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Apr 2
Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility: on average, about 99% of the intraday variation of implied volatility can be explained by moneyness and changes in the index level. Compared to the typical smile regression with moneyness alone, about 50% of the remaining errors can be attributed to movements in the underlying index.

A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices: We develop a bid-ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the high-low ratio reflects both the stock’s variance and its bid-ask spread.

How to Prevent Other Financial Crises: Policy recommendations to avoid additional crises, focused on "less is more" simple rule of "captain goes down with ship." These aim at eliminating the combination of statistical moral hazard and scientism-misuse of probabilistic methods that got us into trouble.

A No BS Guide to the Basics of Parallelization in R:a simple example to use multi-core in R to speed-up.

Markets, Ethics and Mathematics - A Defence of Mathematics: should we blame mathematics for the crisis? a defence of mathematics.

The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates: a paper by Jarrow and Li (2012) estimates the impact of the Federal Reserveís 2008 - 2011 quantitative easing (QE) program on the U.S. term structure of interest rates.

Halbert L. White, Jr., 1951-2012: It is with great sadness that UCSD Economics Professor Hal White passed away Saturday morning after an extended struggle with cancer.
Apr 1
I will hopefully submit my PhD thesis by September, never thought I would one day work in academia, but started to seriously plan what to do after graduation: go back to industry or begin a new career at university?
china vs uk
Spent this weekend searching for opportunities both in UK and China, with emphasis on assistant professor at finance department. The results are really surprising, I heard the salary in UK is low, but never thought it is soooooooooo low, are you kidding me, UK? Except London Business School, other top universities pay extremely low, with a range of 30k GBP to 50k GBP for junior lecturer (equivalent to assistant professor) based on advertisement.

As a comparison, below is a salary list for those top mainland universities in China in GBP (econ for economics department, fin for finance department, all for assistant professor):
Shandong U (econ) 25k
Wuhan U (econ) 26k
Renmin Business School (fin) 40k
Shandong (econ) 20k
THU Shenzhen (fin) 50k
CQTBU (econ) 15k
PKU SOE (econ) 24k
SWUFE (econ) 25k
Renmin Labor and HR (econ) 32k
Fudan SOE (econ) 35k
ZJU (econ/fin) 35k
SHUFE (fin) 35k
THU SEM (econ/fin) 36k
Renmin Hanqing (fin) 39k
PKU Guanghua (econ/fin) 40k
PKU HSBC (econ) 40k
SWUFE (fin) 50k
PKU HSBC (fin) 50k
CEIBS (fin) 65k
SAIF (fin) 68k
CKGSB (econ) 125k
CKGSB (fin) 190k

Many universities in China pay similarly as in UK, I wish this post is an April fools day joke, but it is TRUE. I know we can't just compare salary when choosing a university, but still, are you kidding me, UK?

Please leave a comment if my number isn't correct.
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Mar 30
This article is a guest post by Dr Timothy Johnson.

In the aftermath of the Credit Crisis it became popular to blame quants and mathematics for the Credit Crisis. In November, 2008, a former French prime minister, Michel Rocard, wrote in Le Monde that “mathematicians are guilty (unwittingly) of crimes against humanity”. More seriously, the following March, the UK’s financial regulator, the Financial Services Authority published the Turner Review on the causes and cures of the crisis where it identified one of the causes as a “misplaced reliance in sophisticated mathematics”. Wired wrote about The Formula That Killed Wall Street and the FT followed up on the Wired report.

As the dust settled, The Financial Crisis Inquiry Comission Report gave a more thoughtful analysis. They mentioned maths and quants, but only in passing. Their conclusion was that there had been a “systemic breakdown in accountability and ethics”, which had resulted in lax regulation and excessive borrowing.

In one respect the FCIC conclusions are positive for mathematicians, the Crisis wasn’t their fault. On the other hand, if the problems were rooted in ethics, then surely maths has no role in preventing future Crisis. Maths is just another tool, like a spread sheet or double entry bookkeeping. This is pretty depressing for the heirs of Newton, Euler, Riemann, Poincaré and Kolmogorov.

The mathematical study of probability is usually thought to have begun in the mid-sixteenth century, with Cardano’s Liber de Ludo Alea (‘Book on Games of Chance’), where there is the first explicit statement that the chance of rolling a six on a fair dice is 1 in 6. Shortly after making this statement, Cardano makes the perceptive observation that
These facts contribute a great deal to understanding but hardly anything to practical play.1

Cardano’s work was ignored for centuries, the problem was, despite Cardano’s status as a mathematician, his ‘Book on Games of Chance’ didn’t fit in to what modern mathematicians regard as proper mathematics. The fact is that Cardano did not see his work on probability as principally a mathematical work, but as an investigation of the ethics of gambling, a point made recently by the mathematician David Bellhouse2.
Mar 25
pymex - Matlab in Python: pymex embeds a Python interpreter in Matlab, allowing Matlab programmers write parts of their scripts in Python. Programmers are also able to use Python modules in Matlab.

The Short Term Prediction of Analysts' Forecast Error: a short term trading strategy based on predicting the error in analysts' earnings per share forecasts using publicly available information generates an annual gross abnormal return of 16.56%.

R in Google Summer of Code 2012: participating in a program receives US$5,000 for successful completion of a GSoC project using R language sponsored by Google.

Comovement and Predictability Relationships Between Bonds and the Cross-Section of Stocks: we find that bonds are robustly related to the cross-section of stock returns in both comovement and predictability patterns.

10 Things the Public Need to Know About Quantitative Trading: Infographic: 10 Things the Public Need to Know About Quantitative Trading.
Mar 23
Quantitative trading is a myth for many people, a first impression most people have is it involves very sophisticated skills, a large sum of investing money, and several high capacity PCs, etc. Indeed it may not be as complicated as you think. Below are 10 Things the Public Need to Know About Quantitative Trading. Please feel free to leave a comment should you think there are other important things missing.

10 Things the Public Need to Know About Quantitative Trading

Guest posted by Caxton FX: a foreign exchange company that sets itself apart by offering excellent value for money and great customer service.
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