Quantitative finance collector
Aug 25
Followup of my last post Excel VBA Finance. Mike left a comment & shared another great source Numerical Recipes in VB.

A summary of this recipes:
Quotation
The following VB libraries are very useful for numerical computing, mathematical modeling and customized financial algorithm development. All the functions were designed to make computations on arrays (i.e., vectors or matrices) simply and quickly. I have shared comprehensive and robust optimization routines that enable calibration of financial models.

Mathematical Algorithms
Math Codes
Standard Modules: 126
Function Procedures: 1029
Total Lines of Code: 44725
Math Project Details

Horror Matrices and Other Mathematical Poetry

Quantitative Financial Algorithms
Quant Codes
Standard Modules: 56
Function Procedures: 269
Total Lines of Code: 15671
Quant Project Details

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Aug 23

Find MFE

Posted by abiao at 13:09 | Code » Other | Comments(0) | Reads(161)
A year ago I wrote a script to find Master of Financial Engineering (MFE) programs with country + tuition +financial aid filters (see the post at Find MFE program), however the site was down due to server maintenance reason. Today Andy from QuantNet reminds me (I almost forgot it), so I move the script to my blog with search function only in case someone is still interested,
Quotation
the goal is to filter your ideal MFE program by the self-defined criteria, for example, you can say "I want to find a MFE program in United States, total tuition less than $40K, and with financial aid"


Bookmark the page Compare & Find MFE, or you can find the link at the menu navigation. I will start to expand the list soon.
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Aug 20
Came across an old site Excel VBA finance application: http://www.vbnum.com/, as the mainpage explains,
Quotation
Download well written EXCEL VBA code, for finance and mathematical applications. This site is designed for practitioners, researchers, and students as a tool for programming in EXCEL VBA. Users of this site can search for commonly used finance or math code, post their own code and participate in the VB Numerical Methods discussion Forum.


For instance, Finance VBA section includes GARCH, black scholes, Binomial tree option pricing, implied volatility, several other exotic option pricing, etc.

and Math VBA has random number simulation, regression, different interpolation methods...

Check it out yourself.
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Aug 19
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.
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Aug 16
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;
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