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Nuclear Phynance Reactor CoreCMO issuance dataI'm python illiterate, and so maybe my answer is to learn to read, but what are the best ways to go about accumulating historical CMO issuance data? I know Freddie Mac has a bunch on their website, and so maybe I should hire someone to web scrape.<br><br>I was wondering if someone out there knew more about how to collect such data. BBG worth a look?<br><br>
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Rookie_QuantBasicsMon, 29 Aug 2016 18:02:11 GMTfrom the bottom up WienandA resource I wish someone would have shared with me years ago:<br><br>http://www.bottomupcs.com/csbu.pdf<br><br>https://github.com/ianw/bottomupcs<br><br>What is a process, what does the kernel do, ELF files, linking, etc.<br><br><br>HTH someone.
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RashomonSoftwareFri, 26 Aug 2016 22:28:15 GMTThe Finance FranchiseI recently came across this paper and got around to reading it.<br><br>http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2820176<br><br>I wanted to get some thoughts from those far more in the know than myself. Much of it seems intuitively right, but I really wouldn't know. Furthermore, I find myself struggling to understand much of it. I would really appreciate thoughts on this, as well as some guidance for a beginner struggling to understand much of it (if you do find it useful).<br><br>Thanks in advance.
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rftx713BasicsFri, 26 Aug 2016 07:37:57 GMTTo be a portfolio manager you need a PROVEN track record - and it is YOUR task to prove!Hi guys,<br><br>have a look at my short post on LinkedIn:<br><a href="https://www.linkedin.com/pulse/portfolio-manager-you-need-proven-track-record-your-vasily-nekrasov?trk=pulse_spock-articles">https://www.linkedin.com/pulse/portfolio-manager-you-need-proven-track-record-your-vasily-nekrasov?trk=pulse_spock-articles</a><br><br>Feedback and critics is very welcome, esp. I am interested in, what else can a trader do to convince investors... and how to look for them efficiently.
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finanzmasterTradingWed, 24 Aug 2016 19:27:06 GMTCFA to Math MastersA few dimensions to the question at hand so I'll be concise and feel free to provide insight into all or part of the question. Thanks in advance. <br><br>How do colleges (specifically, mathematical finance admissions committees) view the CFA? I'm in my mid 20s, econ/finance undergrad, and passed the first two levels of the CFA but just got into a good university's undergraduate math program. The goal is to complete calc 2 and 3, linear algebra, and apply to a masters program. I'm attempting to optimally allocate my time. <br><br>Is there any "real world" value in having a masters in mathematical finance and the CFA?<br><br>If I self-study calc 2 (topics for my course will include: techniques of integration, volume of solids of revolution, infinite sequences and series, differential equations) and enroll in calc 3, how much of calc 2 is applicable to other math classes/topics (e.g. multivariable calculus, linear algebra, Brownian motion)?<br><br>Thanks again.<br>
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false_dichotomyUniversityMon, 22 Aug 2016 23:19:25 GMTWhy I trade & the futureThere's a lot of discussion [hyperbole] at present about the future because there's a new database design that's been 'invented'. It will solve everything. No, really it will. Take the blue pill. If you don't take the blue pill you might recall 2000/2001 and we don't want that.<br><br>I've heard some pretty dire reasons as why blockchain will solve our liquidity woes from 22 year olds who haven't seen a blotter let alone an ISDA confirmation or failed trade penalty.<br><br>What you old sweats are too old or stupid to know is that liquidity is solved because everything is shared, privately, man.#<br><br>Anyway, I've tried to explain to the well-intentioned technologists that dealers will always be needed. Aside from pointing them towards Reminisces of a Stock Operator I wanted to elucidate the rationale for being a full time trader, I came up with:<br><br><i>I may seek to trade in a perfect market but the willingness to provide my own balance sheet/capital gives me information from principal sellers/buyers who seek me as the first choice in the execution of their risk transfer.</i><br><br>This is a bit economics 101 but I wanted to hear dealer thoughts because this bullshit forced me back to the crux of what we do and why.<br><br><br><br>
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KitnoGeneralSat, 20 Aug 2016 00:33:12 GMTARPM bootcampGuys,<br><br>Is one of you at the ARPM bootcamp in NY?<br>(Taking place the week starting on the 15 Aug)<br><br>A tiny bit disappointed by it at the moment but I've been to worst: stuff presented were kind of basic So far, but the presenter is good.<br><br><br><br>
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ArgogUniversityWed, 17 Aug 2016 20:06:24 GMTWhy do option MMs misprice options intraday?!I've just finished an academic paper with a controversial conclusion. Maybe somebody here has an idea of what's going on. <a target="_new" href="http://goo.gl/PwGs9O">a link to the paper</a><br><br>I always thought about OMMs as the smartest investors out there, yet my results unambiguously show that OMMs post prices that completely ignore the day-and-night seasonality in the underlying volatility - total vol is much higher intraday (close-to-open) than overnight (open-to-close). Because of this "volatility seasonality bias" option delta-hedged returns are positive intraday, which contradicts standard option pricing models. Overnight option returns flip sign and are extremely negative and persistent. <br><br>I'm really puzzled by these findings because the idea that volality seasonality should be part of option pricing models goes back to at least Merton (1973) and is easy to implement. <br><br>What am I missing? Thanks!
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murfuryGeneralTue, 16 Aug 2016 11:31:05 GMTDoes anybody here use MPI?Just interested if somebody is using it and in which impelmentation (Java,Python, R, Matlab ..or whatever).<br><br>What are your use cases?
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MaggetteSoftwareSat, 13 Aug 2016 21:49:57 GMTReading list articlesHi everybody,<br><br>I am currently building a reading list ( mainly articles ) in quant finance . Can you recommend me some authors/ articles that you believe every aspiring quant must read today ? <br><br>Thanks in advance.<br><br>Said
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snakedoctorBooks & PapersFri, 12 Aug 2016 23:03:34 GMTexcel qGood day all,<br><br>I am currently a financial engineering grad student and I’ve recently discovered this great forum. I’m having a small problem that maybe one of you guys with more expertise than me could help me with, that’ll be much appreciated.<br><br>In Excel, I am trying to find a way to have each fx pairs data on the same line for a given period of time. The reason for this is that I’m using these data in formulas which results are showed in a graph. <br>The problem is that it seems like there is discrepancies between pairs in the data given by my provider. In example, sometimes there is a period where data is missing for usdjpy only, which then breaks the chronological order of the data in the sheet, making the results of the formulas useless. <br>What I do is I usually just delete all data of the specific period missing on a single pair from each pairs in the file, as if it never existed. With daily data, there can be maybe 5 periods that I need to adjust like that, no big deal. But with hourly or less, the amount of time needed to do this is just crazy. <br><br>Perhaps maybe there is a simpler way of resolving this.<br><br>Thanks for your help<br>
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cf_mstrSoftwareMon, 08 Aug 2016 00:02:28 GMTHistorical Option Data on US EquitiesWhere can I find reasonably priced, high quality and complete historical option data on US equities? Daily prices is good enough for now. <br><br>Thanks. Info only. No flames, please.
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bodong408GeneralFri, 05 Aug 2016 21:53:29 GMTOpinions on M-CAM ?So I heard about these guys recently. <a target="_new" href="http://www.m-cam.com/">http://www.m-cam.com/</a><br><br>Apparently...best performing long only equities fund in the US market over the last year with their Innovation \alpha Quant Fund.<br><br>Apparently...very quant focussed.<br><br>Apparently... etc., etc., etc.<br><br><br>So, raising it with you - my best source of truth (and some fair amount of BS... <img src="/skins/default/images/emoticons/Emoticon - tongue out.gif" border="0" alt="Tongue out" />) ...has anyone heard of them, got opinions, etc.?<br>
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DrGrumpyGeneralFri, 05 Aug 2016 10:59:00 GMTFormula for Optimal Portfolio of 2 Assets when No Shorting Allowed?<br>I am looking for a formula to calculate the weights of two risky assets that produce the optimal portfolio (i.e highest Sharpe ratio).<br><br>So far I have found the following formula from a website of University of Missouri<br><br><img id=EO-IDKey-0 src="http://image.prntscr.com/image/190d2f46dbee4b6a8803f23a8e932a53.png"><br><br>However, this formula often produces negative weights.<br>For example, it returns a weight of -24% for Asset A when Risk Free Rate=3%, Ra=5%, STDEVa=15%, Rb=10%, STDEVb=20%, CORRab=50%.<br>It is probably because it allows short selling, making it not applicable in my situation. I need to find non-negative weights.<br><br>Does anyone know a formula for non-negative weights for a two-asset optimal portfolio that does not allow short selling?<br>
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cyrixPricing & ModellingMon, 01 Aug 2016 04:46:16 GMTPoint72 seeds Quantopian-backed fund with up to $250mmAnnouncement here: https://www.quantopian.com/posts/big-news-for-the-quantopian-community-managing-external-capital<br><br>I'm pretty cynical but I'm also vastly inexperienced compared to most of you on here. Would love to hear your thoughts, as I'm assuming they will be similar to the "long salmon" thread. (http://nuclearphynance.com/Show%20Post.aspx?PostIDKey=181681)
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rftx713GeneralWed, 27 Jul 2016 18:40:31 GMT