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Nuclear Phynance Reactor CoreSystematic Sector DeterminationHas anyone done any work on systematic / data driven methods to determine sector classifications, as opposed to relying on ICB/GICS/Bloomberg?<br><br>Sure i read a paper on this on SSRN, but having trouble finding it or anything like it
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HitmanHRisk ManagementMon, 26 Jun 2017 20:51:11 GMTYes my lord.Mofos.<br><br>Sick of hearing posh psuedo RP English accents in:<br><br>1. British Costume dramas. First layer of bullshit. Non-Rhotic pronunciation is a relatively modern phenomenon. King George and George Washington both spoke English with Rhotic accents. Non Rhotic bullshit became popular in the early 19th century because...well, it sounded more posh.<br><br>2. Anything Roman. Come on. Romans sounded more like East LA drug dealers than some English fag with an RP accent.<br><br>3. Fantasy stuff, like Lord of the Rings. etc.
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NoniusOff-TopicThu, 22 Jun 2017 21:07:11 GMTCommodity options time to expiry conventions?<br>For CME's futures options, do most participants use a 365 day convention or a 252 day convention?<br><br>Then within each day, is it usual to only take out time during the active trading hours (say 5:00-14:30 ET) each day or do you take out time according to the wall time passing?
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HockeyPlayerPricing & ModellingThu, 22 Jun 2017 19:49:26 GMTEquities trading software developer wantedI realise that there is a jobs section, but like others, I am not able to post there and am receiving no response from the admin, so here goes:<br><br>Job Description<br><br>We are looking for an experienced and exceptional developer to join our equities trading unit, which forms part of our established and close-knit R&D team. Our equities trading unit is focusing on:<br><br>- time series analysis of financial data;<br>- analysis of historical company data;<br>- analysis of multiple companies across multiple data fields for a single time frame; and<br>- historical back-testing.<br><br>Remuneration is competitive, will be based on experience, and a material component will be participation in the firm's bonus pool.<br><br>Skills & Requirements<br><br>Candidates should demonstrate a strong interest in systematic trading, be intellectually curious, passionate and driven. The successful candidate will have a record of exceptional academic accomplishment.<br><br>Required skills:<br><br>- experience building equity back-testing software;<br>- outstanding technical skills in .net technologies and Visual Studio IDE;<br>- advanced SQL capabilities; and<br>- experience in software development life-cycle processes (agile development, source control, release procedures etc).<br><br>Desirable skills:<br><br>- exposure to functional languages; and<br>- proven ability to work with big data.<br><br>Location:<br><br>Melbourne, Australia<br><br>About Kaiser Trading Group<br><br>We are an innovative, research-driven investment manager that aims to deliver superior performance for our institutional clients. Our investment approach is short-term, 100% systematic, multi-strategy, multi-asset and utilises advanced computer modelling. The principle of the investment thesis is using pattern recognition to make short-term directional trades. The concepts are derived from discretionary technical trading decisions based on patterns in price action. The firm currently manages approximately US$600m.<br><br>
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CDFriedrichCareersThu, 22 Jun 2017 02:57:58 GMTForth in a non-embedded settingHaving a few free days at work (while I switched teams) I decided to play around with some Forth. I'm still trying to see the point of Forth outside of an embedded environment. Most Forth use cases I read about seem all related to embedded stuff. Out of curiosity I would be interesting seeing if anyone (in a past life) used Forth in any non-embedded setting.
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gaxSoftwareWed, 21 Jun 2017 18:27:48 GMTMove from passive quant PM to active quant PMhi,<br><br>I am looking for portfolio management roles in active quant strategies. I currently manage a long only equity factor based passive strategy. <br><br>Has anyone been in the same situation or has any advice on how to make such a move? <br><br>thanks
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kimiCareersTue, 20 Jun 2017 20:32:12 GMTShould I take this (undergraduate) statistics class?I have the option of taking a statistics class next semester, in addition to my more rigorous core mathematics class on probability. However, I'm unsure if the content is useful for application in quantitative finance and machine learning, which are my areas of interest. If the content is not useful, then I can skip it in favour of a later class which focuses on other aspects of statistics.<br><br>I would appreciate it if people could please inform me as to whether I should be taking this class, so that I don't end up wasting time and money on something that has low relevance.<br><br>The lecturer gives the following description of the class:<br><br>Many real-world problems involve analysing data sets that are not normally distributed. For example, binomial data in the form of presence/absence recordings, Poisson data measured as counts of rare events such as car accidents, Gamma data for measurements of rainfall and Weibull data for the expected lifetimes of machinery. This unit provides experience in analysing such observations. The majority of the unit concentrates on the presentation and analysis of such data sets. Generalised Linear Models (GLMs) are used to incorporate explanatory variables into the analyses. In developing these skills students are trained in an appropriate statistical software package. The unit also provides a rudimentary understanding of probability and statistics necessary for applying the likelihood theory for estimating these models.<br><br>The content of the class is as follows:<br><br>Bernoulli & binomial distributions. Statistical inference for proportions: hypothesis testing and confidence intervals.<br><br>Chi-squared test and statistical inference for ratios: univariate hypothesis testing and confidence intervals.<br><br>Introduction to sampling schemes for the collection of data. Basic tools for analysing count data: Fisher’s Exact and Cochran-Mantel-Haenszel tests.<br><br>Logistic regression for binary response data.<br><br>Logistic regression for binary counts and conditional logistic regression for matched case-control data.<br><br>Poisson (log-linear) regression for Poisson counts.<br><br>Negative binomial regression for over-disperse count data.<br><br>Introduction to likelihood functions – construction and visualisation.<br><br>Maximum likelihood estimation (MLE) – analytic and numeric solutions.<br><br>Sampling distribution of MLE.<br><br>Properties of MLE. Comparison of likelihood ratio test (LRT) & Wald's test. Model goodness of fit based on deviance and Akaike's Information Criteria (AIC).<br><br><br>Thanks everyone.<br>
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SavoyUniversitySun, 18 Jun 2017 06:02:57 GMTCustody costsIs it feasible for me to find cheaper custody costs than 3bps per annum (on MV, not notional) for a large HY USD denominated bond position?<br><br>Not your usual pricing question!
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KitnoPricing & ModellingSat, 17 Jun 2017 23:36:25 GMTArchimedes FinanceFinally re-upped here after my login email was lost to the abyss some time ago though I only had a few posts and, sadly, have only cruised the phora perhaps once per year since.<br>Wondering if anyone has any colour/info on this shop.
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algos.artsGeneralThu, 15 Jun 2017 03:39:40 GMTRough Volatility paper?<br><a target="_new" href="http://mfe.baruch.cuny.edu/wp-content/uploads/2017/05/RoughVolatilityBarcelona2017.pdf">Rough Volatility Barcelona 2017</a><br><br>I'd be interested in comments,
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HockeyPlayerPricing & ModellingWed, 14 Jun 2017 19:07:19 GMTTrading strategy questionsI have worked out a little low frequency trading strategy in my spare time. It has rather attractive average returns both in and out of sample as well as live last 7 months. Unfortunately, it is very volatile so Sharpe ratio is just over 1. Since someone will probably ask about it, I’ll add that it is 40% correlated with the general market and has max DD -35%. The strategy tells me to buy a certain asset, or to sell it and stay in cash until things improve.<br><br>Let’s deal with the easy question first. Am I right that no one with real money would invest in a strategy with Sharpe = 1 no matter the returns in backtesting?<br><br>Second question is how much of my own money should I invest in it? What would be a rational approach to finding the “optimal” % to invest in it? It seems reasonable that capital allocation must be a function of my certainty that the strategy will continue performing well, and perhaps a couple of other things. <br>If I were sure that the future will be more or less like the past (as it might, there is no obvious reason why it can’t) then, for a long (3+years) haul it would be rational to put all my money in it and also borrow as much as I can because the average returns in backtesting are far better than what I can make investing in stock indices.<br>However, in reality I’m not at all sure that the future will be more or less like the past. There is always a chance that market dynamics will change, that someone else will discover the same trade, that I screwed up the code, that I overfit the model and simply delude myself (this one is the prime suspect on “too good to be true” basis), that I am just being lucky and sooner or later it will blow up in my face, etc. Although I am aware of potential pitfalls, I don’t have a first clue how to quantify the uncertainty. Nor how to use this uncertainty in deriving the optimal allocation. Has anyone thought about such a question before? I know that ideally I should develop a bunch of other uncorrelated strategies instead of focusing on just one, and I’m trying, but for now this is all I got.<br><br>Third, when and why would I get out of this game? I guess the most intuitive answer is to get out when it doesn’t perform as it used to. I could run some statistical tests to make it sort of objective but I don’t think this is a great answer (although it still might be the best answer). Here is why. If I were running this before and during the financial crisis, the strategy would have behaved in a totally different way compared to what I saw before or after. If I concluded based on this evidence that it’s time to close the shop then I would have missed a lot of money to be made after the crisis. Are there any other ideas?<br><br>Thanks to all who will find time to chime in.<br>
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EnergeticTradingWed, 14 Jun 2017 18:42:47 GMTInternships / Experience I was wondering what some of you might be able to recommend I do directly after i complete my undergraduate bachelors degree. I'm getting into algotrading just recently, reading Chan's book on my own as well as exploring blogs and API's, but i was wondering what I should be doing to prepare for the job market. Should i focus on learning as much as I can? Any worthwhile internship programs that could teach me valuable skills in the field? In other words, how to I jump into this field after I finish my last year of school?<br><br>Any help is very much appreciated.
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rbei17GeneralMon, 12 Jun 2017 15:36:52 GMTreq: beat the marketI've been recently enjoying Ed Thorp´s new "Man of all markets" and would like to delve into Beat the market as there are lots of references to it, although it seems to be out of print these days.<br><br>I could easily find a not nicely formatted PDF (which I am fearing to convert to Kindle), and a quick search on used books websites shows asking prices of a few hundred dollars/euros which are out of question so I'd like to see if any fellow phorumite would kindly offload her copy for a "reasonable" price. If I should be so luck my email adress is in my profile page.
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eengBooks & PapersSun, 11 Jun 2017 18:06:28 GMTcms curve cap optionI believe that this topic has been posted on a decent amount before but I'm looing for some help with the formula and notations. I'm just looking for the simple black model to price a cms curve cap option. I have derived the curve cap vol from swaption vols for each forward tenor and correlations between the forward tenors. I have also calculated the convexity adjustment on the two rates. I'm pricing a 6month forward 10yr/30yr atm curve cap. For the inputs i have:<br>(these numbers are approximate)<br>6m10yr 2.05 and vol of 60 annualnormvol<br>6m30yr 2.30 and vol of 55 annualnormvol<br>spread of 25bps with a convexity adjustment of 1.5bps so atm strike of 26.5. I used about 96% correlation and got a vol of 18bps. In addition, let's say the 6month discount rate is 1.40%.<br><br>So can someone help me to calculate the curve cap price using these inputs? The actual calculation and not just the formula is what im looking for since that's part of my issue. Of course i'll be doing this in excel and the inputs given here may not tie out to what i say i've calculated since I was just trying to remember them but they can be taken as correct. Thank you!
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tzarnicholasiiiPricing & ModellingSat, 10 Jun 2017 21:41:02 GMTcms curve cap option priceI believe that this topic has been posted on a decent amount before but I'm looing for some help with the formula and notations. I'm just looking for the simple black model to price a cms curve cap option. I have derived the curve cap vol from swaption vols for each forward tenor and correlations between the forward tenors. I have also calculated the convexity adjustment on the two rates. I'm pricing a 6month forward 10yr/30yr atm curve cap. For the inputs i have:<br>(these numbers are approximate)<br>6m10yr 2.05 and vol of 60 annualnormvol<br>6m30yr 2.30 and vol of 55 annualnormvol<br>spread of 25bps with a convexity adjustment of 1.5bps so atm strike of 26.5. I used about 96% correlation and got a vol of 18bps. In addition, let's say the 6month discount rate is 1.40%.<br><br>So can someone help me to calculate the curve cap price using these inputs? The actual calculation and not just the formula is what im looking for since that's part of my issue. Of course i'll be doing this in excel and the inputs given here may not tie out to what i say i've calculated since I was just trying to remember them but they can be taken as correct. Thank you!
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tzarnicholasiiiTradingSat, 10 Jun 2017 19:30:32 GMT