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Nuclear Phynance Reactor CoreMicrostrategyAnyone have experience with it? Opinions? Feel free to email me. Want to hear from some users or support.<br><br>Thanks
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Steve CastleSoftwareMon, 21 Jul 2014 19:50:10 GMTFreshman looking for internship in finance - do I have a chance ?Hello everyone, <br>As the name of the thread might suggest, I'm a soon-to-be Freshman who is hoping to get an internship in finance after my first year. <br>I'm going to be going to a decent, middle of the pack kind of school for a double major in Computer science and Mathematics in a city that has a decent amount of financial institutions (I also live fairly close to Toronto, so I suppose it would be possible to apply for jobs there too).<br> I've also been taking a lot of extra courses on Coursera (i.e Mathematical methods for quant finance, and planning on taking the intro to computational finance and Financial engineering courses on there also), and also have some programming projects under my belt, one of which is related to finance (kind of), but I don't know if any of that helps my chances at all.<br><br>Would I be better off getting an internship related to my major and trying later ?<br><br>I apologize if this is not the correct section for these kinds of questions, and I thank anyone who tells me their thoughts on my situation.<br><br><br>
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wtevCareersSun, 20 Jul 2014 01:46:19 GMTErnest Chan Seminar of Millisecond TradingDoes anyone know if this seminar will actually produce reasonable code as a starting point for a Millisecond Trading strategy that is profitable?<br><br>On a different topic, I went through Irene Aldridge's market making example and it was chalked full of errors (which I fixed) and definitely unprofitable<br><br>Anyone have a starting point for me to test and mess around with code?<br><br>Any help would be appreciated, so far I am hitting a brick wall.<br><br>Btw - I have plenty of data including EBS and have reasonable knowledge of C++, C#, Python. And a near PB relationship on pricing.<br><br>Any help is very much appreciate. Love to collaborate.
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krules11TradingSun, 20 Jul 2014 01:32:36 GMTFinding equally-spaced strikes in ExcelHi all,<br><br>Does anyone have a good method to find corresponding up/down strikes for a given stock in Excel? Say, XYZ is 100, and the listed strikes are 85,90,95,100,110,125,150,175, and so on. I would like to quote a matrix of flies of expanding strike widths, centered ATM (100). I currently take the max of the difference between strikes, so if the strikes are 95,100,110, I would pull the 90/100/110 fly. Is there a better, more dynamic method to do this? Thanks.
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Adam789GeneralWed, 16 Jul 2014 21:39:58 GMTWhat is meant by "cash" here? - AQR on trends<a target="_new" href="http://www.michaelcovel.com/pdfs/UnderstandingManagedFutures.pdf">Understanding Managed Futures</a><br><br>Page 5 second paragraph:<br><br>"To determine the direction of the trend in each asset, the strategy considers the excess return over cash of each asset for the prior 12 months."<br><br>The term cash (in my eyes) is used quite liberally. I am assuming they mean short end treasury (3 month), but just checking in to be sure.
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frstwrldprblmBasicsWed, 16 Jul 2014 18:21:48 GMTC# lib for Sabr / Sabr-Lmm calibration ?Can someone please point me to the lib which i can use with C# for things such as SABR / SABR-LMM Calibration / Bootstrapping / Interpolation / Dust Algo and basic Statistical analysis. I would also like to integrate it with Excel.<br>I understand that we have SWIG available but i am not sure how updated it is and if it ports Sabr / Sabr-LMM to the C# world . <br>I am also aware of Alglib but i just wanted something outof box for Sabr and Sabr-LMM calibration . <br><br>Thanks very much <br>Tb
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markovgarchPricing & ModellingWed, 16 Jul 2014 15:10:37 GMTMatlab, Transfer Datafeed information to DatabaseHi,<br>Curerently i am running a real time datafeed with data from Bloombeerg. I have the Oracle Express database connected to Matlab so i would like to store and accumulate the datafeed data and insert it automatically into the database. Any suggestions on how i could proceed? <br>best regards
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Paul1988SoftwareTue, 15 Jul 2014 18:05:16 GMTHow to make a market on futures calendar spreadI am wondering how to make a market on futures calendar spread. How the market makers quote the bid-ask spread? Does they just give a quote based on the mid-price differences between the front month contract and the back month contract? Moreover, how do they hedge their risk, especially how to avoid getting filled on one side and not filled on the other side (if they are not using market orders)?<br><br>I tried to search this topic but could not find related information. Any key words and papers will be appreciated. Thank you!
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wbcpeter3000BasicsTue, 15 Jul 2014 02:32:35 GMTTime averages<a target="_new" href="http://www.towerswatson.com/en/Insights/IC-Types/Survey-Research-Results/2012/10/The-irreversibility-of-time-or-why-you-should-not-listen-to-financial-economists">Does this make sense?</a><br><br>This equation:<br><br>T(r) = sqrt[(1 + 0.1) × (1 + (–0.1))] –1 = –1%<br><br>does not look correct and it should be anyway the geometric return of two consecutive returns of 10% and -10%, right?<br><br>How can one compare that the the ensemble average? Am I missing something (probably)?
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rickoRisk ManagementMon, 14 Jul 2014 22:37:06 GMT(Probably stupid) Equity Structure question<br>I have Fake company Fake Co.<br>I reserve 10% of Fake Co shares for a "special program" which only receive dividends / value increases, ignore everything else like voting or whatever.<br><br><br>Now for the stupid part.<br>I continuously dilute that 10% as new people participate in the special program.<br>The first person gets the entire 10%<br>When a 2nd person joins, they each get 5%<br>When the 3rd person joins, automatic readjustment to 3.33%<br>etc.<br><br>The idea being the "special program" is not something you buy in with money, but with a contribution to an outcome which has lasting, repeated effect.<br><br>For example, a line of code which is executed each day which solves a problem. When the initial contribution happens, it's valued higher than the 500th execution, but it is still accruing some value. There just happens to be more recent contributions in time since that initial contribution. In this case, it's not people, but contributions which accrue ownership. The more you contribute, specifically over time, the more you accrue.<br><br>My question is if anyone has heard of such a thing, specifically in setting aside equity shares for it, or any other similarly "automatic debasing" comp structure. <br><br>Am happy to hear critiques of the structure as well, I don't have the experience to know if it is even sane. But I don't know how to search for something like this to see if it exists.<br>
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Steve CastleBasicsMon, 14 Jul 2014 18:12:39 GMTData about historical volatilityHello, this is my first port here in this forum, so please don't be too angry if I make a mistake.<br><br>I am looking for some sources for historical market data, volatilities in particular. I want to know what the volatilities on 18.05.07 were for companies traded on the Dow Jones, FTSE and Nikkei. Does anyone know where I could find such data?<br><br>Cheers,<br>Muller
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MullerGeneralSat, 12 Jul 2014 15:49:17 GMTbps runningSay I have an IR derivative that is priced by two counterparties and I would like to<br>express the difference of the two prices in bps running, how would I proceed?<br><br>Thanks
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PeerlessBasicsFri, 11 Jul 2014 09:03:11 GMTMVO on funded currency portfolio?I would like to ask the group's advice on computing an "optimal" portfolio of one month currency forwards.<br><br>USD is my base currency and there are eight currencies in the investment universe (USD, CAD, AUD, GBP, CHF, JPY, SEK, EUR). <br><br>I am free to fund in any combination of currencies and invest in any combination of currencies (obviously funding and investing currencies will not overlap in any given portfolio). <br><br>For expected returns, volatilities and covariance matrix, I use historical values calculated based on the last six months of returns (for USD, returns are that of successive one month dollar deposits, and for other currencies, returns are that of six successive one month forward contracts on CADUSD, AUDUSD, GBPUSD, CHFUSD, JPYUSD, SEKUSD, EURUSD).<br><br>Since this is a funded portfolio, the positive weights should be constrained to sum to 1 and negative weights to sum to -1, and each individual weight constrained to between -1 and 1.<br><br>I would like to use the above expected returns, vols, covariance matrix and constraints to compute an optimal funded currency portfolio.<br><br>Is there a way I can use existing Matlab functions to perform this optimization? <br><br>I don’t think I can use frontcon since it assumes weights sum to 1 and does not seem to allow the type of constraint specified above.<br><br>Thanks to the group for ideas/helping on this.<br>
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CMPTGeneralFri, 11 Jul 2014 01:14:56 GMTDumb java web framework questionI'm less than a novice when it comes to web development, so looking for some guidance here due to the abundance in options. <br><br>Basically I have a java application which I would like to be able to send commands to from a web interface as well as display values in realtime. I imagine I could probably do this with servelets and/or some kind of js framework (e.g. Socketio). Though I really have no idea. Can someone recommend some type of framework that would reduce the amount of time I'd have to spend on this thing, while being robust enough to handle a trading application?<br><br>TIA
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ast4SoftwareThu, 10 Jul 2014 10:28:04 GMTEquity options automated execution softwareI am looking for advice on the best American equity option execution software to use to employ a few automated strategies, including market making in weekly options. I have heard that ORC is pretty good. I am interested in hearing feedback on the ability of any platform to execute on a high frequency basis with different automated strategies that could compete with professional proprietary high frequency firms. <br>Thanks-
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eheltemesTradingTue, 08 Jul 2014 21:21:25 GMT