<![CDATA[Quantitative Finance Collector]]> http://www.mathfinance.cn en-US http://www.mathfinance.cn/investment-banks-and-the-world-cup/ <![CDATA[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/ This is a news tip that might be of interest sent by Anthony Goldbloom, thanks.

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).

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]]> http://www.mathfinance.cn/chinese-financial-news/ <![CDATA[Chinese financial news]]> abiao Fri, 11 Sep 2009 21:06:58 +0000 http://www.mathfinance.cn/chinese-financial-news/ From this weekend on, I will collect Chinese financial news (ideally on 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;

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]]> http://www.mathfinance.cn/Wolfram-Alpha-computational-engine-test-feedback/ <![CDATA[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/ No bigger news recently than 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
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Input your parameter and select option types, the value of option you set, together with its Greeks and plots, are calculated as
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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/.
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]]> http://www.mathfinance.cn/salih-neftci-passed-away/ <![CDATA[Salih Neftci (1947-2009) passed away]]> abiao Fri, 17 Apr 2009 12:22:02 +0000 http://www.mathfinance.cn/salih-neftci-passed-away/ Bad news for all of us, Professor Neftci passed away yesterday in Geneva.
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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!

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]]> http://www.mathfinance.cn/quant-salary/ <![CDATA[Quant salary]]> abiao Mon, 16 Mar 2009 18:42:15 +0000 http://www.mathfinance.cn/quant-salary/ Hutson has published its 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?
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]]> http://www.mathfinance.cn/free-online-video-lecture/ <![CDATA[Video lectures]]> abiao Fri, 13 Mar 2009 21:58:17 +0000 http://www.mathfinance.cn/free-online-video-lecture/ Just share with you guys two 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/
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]]> http://www.mathfinance.cn/WolframAlpha-computational-knowledge-engine/ <![CDATA[WolframAlpha computational knowledge engine]]> abiao Tue, 10 Mar 2009 17:57:56 +0000 http://www.mathfinance.cn/WolframAlpha-computational-knowledge-engine/ You might have no idea who is Wolfram, but you might know 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/

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]]> http://www.mathfinance.cn/merry-christmas-2009/ <![CDATA[Merry Christmas]]> abiao Thu, 25 Dec 2008 10:07:59 +0000 http://www.mathfinance.cn/merry-christmas-2009/ Merry Christmas to you all and happy 2009 new year.

Blog will take several days off.
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]]> http://www.mathfinance.cn/new-life-london/ <![CDATA[Career change]]> abiao Sun, 05 Oct 2008 17:46:29 +0000 http://www.mathfinance.cn/new-life-london/ Arrived in London today, new job will start from tomorrow, the first few weeks will be busy as i need to get used to the new life here.

I will try to update new code link as possible as i can. thx for your support.
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