[Pinned] Improve Your Trading With Objective Method
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2010/03/06 20:26 | by abiao ]
2010/03/06 20:26 | by abiao ]
After the successful release of free ebook 14 Critical Lessons Every Trader Should Know, elliott wave international decides to present another new free report: Improve Your Trading With Objective Method.
You’ve heard the common trading advice: “Successful traders know how to control their emotions, instead of being controlled by their emotions.” I bet you're thinking easier said than done, huh? As a trader, you’re bombarded with countless possibilities that can make decisive action a stressful hire wire act. It’s no wonder your emotions can get in the way.
That’s where Elliott Wave International’s free report can help. You’ll discover how to manage your positions objectively – plus control your emotions – so you make the most of each high-confidence trade set-up.
Learn more and download your free report.
There’s even a bonus lesson included on “Protective Stops,” so you can learn critical exit strategies.
If you’re a trader or considering trading, this report is a must-read. Rid yourself of emotional trading and learn to objectively identify high-confidence trade set-ups. Visit Elliott Wave International to download your free report.
You’ve heard the common trading advice: “Successful traders know how to control their emotions, instead of being controlled by their emotions.” I bet you're thinking easier said than done, huh? As a trader, you’re bombarded with countless possibilities that can make decisive action a stressful hire wire act. It’s no wonder your emotions can get in the way.
That’s where Elliott Wave International’s free report can help. You’ll discover how to manage your positions objectively – plus control your emotions – so you make the most of each high-confidence trade set-up.
Learn more and download your free report.
There’s even a bonus lesson included on “Protective Stops,” so you can learn critical exit strategies.
If you’re a trader or considering trading, this report is a must-read. Rid yourself of emotional trading and learn to objectively identify high-confidence trade set-ups. Visit Elliott Wave International to download your free report.
Quant Project Outsourcing
[ 2010/03/17 10:29 | by abiao ]
2010/03/17 10:29 | by abiao ]
I haven't updated my blog for several days as I have been very busy last week with my own research, courses. In the mean time I also did a few outsourcing projects, for example, some recent projects including a portfolio Value at Risk calculation excel with macro supporting advanced input & output form; an American option calculator considering discrete dividends in VBA; data clean, missing data imputation for a small hedge fund; probability of future stock price exceeding a barrier in Matlab, etc.
Some selected customers' review:
Very satisfied, with the level of work - muzammmil
Fantastic effort abiao, I really appreciated you turning this job around for me so quickly. If I ever have the need for a quant to help with another custom function, you are my man. - ABCInvestor
Thanks for your efficiency, you are definately on my list if I need a quick quant. - John
with received feedback
If you happen to have some math finance projects for outsourcing, you may consider to give my group and me chance. Although we can't guarantee we are capable of meeting all your requirements, we can try best to insure you a satisfied result as long as we promise to undertake the project, at a low cost. Please email me at abiao @ mathfinance.cn (remove space) for a quote and proposal if you want, cheers.
Some selected customers' review:
Very satisfied, with the level of work - muzammmil
Fantastic effort abiao, I really appreciated you turning this job around for me so quickly. If I ever have the need for a quant to help with another custom function, you are my man. - ABCInvestor
Thanks for your efficiency, you are definately on my list if I need a quick quant. - John
with received feedback
If you happen to have some math finance projects for outsourcing, you may consider to give my group and me chance. Although we can't guarantee we are capable of meeting all your requirements, we can try best to insure you a satisfied result as long as we promise to undertake the project, at a low cost. Please email me at abiao @ mathfinance.cn (remove space) for a quote and proposal if you want, cheers.
The Big Short: Inside the Doomsday Machine
[ 2010/03/11 20:28 | by abiao ]
2010/03/11 20:28 | by abiao ]
Most of us have read the book Liar's Poker: Rising Through the Wreckage on Wall Street
, one of the books that define Wall Street during the 1980s and are highly recommened by many people in academia and industry, where the author Michael Lewis described his experiences as a bond salesman in a humon sense. I just got to know today from a friend of mine recommending a new book The Big Short: Inside the Doomsday Machine , as described:
I don't know, considering the high quality of Liar's Pocker, it may be worth reading. I pre-ordered just now at Amazon, if you also want a bed reading book, order one at only $15.09 at Amazon to be released on March 15, 2010. The Big Short: Inside the Doomsday Machine
.
, one of the books that define Wall Street during the 1980s and are highly recommened by many people in academia and industry, where the author Michael Lewis described his experiences as a bond salesman in a humon sense. I just got to know today from a friend of mine recommending a new book The Big Short: Inside the Doomsday Machine , as described:Quotation
A brilliant account—character-rich and darkly humorous—of how the U.S. economy was driven over the cliff. Truth really is stranger than fiction. Who better than the author of the signature bestseller Liar’s Poker to explain how the event we were told was impossible—the free fall of the American economy—finally occurred; how the things that we wanted, like ridiculously easy money and greatly expanded home ownership, were vehicles for that crash; and how shareholder demand for profit forced investment executives to eat the forbidden fruit of toxic derivatives.
I don't know, considering the high quality of Liar's Pocker, it may be worth reading. I pre-ordered just now at Amazon, if you also want a bed reading book, order one at only $15.09 at Amazon to be released on March 15, 2010. The Big Short: Inside the Doomsday Machine
.Calibrating Stochastic Volatility Models with Heuristic Techniques
[ 2010/03/09 10:45 | by abiao ]
2010/03/09 10:45 | by abiao ]
Stochastic volatility models, specifically, Heston model, SABR model, are introduced before and become the widely used among academia and industry. However, the calibration process is difficult because generally the pricing requires numerical integration, and calibration requires to find five and eight parameters instead of only one for Black Scholes model.
Found a paper Calibrating Option Pricing Models with Heuristics, where the author look into the calibration of Heston (1993) and Bates (1996) models. Finding parameters that make the models consistent with market prices means solving a non-convex optimisation problem. Optimisation heuristics is suggested for this issue, more specifically they show that Differential Evolution and Particle Swarm Optimisation are both able to give good solutions to the problem.
Take a look if you are interested, in the Appendix the R and Matlab codes are given for a better understanding. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1566975
Found a paper Calibrating Option Pricing Models with Heuristics, where the author look into the calibration of Heston (1993) and Bates (1996) models. Finding parameters that make the models consistent with market prices means solving a non-convex optimisation problem. Optimisation heuristics is suggested for this issue, more specifically they show that Differential Evolution and Particle Swarm Optimisation are both able to give good solutions to the problem.
Take a look if you are interested, in the Appendix the R and Matlab codes are given for a better understanding. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1566975
VaR Historical Simulation
[ 2010/03/05 11:39 | by abiao ]
2010/03/05 11:39 | by abiao ]
Following Value at Risk xls and var backtesting, a third post about using historical simulation for Value at Risk calculation. We know one shortcoming of historical simulation is: the result highly depends on the choice of sample data length, VaR result does not vary often or changes suddenly. Despite this weakness, HS is still popular due to its obvious advantage: easy to implement, and no distribution assumption required, which is especially appealing if the estimate of distribution assumption is difficult. Several ways have been proposed to improve HS's performance, here are two selected methods with good results I personally use.
1, The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk by Jacob Boudoukh1, Matthew Richardson and Robert F. Whitelaw. By hybrid it means this approach is a combination of RiskMetrics's parametric method and Historical Simulation. The basic idea is: since we can allocate larger weight to recent data and smaller weight to remote data for exponential weighted moving average (EWMA) volatility calculation, hence improves the backtesting performance of parametric method, why can't we then apply a similar principle to historical simulation? make sense? so it estimates the VaR of a portfolio by applying exponentially declining weights to past returns and then finding the appropriate percentile of this time weighted empirical distribution. The following results are from the paper The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk, page 11. It does improve compared with the vanilla historical simulation and EWMA parametric method, nice.
1, The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk by Jacob Boudoukh1, Matthew Richardson and Robert F. Whitelaw. By hybrid it means this approach is a combination of RiskMetrics's parametric method and Historical Simulation. The basic idea is: since we can allocate larger weight to recent data and smaller weight to remote data for exponential weighted moving average (EWMA) volatility calculation, hence improves the backtesting performance of parametric method, why can't we then apply a similar principle to historical simulation? make sense? so it estimates the VaR of a portfolio by applying exponentially declining weights to past returns and then finding the appropriate percentile of this time weighted empirical distribution. The following results are from the paper The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk, page 11. It does improve compared with the vanilla historical simulation and EWMA parametric method, nice.
