you absolutely have to. I'm sure that the constraint will distort the dynamics. Think of it this way, if the trading period were to occur again in an alternative or parallel universe, would it have the identical number and volume of trades?But if you want N ...
by Traden4Alpha
October 3rd, 2006, 9:03 pm
Forum: Off Topic
Topic: Aussie Nerd Proves Armstrong Right
Replies: 26
Views: 92702

Aussie Nerd Proves Armstrong Right

Double Post. Sorry
by Traden4Alpha
October 3rd, 2006, 8:40 pm
Forum: Off Topic
Topic: Aussie Nerd Proves Armstrong Right
Replies: 26
Views: 92702

Aussie Nerd Proves Armstrong Right

<t>Technically, "Ham sandwich, please." is not grammatically correct, at all. Even "A ham sandwich, please." isn't grammatically correct. Neither sentence fragment has a verb. In this example, most of the sentence is implicit -- the waitress assumes the customer wants the noun they have spoken about...
by Traden4Alpha
October 3rd, 2006, 8:14 pm
Forum: General Forum
Topic: Hedge Funds
Replies: 57
Views: 162437

Hedge Funds

<t>QuoteOriginally posted by: twofishQuoteOriginally posted by: erstwhilei guess these guys have got genius strategies that nobody else has copied (yet)...Or they are just lucky. If you have a lot of hedge funds, then statistically, some of them are going to be outstanding. It's really important to ...
by Traden4Alpha
October 3rd, 2006, 4:08 pm
Forum: Technical Forum
Topic: SABR parameters interpolation
Replies: 11
Views: 98702

SABR parameters interpolation

<t>If the second derivative of the true curve is non-zero, then linear interpolation will create a systematic bias. The sign of the bias will be the same as the sign of the second derivative. If you then fit a model to the interpolated points, you'll get biased parameters and that's not good.You mig...
by Traden4Alpha
October 3rd, 2006, 11:45 am
Forum: Off Topic
Topic: Amaranth
Replies: 63
Views: 97812

Amaranth

<t>QuoteOriginally posted by: farmerQuoteHilary Till, a research associate at Edhec and a principal of Premia Capital Management in Chicago, said her analysis suggested the market moves that hit Amaranth were statistically even more improbable than those that brought down Long Term Capital Managemen...
by Traden4Alpha
October 2nd, 2006, 10:01 pm
Forum: Brainteaser Forum
Topic: Another Box problem
Replies: 15
Views: 171341

Another Box problem

<t>One answer is C_1 = 1, C_n = FLOOR[SUM[C_i,i = 1 to n-1]/2]+1. This recursively defined series yields:1, 1, 2, 3, 4, 6, 9, 14, 21, 31, 47, 70, 105, 158, 237, 355, 533, 408 -- NOTE: the last number in the sequence should be 799, but is clipped so that the series sums to 2005.Which is 18 boxes. The...
by Traden4Alpha
October 2nd, 2006, 9:40 pm
Forum: Student Forum
Topic: Why do options give more info than futures?
Replies: 4
Views: 91434

Why do options give more info than futures?

<t>QuoteOriginally posted by: BobMurphyThanks, that confirms my intuition. Do you have any thoughts on the related question, namely, why is it that there is only one futures price, whereas people trade options with multiple strike prices for the same expiration date?It may have been too verbose, but...
by Traden4Alpha
October 2nd, 2006, 3:28 pm
Forum: Student Forum
Topic: Why do options give more info than futures?
Replies: 4
Views: 91434

Why do options give more info than futures?

<t>The futures price encodes a market-aggregated estimate of the FOMC's expected action averaged across all possible FOMC and market reaction scenarios. As you said, the prices at the different strikes let the options prices encode different moves (e.g., hold, +0.25%, +0.50%, release meeting minutes...
by Traden4Alpha
October 2nd, 2006, 12:30 pm
Forum: Off Topic
Topic: How to cut your deficit
Replies: 9
Views: 91526

How to cut your deficit

<t>QuoteOriginally posted by: AnthisQuote(we could even argue that it will make people feel poorer).More than correct, not just feel poorer, be poorer actually. EU officials have warned that if this adjustment eventually takes place, the country will be ranked among the relatively wealthy EU countri...
by Traden4Alpha
October 1st, 2006, 12:27 am
Forum: Careers Forum
Topic: P&D Slogan
Replies: 52
Views: 94428

P&D Slogan

<t>Grist for the mill, food for thought, or something like that...."When Your Career Needs Some New Swaptions""Quant Careers You Can Take to the Bank""We Put Your Career In-The-Money""New Swaptions for Quants""We Won't Let Your Career Be Stochastic""The Best Jobs for the Best Quants""Where Quants' C...
by Traden4Alpha
September 30th, 2006, 11:25 pm
Forum: Numerical Methods Forum
Topic: Excel Large Scale Loop Capacity Max 2.1 Billion ??
Replies: 20
Views: 94506

Excel Large Scale Loop Capacity Max 2.1 Billion ??

<t>You could run the sim 2.1 billion iterations at a time, save the interrim results, rinse and repeat (A macro/VBA/Applescript might help you automate the multiple runs). Or have multiple computers running the same sim and merge results.Note that if you are doing sums over billions of runs, you may...
by Traden4Alpha
September 30th, 2006, 11:49 am
Forum: Off Topic
Topic: What are YOU gonna drink tonight?
Replies: 28
Views: 93789

What are YOU gonna drink tonight?

There's a local microbrewer that uses oak bourbon barrels for a cask-conditioned stout. The result is wickedly delicious -- its a meal, a beer, and a shot chaser all in one glass.