http://www.mathfinance.cn/index.php en-US http://www.mathfinance.cn/is-Greece-default-immanent/ abiao <> Tue, 13 Sep 2011 15:29:40 +0000 http://www.mathfinance.cn/is-Greece-default-immanent/
Still, although Greece is essentially bankrupt, Americans in large numbers have no idea the tragedy that continues to unfold in this small country. Why is Greece in this position, what happens if they default on their debts, and what can we learn from these events?

The Story
The story is full or drama and history but much of the problem comes from the fact that Greece hasn’t done a good job of taxing its citizens. The New York Times reports that Greece has allowed large amounts of citizens and companies to evade their tax liabilities. The same report says that if these taxes were collected, Greece would be able to meet much of their liabilities but suddenly raising taxes on their citizens isn’t practical either. Others note that in Greece’s own budget, government spending now exceeds 50% of GDP, the total value of all goods and service sold in the country.

This means that half of the total production of goods and services funds current spending. The rest of the budget, which includes a lot of uncollected revenue, pays on the debt but it’s not nearly enough. The European Central Bank has been left with the task of paying for Greek debt which is mounting fast largely because the interest rates they have to pay to borrow money is so high. Recently the interest rate Greece has to pay has passed 50%. Eurozone countries no longer want to let Greece borrow money so they are left to pay their debt with money they don’t have.

Will They Default?
It’s hard to find anybody who follows the Eurozone crisis who thinks that Greece won’t default. Without finding another source of funds, they are effectively out of money and have no plausible way of making it through September without defaulting.

If they do default, expect a severely negative response in the world financial markets and that means even more pressure on your retirement accounts. Some economists believe that this event alone may be what sends the United States in to a second recession. Of course everybody hopes that the Eurozone finds a way to keep Greece out of default but it doesn’t look promising. The worst case scenario could play out.

What can You Learn?

If it can happen to Greece, it can happen to you. When you spend more money than you take in, you eventually lose the ability to make the payments. Greece is proof that everything we’ve heard about debt is true even if you’re a country. Debt is dangerous and just because you think you have it under control today doesn’t mean that an unexpected event won’t happen tomorrow that allows it to overtake you and your family. If the worst case scenario plays out and a Greek default sends the United States in to recession, could that be the event that causes you to lose your job? Could you still make your debt payments?

The lesson to take away from the Greece crisis is to always plan for the worst case scenario and leave a financial cushion firmly in place.
Tags - greek , default , eurozone
Read the full post at Is the Greece Default Immanent? (And What You Can Learn from it). ]]> http://www.mathfinance.cn/investment-banks-and-the-world-cup/ abiao <> Mon, 12 Jul 2010 15:23:32 +0000 http://www.mathfinance.cn/investment-banks-and-the-world-cup/
In the lead-up to the world cup, Kaggle invited statisticians and data miners to take on the big investment banks in predicting the outcome of the World Cup. Now that the final has been decided, we can take a look at how Kagglers stacked up against the quants at JP Morgan, Goldman Sachs, UBS and Danske Bank in forecasting the World Cup.

In total, 65 teams participated in the Take on the Quants challenge. JP Morgan finished 28th, Goldman Sachs 33rd, UBS 55th and Danske Bank 64th. The betting markets fared better, finishing 16th.

The winner of the competition was Thomas Mahony, an Australian economist. His approach relied on Elo ratings with an adjustment for home country/continent advantage. His strategy correctly tipped Spain to win, the Netherlands to finish second and Germany to finish in the top four. The investment banks all had their top picks bow out early (UBS, Goldman Sachs and Danske Bank picked Brazil and JP Morgan picked England), hurting their overall performance.

The next big question is whether Kagglers can also outperform the quants in forecasting financial markets (we won’t have to wait long to find out, as Kaggle is currently hosting a competition to predict stock price movements).

Tags - quant , world-cup
Read the full post at Investment banks and the World Cup. ]]> http://www.mathfinance.cn/chinese-financial-news/ abiao <> Fri, 11 Sep 2009 21:06:58 +0000 http://www.mathfinance.cn/chinese-financial-news/ quantitative finance) of the past week, hoping to help those people who have interest to invest in Chinese market. 中国金融信息

China to Issue Renminbi Bonds to Offshore Investors, http://www.fundmymutualfund.com/2009/09/china-to-issue-renminbi-bonds-to.html;
China ADRs: Even Better Than the Real Thing, http://bespokeinvest.typepad.com/bespoke/2009/08/china-adrs-even-better-than-the-real-thing.html;
China backs efforts to break oil contracts, http://www.ft.com/cms/s/0/981d1990-9bcf-11de-b214-00144feabdc0.html?nclick_check=1;
Asia IPOs boom on China listings, more to follow, http://in.reuters.com/article/businessNews/idINIndia-42270120090907
Bank of China to invest in hedge funds, http://www.ft.com/cms/s/0/2e1eaef0-9da0-11de-9f4a-00144feabdc0.html;

Get all of the latest information regarding the China stock market with China Stocks newsletter

Tags - china
Read the full post at Chinese financial news. ]]> http://www.mathfinance.cn/Wolfram-Alpha-computational-engine-test-feedback/ abiao <> Sat, 16 May 2009 14:35:22 +0000 http://www.mathfinance.cn/Wolfram-Alpha-computational-engine-test-feedback/ Wolfram Alpha computational knowledge engine is finally available today, on 10/03/2009 I briefly wrote a post about what is wolfram alpha engine and what can it be used to service us, immediately after that, I applied to be a volunteer tester but got no reply. Anyway, it officially opens to public and we have chance to test its magic.

When talking about the pros and cons of Wolfram Alpha engine and Google, different people will offer different opinions, some people take it for granted that Wolfram Alpha will be a big threat to Google and eventually replace Google, however, others hold that Wolfram Alpha is just a computation calculator, and no matter how powerful it is, it is at most a calculator with search function . Weighing up these two arguments, I would say they complement each other, for example, before you calculate an Europen option with Wolfram Alpha computational engine, you need to google at least what an Europen option is.

In my previous post I joked about if Wolfram Alpha would return a result of "Black Scholes call option price with strike 10, asset price 10, time to maturity 1 year, interest rate 3%, and 25% annual volatility", alright, it turns out to be YES, just type "Black Scholes", you will get a form similar to the following graph

Input your parameter and select option types, the value of option you set, together with its Greeks and plots, are calculated as




So far so good, but it seems the products Wolfram Alpha covers are limited, when I try to type Barrier option or Asian option, two simple exotic options, it says "Wolfram|Alpha isn't sure what to do with your input." there is no API users are able to add their own formulars, either. In brief, Wolfram alpha is a big step towards intelligent search engine, nevertheless, as it broadcasts at its main page: it is the first step in an ambitious, long-term project to make all systematic knowledge immediately computable by anyone.

Play around at http://www.wolframalpha.com/.
Tags - mathematica , wolfram
Read the full post at Wolfram Alpha Computational engine test feedback. ]]> http://www.mathfinance.cn/salih-neftci-passed-away/ abiao <> Fri, 17 Apr 2009 12:22:02 +0000 http://www.mathfinance.cn/salih-neftci-passed-away/
He is a such an important person to my quant-related life, his book Introduction to the Mathematics Of Financial Derivatives is so clear and easy to understand for anybody without any stochastic background, which helped me to work through my first master thesis at 2004; and his another book Principles of Financial Engineering is almost a must-owned one...

Silent Salute!

Tags - salih-neftci
Read the full post at Salih Neftci (1947-2009) passed away. ]]> http://www.mathfinance.cn/quant-salary/ abiao <> Mon, 16 Mar 2009 18:42:15 +0000 http://www.mathfinance.cn/quant-salary/ quant salary survey results in Asian market, http://china.hudson.com/documents/Hudson-Asia-Banking-Financial-Services-Salary-Information.pdf, focusing on Banking and Financial services sector. The figure looks not bad at all, given the terrible market of 2008. I have to say for many cases the quant salary does not mean the exact number the quant get, especially in China, other income exceeding salary is pretty possible.

I also had a survey for quant salary in mainland, China, results are shown below (basic salary + bonus, about 1~3 years work experience in Chinese Yuan):
number                 percentage of voters
50K ~ 80K                      11.4%
80K ~ 100K                     7.89%
100K ~ 120K                   5.26%
120K ~ 150K                   22.81%
150K ~ 200K                   7.02%
200K ~ 300K                   7.89%
>300K                            37.72%

Considering the average annual salary for Chinese fresh master graduates is about 60K, quant salary is exicting, isn't it?
Tags - salary
Read the full post at Quant salary. ]]> http://www.mathfinance.cn/free-online-video-lecture/ abiao <> Fri, 13 Mar 2009 21:58:17 +0000 http://www.mathfinance.cn/free-online-video-lecture/ free online video lecture sites I have recently used, both time- and cost- saving, isn't it? enjoy.

http://videolectures.net/Top/Computer_Science/Machine_Learning/

http://videolectures.net/
Tags - video
Read the full post at Video lectures. ]]> http://www.mathfinance.cn/WolframAlpha-computational-knowledge-engine/ abiao <> Tue, 10 Mar 2009 17:57:56 +0000 http://www.mathfinance.cn/WolframAlpha-computational-knowledge-engine/ Mathematica more or less, right, Wolfram is the computer scientist who has developed Mathematica. A recent post of his blog shows his another more ambitious project named Wolfram|Alpha will be available in May, 2009.

What is Wolfram|Alpha? its own logo says WolframAlpha is a computational knowledge engine, It doesn't simply return results that contain (match) the keywords you search, like Google, Yahoo, or MSN live does, and it isn't only a giant database of knowledge, like the Wikipedia; Instead, Wolfram Alpha indeed computes the answers to the question you type in the "search" form. Simply put, it is a (computation + search) engine.

Since the project will only be available for public after May, currently we can't test its efficiency and how magic it is. Can it return the value of "Black Scholes call option price with strike 10, asset price 10, time to maturity 1 year, interest rate 3%, and 25% annual volatility"? LOL, I am too demanding.

Anyway, should you be interested, please check it at: http://www.wolframalpha.com/


Tags - mathematica , wolfram
Read the full post at WolframAlpha computational knowledge engine. ]]> http://www.mathfinance.cn/merry-christmas-2009/ abiao <> Thu, 25 Dec 2008 10:07:59 +0000 http://www.mathfinance.cn/merry-christmas-2009/
Blog will take several days off.
Read the full post at Merry Christmas. ]]> http://www.mathfinance.cn/new-life-london/ abiao <> Sun, 05 Oct 2008 17:46:29 +0000 http://www.mathfinance.cn/new-life-london/
I will try to update new code link as possible as i can. thx for your support.
Read the full post at Career change. ]]>