<![CDATA[Quantitative Finance Collector]]>

<![CDATA[Quantitative Finance Collector]]> http://www.mathfinance.cn en-US http://www.mathfinance.cn/help-us-spread-the-word/ <![CDATA[Help Us Spread the Word]]> abiao Sat, 04 Sep 2010 13:25:01 +0000 http://www.mathfinance.cn/help-us-spread-the-word/

An off topic post in weekend.

As many of you have noticed there is a row of social bookmarking icons at the right sidebar

so that you are able to bookmark & share articles with your friends conveniently simply by clicking the icons, for example, RSS feed subscription, shared in facebook, tweet it, send to stumbleupon, add to delicious, etc.

The reason I kindly invite you to do this is to help us spread the blog, as the main purpose of it is to collect & share useful resources on internet about quantitative finance. Indeed some posts are motivated directly by the comments you left or emails you sent to me, such as Pathwise Derivative vs Finite Difference For Greeks Computation, and Numerical Recipes in VB, people involved get improved throughout the discussion. The more person visiting this site, the more excellent resources & ideas we could have, which ultimately benefits all of us. Never underestimate how important your 5-second click is to this site.

Have a nice weekend & happy sharing. Cheers.
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]]> http://www.mathfinance.cn/is-india-a-quant-job-center/ <![CDATA[Is India a Quant Job Center? ]]> abiao Mon, 30 Aug 2010 14:34:43 +0000 http://www.mathfinance.cn/is-india-a-quant-job-center/

Today is the British bank holiday, I am the only one sitting in the big office, no mood to do my research...

Like usual, open Browser, visit Google, since I have been looking for an internship recently, I type "Quant Jobs" and Google provides query suggestions in the search box automatically based on the hot searching terms. While I notice something interesting, Google.co.uk suggests me the terms "Quant Jobs in India" like below

then I switch to Google.com, still,

how about Google.ca

Unsurprisingly NewYork, London, HongKong, Tokyo are the places with many opportunities for quant, but are there also lots of quant jobs in India? is india another quant job center? I am confused, anybody knowing a quant internship in india for me :) Cheers.
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]]> http://www.mathfinance.cn/mental-math-tricks/ <![CDATA[Mental Math Tricks]]> abiao Thu, 19 Aug 2010 10:26:02 +0000 http://www.mathfinance.cn/mental-math-tricks/

I remember vividly when I was at my elementary school, an author of a book about mental Math tricks stood in front of all of us, challenged everyone by calculating mentally 2-digit multiplication in few seconds. That was really amazing for young kids, even now mental math multiplication is still a game when having beer with my friends, "um... so what is 15*17?", 1, 2, 3, no answer? DRINK! A lot of fun indeed.

Stumbled a site just now about 9 mental math tricks, (I assume many of us head of Stumbleupon, if not, in one sentence: StumbleUpon helps you discover and share great websites matched to your personal preferences with your friends, for instance, you can follow & see my stumbles at https://www.stumbleupon.com/stumbler/biao/.) it is a good one explaining the tricks in very detail, I am sure you will be able to compute many 2-digit multiplication in 5 seconds mentally. Be preapred to show off in a dinner.

1. Multiplying by 9, or 99, or 999
Multiplying by 9 is really multiplying by 10-1. So, 9×9 is just 9x(10-1) which is 9×10-9 which is 90-9 or 81. Let’s try a harder example: 46×9 = 46×10-46 = 460-46 = 414.

2. Multiplying by 11
To multiply a number by 11 you add pairs of numbers next to each other, except for the numbers on the edges. Let me illustrate: To multiply 436 by 11 go from right to left. First write down the 6 then add 6 to its neighbor on the left, 3, to get 9. Write down 9 to the left of 6. Then add 4 to 3 to get 7. Write down 7. Then, write down the leftmost digit, 4. So, 436×11 = is 4796.

3. Multiplying by 5, 25, or 125
Multiplying by 5 is just multiplying by 10 and then dividing by 2. Note: To multiply by 10 just add a 0 to the end of the number.
12×5 = (12×10)/2 = 120/2 = 60. Another example: 64×5 = 640/2 = 320. And, 4286×5 = 42860/2 = 21430. To multiply by 25 you multiply by 100 (just add two 0’s to the end of the number) then divide by 4. To multiply by 125, you multipy by 1000 then divide by 8 since 8×125 = 1000.

4. Multiplying together two numbers that differ by a small even number
This trick only works if you’ve memorized or can quickly calculate the squares of numbers. If you’re able to memorize some squares and use the tricks described later for some kinds of numbers you’ll be able to quickly multiply together many pairs of numbers that differ by 2, or 4, or 6. Let’s say you want to calculate 12×14. When two numbers differ by two their product is always the square of the number in between them minus 1.
12×14 = (13×13)-1 = 168.
16×18 = (17×17)-1 = 288.
If two numbers differ by 4 then their product is the square of the number in the middle (the average of the two numbers) minus 4.
11×15 = (13×13)-4 = 169-4 = 165.
13×17 = (15×15)-4 = 225-4 = 221.
If the two numbers differ by 6 then their product is the square of their average minus 9.

5. Squaring 2-digit numbers that end in 5
If a number ends in 5 then its square always ends in 25. To get the rest of the product take the left digit and multiply it by one more than itself. 35×35 ends in 25. We get the rest of the product by multiplying 3 by one more than 3. So, 3×4 = 12 and that’s the rest of the product. Thus, 35×35 = 1225.

6. Multiplying together 2-digit numbers where the first digits are the same and the last digits sum to 10
Let’s say you want to multiply 42 by 48. You notice that the first digit is 4 in both cases. You also notice that the other digits, 2 and 8, sum to 10. You can then use this trick: multiply the first digit by one more than itself to get the first part of the answer and multiply the last digits together to get the second (right) part of the answer.An illustration is in order:
To calculate 42×48: Multiply 4 by 4+1. So, 4×5 = 20. Write down 20. Multiply together the last digits: 2×8 = 16. Write down 16. The product of 42 and 48 is thus 2016.

7. Squaring other 2-digit numbers
Let’s say you want to square 58. Square each digit and write a partial answer. 5×5 = 25. 8×8 = 64. Write down 2564 to start. Then, multiply the two digits of the number you’re squaring together, 5×8=40. Double this product: 40×2=80, then add a 0 to it, getting 800. Add 800 to 2564 to get 3364.

8. Multiplying by doubling and halving
There are cases when you’re multiplying two numbers together and one of the numbers is even. In this case you can divide that number by two and multiply the other number by 2. You can do this over and over until you get to multiplication this is easy for you to do. Let’s say you want to multiply 14 by 16. You can do this:
14×16 = 28×8 = 56×4 = 112×2 = 224.

9. Multiplying by a power of 2
To multiply a number by 2, 4, 8, 16, 32, or some other power of 2 just keep doubling the product as many times as necessary. If you want to multiply by 16 then double the number 4 times since 16 = 2×2x2×2.
15×16: 15×2 = 30. 30×2 = 60. 60×2 = 120. 120×2 = 240.

That's enough for today, I am sure there are other mental math tricks, so don't forget to share with us. For more example please read the original page at http://www.dailycognition.com/index.php/2008/10/28/9-mental-math-tricks.html, or you can buy an ebook Math Without A Calculator!

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]]> http://www.mathfinance.cn/personal-advice-on-binary-option-trading/ <![CDATA[Personal Advice on Binary Option Trading]]> abiao Mon, 16 Aug 2010 14:12:45 +0000 http://www.mathfinance.cn/personal-advice-on-binary-option-trading/

In my previous post Binary Option Trading I introduced a simple online trading platform Eztrader, where investors are allowed to trade hourly, dayly, and weekly call/put binary options on different stocks, currencies, indices, etc.

I have more words to say after posting that article almost half a year, and generating around 60% return, although still a small sum of money. A few personal advice:
1, binary option trading is riskier than equity trading. It is nearly a 0 or 1 game, you can double and empty your investment quickly than you thought. For example, a daily call option has a payout ratio of 81%, which means for a $100 trading, you earn $81 if you "bet" correctly the direction, and lose $95 if you are wrong. So don't trade unless you realize a clear pattern, I feel much better to wait for the next opportunity than to trade my luck;

2, since the hourly & daily options are too short to be analyzed and backtested, unless you can get access to high-frequency data, those momentum & trend following strategies are not useful for the binary option trading. Those strategies listed at High Probability ETF Trading Strategies on Stock and Quantitative trading strategies haven't found a place for me;

3, you can control you risk (decrease the chance to win as well) by buying a lower strike call and a higher strike put, (a strangle portfolio). So when the closing price is within the range of lower and higher strikes your profit is twice as a single option, and is limited when the closing price is outside of the range;

4, the world markets are correlated & influenced each other somehow. Due to the time lag, German market opens when Shanghai market closes, and US market opens at the afternoon of German time. I do make profit by buying call on German DAX and NASDAQ when Shanghai Index is up over 3%, and by buying a put on German DAX and NASDAQ when Shanghai Index is down over 3%. Also by buying a call on NASDAQ when the open price of German DAX is 1% higher than yesterday's closing price, and a put when 1% lower. why is 3% or 1%? it is backtested & supported by my historical data, the reason maybe they are big enough to remove random walk;

5, the last but most important, don't bet your whole rest of life on it, it is good to put a small sum of money on it, have fun, be familiar with the recent market, test your strategy, but not for pure gamble.

Take a look at Eztrader if interested, and don't forget to share your thoughts, experience to us.
Tags - binary , option , trading
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]]> http://www.mathfinance.cn/quantitative-finance-collector-pdf/ <![CDATA[Quantitative Finance Collector PDF]]> abiao Tue, 10 Aug 2010 10:49:12 +0000 http://www.mathfinance.cn/quantitative-finance-collector-pdf/

Couple of months ago I created a PDF document including most of articles on this blog, (read Top Quant codes collection you shouldn't miss). Over one year passed I realize I need to make an updated one as many more articles have been added since then. It helps me to backup and some of my readers to view easily.

Quantitative Finance Collector is simply a record of my financial engineering learning journey as a master in quantitative finance, a PhD candidate in finance and a Quantitative researcher, with most of the entries written at school. Download the whole articles. (updated 08/2010)

It has 460 pages long, covering all artilces up to 09/08/2010. (wow, much more than I expected), some of them are irrelavant to quant finance, and please forgive me as there are absolutely lots of English grammer errors and poor expression. So feel free to distribute or delete it.
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]]> http://www.mathfinance.cn/short-term-stock-price-movement-prediction-competition/ <![CDATA[Short Term Stock Price Movement Prediction Competition]]> abiao Fri, 25 Jun 2010 09:29:19 +0000 http://www.mathfinance.cn/short-term-stock-price-movement-prediction-competition/

Many thanks to Anthony who emailed me the link to this competition.

So you are a quant-gambler? time to stand out!

Traders, analysts, investors and hedge funds are always looking for techniques to better predict stock price movements. The 2010 INFORMS Data Mining Contest takes aim at this goal, requiring participants to build models that predict the movement of stock prices over the next 60 minutes.

Knowing whether a stock will increase or decrease allows traders to make better investment decisions. Moreover, good predictive models allow traders to better understand what drives stock prices, supporting better risk management. The results of this contest could have a big impact on the finance industry.

Quotation

Competitors will be provided with intraday trading data showing stock price movements at five minute intervals, sectoral data, economic data, experts' predictions and indices. We have provided a training database to allow participants to build their predictive models. Participants will submit their predictions for the test database (which doesn't include the variable being predicted). The public leaderboard will be calculated based on 10 per cent of the test dataset.

The submission deadline is October 10th 2010. Final results will be announced on October 12th. The winners of this contest will be honoured at a session of the INFORMS Annual Meeting in Austin-Texas (November 7-10).

Check the detail of this competition at http://kaggle.com/informs2010
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]]> http://www.mathfinance.cn/forex-market-strategy-guide-scalping-101/ <![CDATA[Forex Market Strategy Guide: Scalping 101]]> bo tigerguob@hotmail.com Tue, 22 Jun 2010 17:46:49 +0000 http://www.mathfinance.cn/forex-market-strategy-guide-scalping-101/

There are multiple ways of profiting in forex, including swing trading or trend following. However, scalping is the method with the shortest trading periods. With this method, traders usually open a trade for 1-2 minutes, or 5 minutes at the very most. The idea is to benefit from short fluctuations in the market.

This series of articles will serve as a guide for scalping, but for the purpose of introduction, we can ask what makes this strategy popular and effective. Many of these considerations will then serve as the topics of further articles.

The first major reason for scalping is perceived safety. Scalping has a far shorter time frame than the other forex methods, and many traders argue that this limits their exposure to the market.

Of course, this limited exposure leads to a second major characteristic of scalping—a large number of trades. Some scalpers may open and close as many as several hundred trades within a single trading day.

This points to one of the major challenges for this style of trading. Since the number of trades is extraordinarily high, scalpers must find forex brokers with low transaction costs and fees. Before considering this style, make sure that your broker’s commission structure allows for you to be profitable.

A third characteristic is the fact that scalpers rely on some type of leverage. The profit from each trade is generally quite small, and even with a huge number of orders, the results would hardly be worthy of the effort. Depending on the amount of leverage you use, this can eliminate any real security. In spite of their arguments to the contrary, scalpers can lose a day’s work in a few bad transactions.

A fourth characteristic of scalping is that it is generally a full-time endeavor. This is a significant limitation, since the majority of forex traders only do it in order to supplement their income. Scalping requires constant and undivided attention. If you decide to use this strategy, expect it to dominate your time and efforts for as long as you are trading. It is generally best to set aside an extended period of time and eliminate any other distractions. This is unworkable for many traders, though when a scalper finishes for the day, his exposure is finished as well.

Some scalpers try to eliminate this problem by automating the process. In recent years, a vast number of robots and software automation kits have become available for scalpers. Unfortunately, most of these are unproven, and many make wild claims that stretch far beyond plausibility. Still, there is a real benefit in automating certain parts of the process. For instance, you might use software to execute redundant tasks like stop-loss, take profit and other orders, while doing the analytical tasks yourself. In this limited role, the automation can be a significant help by allowing you to execute more trades with less drudgery.

Scalping is a workable strategy if you know what you are doing and are willing to dedicate your full time energy to forex trading. Unfortunately, too many beginners try scalping based on the assumption that they can avoid risk. As any experienced investor knows, risk accompanies any genuine financial opportunity. After several months of practice, and with plenty of education, scalping is a great way to enter the forex markets. This guide will tell you some of the main things you need to know when getting started.

The first step in any guide on scalping is understanding how scalpers actually make money. What does a scalping strategy look like in daily practice?

We already mentioned that scalping involves entering and exiting the market in short time spans. But what guides the choice to enter or exit? Actually, this strategy works on the basis of careful analysis and timing. What makes scalping different from other strategies is that it takes advantage of volatility rather than trending, ranging, or fundamental analysis. Recognizing that the market moves erratically in the short term, scalpers try to identify small patterns and exploit them.

The strategy works when traders can find short-term disruptions in liquidity, or other temporary abnormalities. For instance, a news shock or some other factor might suddenly increase demand for the yen. During that time, there will be a need for liquidity as too many people demand the yen with insufficient supply. The spread between bid and asking price will temporarily widen. A scalper might recognize that the liquidity has to return eventually and the price will eventually settle back into normal levels. Based on this, he can go long or short, as appropriate, and collect on the difference.

This means that scalpers actually benefit from volatility by trading on the assumption that prices will stabilize again. It’s not hard to see that after a major event, prices routinely zigzag for several minutes before settling again. Since this is an emotional over-reaction, a scalper maintains a realistic, stable viewpoint and profits from those who don’t.

It’s also easy to see that if trading wisely, scalpers act as “brakes” on the micro-volatility of the market. They actually profit by dragging irrational price-spikes back to meaningful levels. One other implication is that the most important time for a scalper is just after a market shock. Scalpers pay careful attention to announcements of economic data or news shocks and the disruption that follows.

But these observations lead to the other major topic of this article—leverage. The inherent limitation of trading on micro-volatility is that it will never be very significant. Therefore, scalpers use surprising amounts of leverage to make their trading more potent. Their leverage might range from 5:1, all the way up to 50:1. These kinds of leverage would be simply intolerable for other traders, but the important thing to remember is the short duration that scalpers use. During this time, there is little opportunity for wide swings in the market that would risk massive losses. It is also crucial to always use a good stop-loss mechanism and not adjust it for individual trades. If these measures are maintained and a trade turns out badly, it will be closed in a matter of minutes or even less when the stop-loss level is reached.

There are still a few cases when scalpers might still suffer significant losses. Significant news shocks might cause very wide spreads in a short time. Even the best brokers may not be able to complete stop-loss orders quickly enough, and losses can multiply exponentially. Therefore, traders should always be conscious of whether new economic data or another type of event has the potential to cause significant disruptions. In such cases, it is always wise to use caution and trade with lower amounts of leverage.

Scalping is an interesting strategy because it takes advantage of phenomena that might otherwise seem random. It is a simple testimony to the fact that on every level of the forex market, the same principle applies—profit belongs to the traders that use their heads and who are not carried away by short-term emotion. The scalpers that succeed are the ones that have mastered that art.

The next logical question in our guide to scalping is how to do it. When it comes right down to the pragmatics of this strategy, what do you need to make it work, and where do you start?

One of the most important foundational issues is choosing the right broker. In some cases, a brokerage may even have a stated policy against scalping. Without the right platform and broker, you simply have no chance of success. But what should you be looking for?

The first issue is the broker’s spreads. If a swing trader opens and closes several positions every day, a spread of several pips is hardly an issue, but scalpers might open and close more than a hundred daily. If you work out the math, this is a significant loss. For instance, imagine that a trader makes 50 trades with a nice profit of 130 pips. If the spread is three pips, he would end up with a net loss of 20 pips. Since the cost of the spread applies to every trade whether it is profitable or not, this loss adds up very quickly. The conclusion is fairly obvious—if you want to make any profit with scalping, you’ll need to find a broker with the lowest spread possible. In addition to spreads, you should also check for any commissions or hidden trading fees.

But this search is not always easy. Unfortunately, many brokers have a bad relationship with scalpers. The problem is that the number of trades scalpers make can sometimes overwhelm older systems. In addition, every broker has to countertrade the orders he processes to avoid being financially liable. Receiving large numbers of orders every day doesn’t make this easy.

For those reasons, many brokers try to eliminate scalpers. Sometimes this is a stated policy, but very often a broker will simply terminate a scalpers account or slow down his processes so that scalping is impossible. Therefore, you must also find a broker with the most up-to-date technology and a toleration for large numbers of orders. Look for a fully-automated broker with no-dealing desk (NDD).

There are several other things that can make scalping impossible. If the trades take too long to process (slippage), the price difference will quickly make trading unprofitable. Therefore, you should always look for efficient execution of your orders. Similarly, price quotes must always be precise and updated dynamically. Even a small delay (latency) makes trading based on micro-volatility impossible.

Finally, scalpers should look for platforms with a workable interface. For the most part, this should include the same financial tools that trader’s want with other strategies. Of course, you should look for an interface with a full range of execution tools. But in particular, the interface needs to be fast and easy to use. This is important because of the number of rapid orders that must be made. Customization is also a big advantage, as well as automation. You should also pay attention to the visual appearance of the interface. Scalping requires intense focus, and many traders report eye-strain after a long day of staring intensely at a screen.

In short, you should consider every angle before committing yourself to a particular brokerage or a trading platform. Be upfront from the beginning with your broker. If you try to use this strategy through a system that can’t handle it, the brokerage will intentionally make trading impossible. Of course, you should also be confident that your broker isn’t fraudulent. Most of all, you should never try to use scalping through a broker with wide spreads or other excess costs. The net result will always be a loss. Done right, and done through the right avenues, however, scalping can be quite successful.

Once you establish a broker, there are several other things you should know about scalping.

First, you should wisely pick currency pairs that will work well with the strategy. The best thing is to start out with the basic pairs, and move to riskier pairs as you become more experienced.

The most stable and liquid currency pair is certainly EUR/USD. Other majors have a similar stability, such as GBP/USD, USD/CHF and others currencies from the major world economies. All of these currencies change very slowly. Even major events will not produce significant jumps in these pairs, because of the volume that is regularly traded.

But isn’t the goal of scalping to profit from volatility? So it seems as though more volatile currencies would be better. The advantage of the more stable currencies, is that directional changes are much easier to predict. Remember that even small fluctuations can be magnified through leverage. This means that a trader can generate very large returns from these pairs, if he is willing to accept the risk.

Another group can be called carry pairs. These currencies are liquid, but much more volatile than the majors. A good example here is the Japanese Yen. Interest rates are very high on the Yen, and many investors also use the currency for risky assets. One of the results is that market shocks will have extreme results that might result in very wide spreads. Within a scalping strategy, this might result in extreme losses that a stop-loss order cannot protect from. Furthermore, excessive volatility can be quite unpredictable. Therefore, it is generally best for beginners to stay away from pairs that involve the Yen (JPY) or other carry pairs.

Finally, exotic pairs involve small or developing nations with a low volume of trade. Examples might include the Norwegian Krone (NOK), the Turkish Lira (TRY), the Brazilian Real (BRL), or any of the developing currencies. These pairs are quite unpredictable, and often run into significant liquidity problems. Trading with one of these is a significant risk.

Any experience trader also realizes that the markets change during the course of a day. So when is the best time to trade? From 7:00-8:00 (EST), markets are quite choppy, because worldwide traders anticipate the opening of the New York market. Late morning brings higher volatility, but also great liquidity. Many announcements also direct the market during this time. Early afternoon tends to be quite choppy, with higher risks but potentially greater profits. Late afternoon sees the closing of most large banks in developed countries, and the market becomes its quietest.

Really, your preference for each of these times depends on your style. In choppy conditions, scalpers should look for shorter trades without concern for directionality. Of course, during the time that the markets are open, there should be more attention to larger trends, and the possibility of more extended trades.

All of these factors are significantly influenced by your particular style and your experience. Risk may be just the thing if you know how to handle it, and experienced traders often had straight for more volatile times and currency pairs. If you’re only beginning, the key is to stay with major pairs and avoid times of wild fluctuations. Learn how to predict the market with low leverage and minimal risk. Once you’ve seen and handled various market conditions, you can consider taking bigger risks, and pursuing larger profits.

This guide has sought to introduce scalping and discuss the pros and cons of the strategy. After a brief introduction into the characteristics of scalping, we discussed how scalpers profit and how they use leverage. We also pointed out the major necessary things to make scalping successful, including a good broker and an efficient platform. Finally, we discussed the best currency pairs and times of day when scalping works best.

But this guide runs the risk of being overly simplistic if we fail to talk about the variations on scalping. Traders might use any one out of a number of techniques to make their strategy successful. Trend scalpers follow the direction of the market and try to profit from where it is headed. Think of this as following the macro-direction of a currency, but on a much smaller scale. Other scalpers prefer to take advantage of news events and other shocks to the market. These traders stay away from the period closest to the news event, but profit in the time just afterward.

The more important point to recognize is that scalping varies drastically according to conditions. At times the distinction between scalping and other strategies is quite unclear. For instance, if a scalper opens a position and then observes a longer profitable trend, it only makes sense to take full advantage of it. Depending on what is happening, a trader might switch back and forth between all of the strategies, or form his own hybrid.

However, this points to a very important issue that applies to all forex trading. There is a deeply psychological aspect of dealing with risk and loss that every trader should be conscious of. Here are a few qualities to aim for.

First, scalpers and all forex traders for that matter, must exercise discipline in their trading. This is the only problem with moving between various strategies—it becomes too easy to make emotional decisions and take foolish risks. Let your strategy control your decisions. In particular, don’t make the mistake of varying the size of your trades too much—especially when you have a string of successes. One bad trade can erase a lot of progress.

A second, related point is cool-headed thinking. When markets become chaotic, it is easy to be controlled by the volatility and make foolish mistakes. At those times, remember your strategy and follow it assiduously.

Third, you must be patient for the long-term. Scalping works when lots of small but profitable trades add up to a large sum. Be willing to wait for that, even if it requires persistence and temporary loss.

Finally, it is imperative to know yourself. Know what style works well for you. Observe what market conditions tend to reap the best profits for your trading. At certain times, it may be best not to trade at all. When you recognize that conditions mirror what has worked well for your strategy in the past, you should jump into the market fully.

Beginning traders sometimes assume that scalping is the easiest way to earn a quick profit. However, scalping is actually one of the most challenging strategies. Some scalpers suffer losses at the beginning, but with a lot of practice, discipline, education, and the right tools, this method can be one of the most profitable forex strategies.

Tags - forex , trading , strategy
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]]> http://www.mathfinance.cn/south-african-world-cup/ <![CDATA[South African World Cup]]> abiao Fri, 11 Jun 2010 21:53:19 +0000 http://www.mathfinance.cn/south-african-world-cup/

Today is the first day of South African world cup. Disappointing French team, although JP Morgan's Quant group members use their model to predict England will win this world cup Championship, I still go for Netherlands. GO GO GO, Holland.

A funny graph showing the characteristic of each team, enjoy football everyone.

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]]> http://www.mathfinance.cn/exclusive-offer-download-79-value-vertical-spreads-options-trading-ebook-for-free/ <![CDATA[Exclusive Offer: Download $79-value Vertical Spreads options trading ebook for free]]> abiao Tue, 08 Jun 2010 20:50:08 +0000 http://www.mathfinance.cn/exclusive-offer-download-79-value-vertical-spreads-options-trading-ebook-for-free/

A guest post from our Elliott.

Dear reader,

We have a very special offer for traders today. Our friends at Elliott Wave International have just released their $79-value, 42-page ebook for options traders for free download.

The new ebook, How to Use the Elliott Wave Principle to Improve Your Options Trading Strategies -- Vertical Spreads, which sells in EWI's online store for $79, is available for free, exclusively to you, for a limited time.

The ebook is designed to help you exploit sharp price movement with powerful vertical spread trading strategies, including: Bull Call Spread, Bear Put Spread, Bear Call Ladder, Bull Put Ladder and more. This valuable ebook belongs in any serious trader's library. You can download it now for free here.
Tags - option , trading , elliott
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]]> http://www.mathfinance.cn/15-stupid-ways-people-made-their-millions/ <![CDATA[15 Incredibly Stupid Ways People Made Their Millions]]> bo tigerguob@hotmail.com Wed, 02 Jun 2010 19:50:01 +0000 http://www.mathfinance.cn/15-stupid-ways-people-made-their-millions/

A selection of stories outlining the stupid ways people made their millions.

Inventions are important. They're the reason life has become so easy for us, and technology so accommodating. The market for inventions is enormous, and hundreds of new ones are patented every day. Since not everyone is a genius, many of them fall into obscurity immediately as inefficient or unimportant ideas. However, sometimes the silly ones we might be quick to dismiss are unexpectedly more profitable than the conventional method of doing whatever it is the newfangled thing does. Here are 15 weird and ridiculous ideas that made people rich.

1. Pet Rock

The Pet Rock is undeniable proof that people will buy just about anything. It's literally a rock with googly eyes glued to it, but the inanimate companion grossed a couple million dollars in 1975. The fad only lasted for that year before dying out, but the Pet Rock carriers, equipped with breathing holes and a straw as if for a real animal, proved irresistible for those wishing to give silly and ironic Christmas gifts.

2. SatLav

Really having to pee can be one of the most uncomfortable feelings ever. You can’t concentrate on anything else, you fidget, you frantically search for the bathroom. But what if you’re out in public and don’t know where to find one? Poppin’ a squat it picking a dark corner isn’t always an option, and many establishments have bathrooms restricted for employee or customer use only. Conveniently, anyone with a cell phone can now find the nearest public restroom just by texting a short number for a small fee.

3. Doggles

Do dogs really need goggles? No. Do they want them? Probably not. Does anyone sell them? Of course -- and they've made more than a million dollars off the idea. Giving dogs goggles is about as useful as giving a goldfish a monocle and cane, but that didn’t stop the company Doggles from doing their very best. At $80 a pair, Doggles is a multi million dollar company.

If you think about it, looking at the photo above (and ignoring the fact that this product shouldn’t exist in the first place), there’s no reason that goggle s for dogs should look the same as those for humans. The bridge of a dog’s nose isn’t directly between his eyes like a human, so this design is a little strange. They pretty much look like Seth Green’s character from Can’t Hardly Wait.

4. Million Dollar Homepage

How much is a solitary pixel floating around in cyberspace worth? Alex Tew thought $1 per pixel was a reasonable price. Tew was just about to begin studying business at the University of Nottingham, but the idea he came up with to fund his education proved that he already possessed the sensibility of a successful businessman. Tew bought a web domain, laid out an area of 1,000,000 pixels, and sold them in 100-dollar blocks. Ads ranged from online casinos, to Target and everything in between. This was The Million Dollar Homepage.Tew came up with the idea in August of 2005, and by New Year’s Eve, every pixel bar but one had been sold. Not only did Tew make a whopping $ 1,037,100 gross from his relatively simple idea, but he also managed to attract some big name clients, like Tenacious D.

5. Mungo & Maud’s Petite Amande Dog Fragrance

Even more absurd than dog goggles is the concept of a dog perfume. It's true that wet, dirty dog smell is an awful one... But how about wet and dirty mixed with floral extracts? It's like spraying air freshener in the bathroom -- it doesn't cover up the poop smell, just sort of hangs on top of it like an additional layer of sense assault. Here's an idea: give your dog a bath. If the dog is clean, it won't smell so bad. Don’t just cover the smell up like some French hooker from the 1700s. The fact that this invention has earned over a million dollars is downright ridiculous.

Another case against Petite Armande is that dogs have an exponentially stronger sense of smell than humans do. The animal most likely finds it unpleasant to be sprayed with irritating odor concentrates. If the smell is strong to us, it must be a billion times stronger for the dog. Suit yourselves, perfumed-pup-lovers, just don’t complain when Timmy’s stuck in a well an you bloodhound Biff can’t find him because his sense of smell is masked by the wafted aroma of Lassie Chanel No. 5.

6. Lucky Wishbone Co.

Amazingly, this might be the silliest product yet – which is definitely saying a lot, considering the cavalcade of weird stuff that’s preceded it. Wishbones are traditionally considered lucky, and are taken from an animal (which is typically being consumed) to break in half between two people. Holding each end of the tiny bone, the two parties pull until it snaps, and decide which player is the ‘lucky’ one according to who has the larger portion. However, Lucky Wishbone Co. doesn’t sell real wishbones. It sells fake little plastic ones, at around about a dollar each. This abortion of an idea also makes its creators the a ton of money.

7. SantaMail

Get a postal address in the North Pole, pretend you are Santa Claus and charge parents 10 bucks for every letter you send to their kids. Well, Byron Reese has sent over 200,000 letters since the start of that business in 2001, meaning he's made a multi-millionaire dollar fortune.

One of the best ways to make money out of people has always been taking advantage of their naïveté and dreams, and who's more naïve than kids? Byron Reese, sprung for a postal address in the North Pole, a place he'd never been, so he could pretend to be Santa. Even worse than the mall Santa who lets kids sit on his lap and drinks malt liquor in the parking lot, in some intangible way.
Reese writes back to the letters himself, but never reveals his true identity. At first, this sounds quite sweet, but consider this: What if little Susie (they are always called Susie) wants a little doll which Mommy and Daddy can't afford? Is Santa going to say ‘no’? What if little Jessica (she’s rich and has a last name like DuBois or something) wants a pony, and Santa’s all like ‘I think that’s a bit much to ask, little Jessica. Ho ho ho!’ but then Jessica’s parents buy her a really awesome pony with a Bose sound system and five LCD monitors? Then Santa all of a sudden seems nonexistent. Another million-dollar idea, this time one that depersonalizes one of the most beautiful mysteries of childhood by making it a capitalist business.

8. Excused Absence Network

Are you too lazy to show up to work or school on time, but don’t want to waste your creativity on coming up with your own excuse? The Excused Absence Network is a service which caters to all the lying employee’s needs; from a missed math test all the way to skipping out on your own wedding. The notes aren’t just those ‘little Johnny had a sore throat today’ notes from mom – these are excuse notes that look as though they come from a hospital or doctors office for just $25 per note.

9. Fetal Greetings

What is the worst way of telling someone that you're pregnant? The guys at Fetal Greeting have certainly come very close to nailing it -- their website suggests that you should surprise friends, family, & even the expectant father with these one-of-a-kind cards. It sounds almost like a scenario for Maury Povich – ‘And the card says…Bob, you ARE the father.’

As is the case with most everything else on this list, there seems to be a positive correlation between the inanity of the product and it’s commercial viability. Fetal Greeting saw sales being reported in the million and climbing steadily.

10. www.MannequinMadness.com

Mannequin Madness is a website that sells second-hand mannequins at third-hand mannequin prices. They boast that that have ‘the perfect body for you to buy or rent’ and the second-hand mannequin business is booming. The website stresses that the mannequins aren’t only good for traditional uses, like showing off clothes and making you feel bad about your body type. The website also suggests they be used for practical jokes and Halloween displays (read: causing heart attacks).

11. Big Mouth Billy Bass

The Big Mouth Billy Bass was designed with the sole intention of driving people insane. It's a product for old people, who are the only ones to find its autonomous song incredibly novel. The singing fish is otherwise given as an unwanted box where it sits in the box to gather dust or is put out repeatedly at the same garage sale for two months. These two criteria make up millions of people, and the Big Mouth Billy Bass has made millions of dollars.
With its success has come the delightful discovery that hacks could leave the Bass able to sing any song.

12. www.ICanHasCheezburger.com

I Can Has Cheezburger? burst onto the web scene in early 2007 and elevated the already rampant LOLcat meme to new level of ubiquitousness. The site, now a conglomerate of several extended memes, is primarily concerned with evoking humor from photos of cats with added, sometimes nonsensical, subtitles. The site was acquired a short eight months after is creation by a group of investors for a whopping $2 million.
Two million dollars for a website whose principle visitors are stoners and 13-year-old girls who have just learned how to use the internet. I Can Has Cheezburger? Revenue is solely advertising-based.

13. One Red Paperclip

Kyle McDonald may not be a household name, but he’s definitely internet-famous, and he definite has a household -- one that he traded his way to from a solitary red paperclip (which, to be honest, looks used). It only took Kyle exactly one year and fourteen trades to make his way from a twisted piece of metal to a home for his family. Along the way, he travelled to the far reaches of Canada, all across the US, met Alice Cooper and Corbin Bernsen, and basically had one hell of a good time.
Finally, Kyle settled with a home at 503 Main Street, Kipling, Saskatchewan, Canada, and he still lives there to this day. His story stands as an example of how you can start with absolutely nothing, and then one day live in Canada.

14. Murder Clean Up

What is an ambitious real estate flipper to do with the abandoned house whose floors have been ravaged by the waste and habitation of a feral cat community? What about the family whose estranged hoarder aunt dies from eating herself into a corner surrounded by mountains of garbage and human waste? Advanced Bio-Treatment specializes in murder, suicide, drug lab, and (really nasty) waste clean-up. It sounds like a morbid idea for money making, but ABT raked in about a million dollars during 2009 alone. And if all else fails, at least grandpa has some interesting bedtime stories for the kids.

15. Eternal Reef

Another death-related business is Eternal Reefs, a service which provides underwater urns for individuals cremated after death. The cement globe contains holes to encourage plant growth and allow fish to swim in and out of your loved one’s ecologically friendly grave. Those purchasing the Eternal Reef are allowed to press their hands into the soft concrete, or attach a flag or sorts as a means of marking their reef. Eternal Reefs have a profit of about half a million per year.

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]]> http://www.mathfinance.cn/flash-order/ <![CDATA[Flash Order]]> bo tigerguob@hotmail.com Wed, 26 May 2010 23:06:34 +0000 http://www.mathfinance.cn/flash-order/

The stock market is a mess of people one-upping other people constantly. Any chance to get an advantage is seized immediately and one of those opportunities lies in the so called “Flash” Orders. In a brief summary, a flash order is a brief glimpses (no more than milliseconds) of someone else’s exchanges. Of course, only high-speed computers can see these, but once they are seen, they can be used to get a leg up and buy or sell ahead of others.

Some regard this as an unfair advantage as professional traders would gain advance knowledge on trends before individual buyers. Others say that it adds ‘liquidity’ to the stock market. This opinion comes, of course, from the big businesses who are using the flash order service to their advantage to gain a profit. The problem is in the shifts that this brings about. For example, the big business might buy all of a certain stock, and then sell it for a bit more than they bought it, but a penny less than what the next guy is offering it for. This advantage causes motion in a violent manner in ways that would not be present in normal conditions. While this can for a time be a benefit, it means it can also fall just as quickly.

Another big gripe is that the High Frequency Trading can really mess people over. Those with a leg up can make an investment risk-free, and it is only risk-free for them because all of the risk falls on to the lower tier. So far, it has upset enough people to be at risk for banning. The stock market has become a beast to be weary of these days. If this unfair advantage doesn’t go, what’s to ensure equality in the future? Fortunately the flash order business will very likely be taken away as more than a few well-placed officials have been given varitable heebie-jeebies from this mess. Hopefully order will soon come out of this chaos.
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]]> http://www.mathfinance.cn/financial-scam/ <![CDATA[Financial Scams]]> bo tigerguob@hotmail.com Fri, 21 May 2010 08:48:40 +0000 http://www.mathfinance.cn/financial-scam/

A guest post of Bo.

People have a great amount of concern for money, and finding means to get money quickly becomes almost a necessity. It is this need for quick cash and no work that leads people to be drawn into great, sometimes historical financial scams. One great example would be the use of historical Bonds.

You see, back ‘in the day’, there were a number of gold bonds issued for a variety of reasons. A way for the government to obtain money with the promise to return it with interest. These bonds were payable in gold, and after a certain maturity point could be cashed in. The problem is that after a particular date they became useless. Nothing more than a piece of history waiting to be preserved in a museum.

It is these relics or mock-ups of them that are sold to you by the conartists. Normally with very official looking documentation and after you’ve been hopped from bank to bank, you find out that it is in fact worth nothing except maybe some sentimental collector’s value. If your lucky, it may actually be an actual Bond, in which case you could get a small amount of money from a museum that hosts them. This is truly a great demonstration of one of the historical financial scams.

Another great example is the Viactuals Frauds. The pretense is that you buy someone’s life insurance policy, making small investments. When they die you get the full death benefit from said policy. You also walk away happy knowing that your investments made a sick person’s life a little better… right? Well just like any child in school there are people out there who will fake sickness for the attention and the money. Your money could easily be pocketed and you are left all the poorer. Then of course there are scammers that will take your investments to buy their own wants and luxuries rather than using it on the policy you wanted.

And the world goes ‘round. The best way to avoid these historical financial scams is to stay away from any offer that looks too good to be true unless you have the help of a real attorney or somebody who really knows what they are talking about. Scam artists are usually professionals at their trade, so will not likely be found.

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]]> http://www.mathfinance.cn/log-normal-distribution/ <![CDATA[Log Normal Distribution]]> abiao Thu, 13 May 2010 17:48:29 +0000 http://www.mathfinance.cn/log-normal-distribution/

A guest post by Sidharth Mallik.

The lognormal distribution is used extensively as an approxmiation to the price of a financial asset after time t given a known price at t=0. However there is very little known about the lognormal distribution and the resources are even more limited. I tried finding books about the lognormal distribution and came up with the following 2 (only 2) :

1. Aitchison J and Brown JAC, 1957. The lognormal distribution, Cambridge University Press, Cambridge UK.
2. Crow EL and Shimizu K Eds, 1988. Lognormal Distributions: Theory and Application, Dekker, New York.

among all the books on statistics and millions of resources on normal distribution the exponential counterpart only has two genuine reference books.

However my job is to give you some light in the matter. Lets start with the basic properties of the lognormal distribution :

parameters:   sigma^2 > 0 — squared scale (real),
      mu an element of R — location
support:   x =(0, +Inf)

pdf:   \frac{1}{x\sqrt{2\pi\sigma^2}}\, e^{-\frac{\left(\ln x-\mu\right)^2}{2\sigma^2}}
cdf:   \frac12 + \frac12\,\mathrm{erf}\Big[\frac{\ln x-\mu}{\sqrt{2\sigma^2}}\Big]
mean:   e^{\mu+\sigma^2/2}
median:   e^{\mu}\,
mode:   e^{\mu-\sigma^2}
variance:   (e^{\sigma^2}\!\!-1) e^{2\mu+\sigma^2}
skewness:   (e^{\sigma^2}\!\!+2) \sqrt{e^{\sigma^2}\!\!-1}
kurtosis:   e^{4\sigma^2}\!\! + 2e^{3\sigma^2}\!\! + 3e^{2\sigma^2}\!\! - 3
entropy:   \frac12 + \frac12 \ln(2\pi\sigma^2) + \mu
mgf:   (defined only on the negative half-axis, see text)
cf:   representation \sum_{n=0}^{\infty}\frac{(it)^n}{n!}e^{n\mu+n^2\sigma^2/2} is asymptotically divergent but sufficient for numerical purposes
Fisher information:   \begin{pmatrix}1/\sigma^2&0\\0&1/(2\sigma^4)\end{pmatrix}

As you may guess the same information is available at wikipedia at http://en.wikipedia.org/wiki/Log-normal_distribution.

now for the estimation properties. well conviniently you would want to estimate the mean and the variance of the corresponding logarithmic distribution which happens to be normal and then may be use the above formulas to find the lognormal's parameters. but there is error associated with this.

An example of the error is :

say you decide on a parameter m as the mean of the corresponding normal distribution and sigma^2 as the variance. the you may say that the corresponding mean of the lognormal distribution is simply

      mean of lognormal distribution = exp(m+sigma^2/2)

However using some math i will show you that this is not an unbiased estimator. Let E[.] denote the expectation of the quantity within the brackets and let M denote the mean of the lognormal distribution.Then if the above estimator was unbiased, we should have

    E[M] = E[exp(m+sigma^2/2)]

But,
    E[exp(m+sigma^2/2)] => exp(E[m+sigma^2/2])

according to the Jensen inequality. for those of you who don't know what this is refer to the http://en.wikipedia.org/wiki/Jensen_inequality.

Hence there are problems with this form of the estimation. So i would redirect you to this page check out some other ways how this can be done

      http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1285465

Now having resolved the univariate case we turn our attention to the bivariate case.

The parameters in this case are the two means, the two standard deviations and the correlation coefficients. Now the natural question is how to calculate the correlation coefficient.

The expression for the covariance is

    cov(x1,x2) = exp((sigma1*sigma2)-1)*exp(m1+m2+(sigma1^2+sigma2^2)/2)

The expression for the correlation coefficient is

    rho = [exp(sigma1*sigma2)-1]/sqrt(exp(sigma1^2-1)*exp(sigma2^2-1))

For more such references and also to get a table for actual values check the following out

    http://www.stuart.iit.edu/shared/shared_stuartfaculty/whitepapers/thomopoulos_some.pdf

I will want to finish off with some intuition as to where can you apply the lognormal distribution. Now first identify if the variable under study is throughout positive or not like a stock price. Next identify the fact that the variable contains kind of multiplicative factors in the sense that say there are levels to the quantity in multiplicative terms. What I mean to say is that the variable has let us say a level r on normal days.Then when you expect the variable to go up it goes upto 1.5 times r then even higher means that it goes to say 5 times r. Similarly for the lower side. If your variable is indicative of this then it suggests a lognormal distribution.

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]]> http://www.mathfinance.cn/what-do-these-8-technical-indicators-mean-for-the-markets/ <![CDATA[What Do These 8 Technical Indicators Mean for the Markets? ]]> abiao Sat, 08 May 2010 09:21:33 +0000 http://www.mathfinance.cn/what-do-these-8-technical-indicators-mean-for-the-markets/

A guest post by Robert Prechter, CMT.

It is rare to have technical indicators all lined up on one side of the ledger. They were lined up this way—on the bullish side—in late February-early March of 2009. Today they are just as aligned but on the bearish side. Consider this short list:

1, The latest report shows only 3.5% cash on average in mutual funds. This figure matches the all-time low, which occurred in July 2007, the month when the Dow Industrials-plus-Transports combination made its all-time high. But wait. The latest report pertains only through February. In March, the market rose virtually every day, so there is little doubt that the percentage of cash in mutual funds is now at an all-time low, lower than in 2000, lower than in 2007! We will know for sure when the next report comes out in early May. Regardless, the confidence that mutual fund managers and investors express today for a continuation of the uptrend rivals their optimism of 2000 and 2007, times of the two most extreme expressions of stock-market optimism ever.

2, The 10-day moving average of the CBOE Equity Put/Call Ratio has fallen to 0.45, which means that the volume of trading in calls has been more than twice that in puts. So, investors are interested primarily in betting on further rising prices, not falling prices, and that’s bearish. The current reading is less than half the level it was thirteen months ago and its lowest level since the all-time peak of stock market optimism from January 1999 to September 2000, the month that the NYSE Composite Index made its orthodox top. The 30-day average stands at 0.50, the lowest reading since October 2000. It took years of relentless rise following the 1987 crash for investors to get that bullish. This time, it’s taken only 13 months.

3,The VIX, a measure of volatility based on options premiums, has been sitting at its lowest level since May 2008, when wave (2) of ((1)) peaked out and led to a Dow loss of 50% over the next ten months. Low premiums indicate complacency among options writers. The quants who designed the trading systems that blew up in 2008 generally assumed that low volatility meant that the market was safe, so at such times they would advise hedge funds to raise their leverage multiples. But low volatility is actually the opposite, a warning that things are about to change. The fact that the options market gets things backward is a boon to speculators. Whenever options writers are selling options cheap, the market is likely to move in a big way. Combined with the readings on the Equity Put/Call Ratio, puts right now are a bargain.

4,In October 2008 at the bottom of wave 3 of (3) of ((1)), the Investors Intelligence poll of advisors (which has categories of bullish, bearish and neutral), reported that more than half of advisors were bearish. In December 2009, it reported only 15.6% bears. This reading was the lowest percentage since April 1987, 23 years ago! As happens going into every market top, the ratio has moderated a bit, to 18.9% bears. In 1987, the market also rallied four months past the extreme in advisor sentiment. Then it crashed. The bull/bear ratio in October 2008 was 0.4. In the past five months, it has been as high as 3.4.

5,The Daily Sentiment Index, a poll conducted by Trade-Futures.com, reports the percentage of traders who are bullish on the S&P. The reading has been registering highs in the 86-92% range ever since last September. Prior to recent months, the last time the DSI saw even a single day’s reading at 90% was June 2007. At the March 2009 bottom, only 2% of traders were bullish, so today’s readings make quite a contrast in a short period of time.

6,The Dow’s dividend yield is 2.5%. The only market tops of the past century at which this figure was lower are those of 2000 and 2007, when it was 1.4% and 2.1%, respectively. At the 1929 high, it was 2.9%.

7,The price/earnings ratio, using four-quarter trailing real earnings, has improved tremendously, from 122 to 23. But 23 is in the area of the peak levels of P/E throughout the 20th century. Ratios of 6 or 7 occurred at major stock market bottoms during that time. P/E was infinite during the final quarter of 2008, when E was negative. We will see quite a few quarters of infinite P/E from 2010 to 2017.

8,The Trading Index (TRIN) is a measure of how much volume it takes to move rising stocks vs. falling stocks on the NYSE. The 30-day moving average of daily closing TRIN readings has been sitting at 0.90, the lowest level since June 2007. This means that it has taken a lot of volume to make rising stocks go up vs. making falling stocks go down over the past 30-plus trading days. It means that buyers of rising stocks are expending more money to get the same result that sellers of declining stocks are getting. Usually long periods of low TRIN exhaust buying power.

For more market analysis and forecasts from Robert Prechter, download the rest of this 10-page issue of the Elliott Wave Theorist free from Elliott Wave International. Learn more here.
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]]> http://www.mathfinance.cn/top-ten-sites-in-quant-and-quantitative-finance/ <![CDATA[Top Ten Sites in Quant and Quantitative Finance]]> abiao Sun, 25 Apr 2010 01:29:03 +0000 http://www.mathfinance.cn/top-ten-sites-in-quant-and-quantitative-finance/

Xmarks is a hot web2.0 site offering bookmark synchronization, search enhancement and web discovery based on sites bookmarked by users, therefore to some extent it shows the popularity of a site. Personally I use it frequently as it gives me a convenient way to bookmark my favourite wherever I am, no matter using a private laptop at home, or a shared computer at a coffee bar, I am always able to find and read my interested sites.

I was surprised to find mathfinance.cn is listed as one of the Top Ten Sites in 'Quant' and 'Quantitative Finance' several minutes ago when I happened to search a keyword in Xmarks, I have no idea when it was listed. Although it may not be treated seriously by others, the rank does make me happy and will continuously encourage our contributors and me to write down what we believe useful. It is our great pleasure to have a blog among those giant sites such as wilmott.com, quantlib.org, quantnet.com, defaultrisk.com, etc., as always, many thanks for your bookmarking, your 10 seconds action means a lot to us.

Quantitative Finance Collector is a Top Site in Quantitative Finance

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Quantitative Finance Collector is a Top Site in Quant

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