The LiveJournal of Quantitative Analysis|
[Most Recent Entries]
Below are the 20 most recent journal entries recorded in
Quantitative Analysis Community's LiveJournal:
[ << Previous 20 ]
[ << Previous 20 ]
|Friday, July 24th, 2009|
|Thursday, November 20th, 2008|
On short-selling and control theory
Short-selling of stocks got a lot of bad press from the current financial crisis, but I found a comment from a control engineer interesting. In ordinary buying and selling, everyone hopes that the value of the stock will keep on rising and he likended this to a positive feedback loop, which cannot be stable. The short-selling was then to be the negative feedback loop which by control theory design gave the system stability.
It's an intriguing idea, but I can't see that the analogy holds true. Booms and crises are better seen as excessive fluctuations than anything heading towards infinity and excessive fluctuations exist in control systems as well, especially if there's time-lags involved.
And in any case, dosn't every transaction involve people with different beliefs? The seller bets that his money can be spent better elsewhere and the buyer bets that the same amount is best spent on the stock, so they must have different beliefs about where it or other stocks are heading?
The same goes for short-selling, where you'r betting against someone and the short-selling may actually produce extra financial instruments
so that even short-selling indirectly fuels the race of those that think the stock prices will rise.
Still, it seems to make sense at least to try
framing the stock market in terms of control theory. Has anyone come across better expositions in this direction?
|Friday, August 1st, 2008|
Kolb vs Hull
Quants- for those in the know, what are the major differences between the graduate derivatives texts by Hull and Kolb? I'm trying to assess whether or not I would be able to use Hull's text (which I understand very well and own) or if I should bite the bullet and buy Kolb's book. Thanks!
|Tuesday, April 15th, 2008|
strategic games and real economy
Hello. Sorry for my English
My friends and me are interested in everything about cybernetics in real
May be you heard about Cybersyn -http://en.wikipedia.org/wiki/Project_Cybersyn
. Stafford Beer -http://en.wikipedia.org/wiki/Stafford_Beer
Cybersyn uses cybernetic algorithms to compress dataflows, show them on
displays in simple graphic way and to predict evolving of Chily economy.
But all solutions were taken by people-operators in control rooms.
We want to stay a questions like
1) what informations do you have about systems like Cybersyn?
2) May be you heard about systems which control country economy fully
3) Do you know science works about automatic analyzing and controlling
of country or big enterprises (communities) economies?
4) What opensource strategic games economy engines do you know?
5) Do you know strategic games developers and architectors whom we can ask our questions about cybernetics in real ecnomy?
Thank you for answers!
|Thursday, March 20th, 2008|
The world of quants
I have a question, and I would appreciate it if I could get a frank answer (I will provide any clarification if asked). I'm in a MS Finance program right now, and I have the intention of going onto a Finance Ph.D. after I complete my MS. My background is in Economics with some basic math (statistics and calculus mostly), and I am catching up on my math in my MS. Now I'm not the type of person who has an amazing intuition when it comes to math, except for some odd reason I am great with Econometrics and statistics. Rather, I have a very good understanding of Economic theory (as I learned it in undergrad) and the role financial markets play in a well-oiled economy.
I admit that part of the reason I have been attracted to a Finance Ph.D. is because of the "sexiness" of what Quants do. But I look at the CVs of my professors, and pretty much all of them have undergraduate degrees in a hard science or some engineering field. And of course in reading My Life as a Quant
, it seems like Finance is the one academic area Wall Street doesn't want to hire its quants from.
So is there a place in Finance Ph.D. programs or Wall Street who can do the empirical work and who knows the financial theory and applications, but who just doesn't know a lot of the exotic math?
|Saturday, May 6th, 2006|
I'm looking for feeds from English-language editions of Israeli newspapers and magazines. I made some for jpost. Haaretz doesn't seem to have any feeds.
They can be lj feeds, or feeds from the source that I can then turn into lj feeds. Thanks in advance!
|Thursday, January 26th, 2006|
The rise of the Black-Scholes model
The Black-Scholes model for option pricing was presented in 1973 and has been widely applied in economics, to say the least. Today, it's easy to find competing models published in fields from economics to physics but Black-Scholes appear, to an outsider atleast, to be the standard.
Why is this? Its shortcomings are well known, why havn't traders and others employed different methods to try to gain a slight advantage over their peers? Was it alone on the scene in 1973 and has continued by tradition since then? Has it been ingrained in some curriculum or stock-market standard somewhere? Or is it simply still the best?
|Wednesday, November 23rd, 2005|
The problem :(
There is a problem that I cannot solve. Please, help me.
A company wants to borrow 100,000,000. The arrangement fee is 2%. Different cost and expenses are 150,000. The company will pay 0.25% for unused money. The maturity is 3 year. Interest is libor + 4.25% (libor = 4.3%). Central bank requires 2% reserve. The company will take 2 tranches in amount of 25,000,000 and 75,000,000 during 6 monthes.
The question is when the company should take tranches to minimize expenses.
Xposted to quants and economics
|Friday, October 21st, 2005|
Hey, I don't know if this is an appropriate place to be asking this, but I'm desperate. I'm a library assistant-- meaning a grad student who helps out at the reference desk-- and I've got a prof who has a question that's totally boggling me. I'm a humanities person, and don't know a whole lot about business and finance. That said, here goes:
He is seeking five-year forecasts, 2005—2010, for expected global growth rates by industry
He mentioned ISICs, or International Standard Industrial Classifications
He has already spoken to the UN Statistics Division—they offer 2-digit ISIC data for Manufacturing, Mining, and Utilities, reported as a quarterly index (current, not forecasted—but he says this is okay) How would one obtain these reports?
Frankly, I'm at a loss. Help me if you can, and appologies if this is OT.
X-Posted like Whoa.
|Tuesday, October 4th, 2005|
I'm looking into futures markets and have a few questions.
Do the existence of futures markets generally dampen fluctuations in market prices? Are there special cases where this does not hold? What are the open questions or current research topics on futures markets?
|Saturday, August 20th, 2005|
quants and contracts
I'm trying to learn about quantitative analysis as used in the pricing of large contracts in the industry. (energy) I assume that there's some relation to "option pricing" here, with future price of energy coming into consideration, but I could need a few more leads.
I also wonder how the price negotiation with the customer is related to quantitative analysis. Do the quant present his price-analysis to the customer, is he analysing the negotiation with game theory? Do he analyse parts of the contract that's not related to the total sum paid? (choice of partners, timeline e.t.c)
|Monday, August 15th, 2005|
CFA Level I
I just signed up for CFA Level I exam.
If anyone knows of classes available in North Jersey, that would be great...
if not, any tips highly appreciated.. I heard that some people study from Schweser notes as opposed to actual textbooks... What do you think?
My company reimburses me for books, notes, and classes. So money is not an issue.
|Tuesday, April 26th, 2005|
A girl named Tia looked at me today. This could be the beginning of something wonderful.
|Friday, April 8th, 2005|
|Tuesday, February 22nd, 2005|
I was just reading something this morning, and I ran into a problem.
One of the conditions for a collection to be a field is that the collection is closed under union...but I can't see why this would ever not be the case. Could someone give me an example of a collection of sets that isn't closed under union?
|Thursday, February 3rd, 2005|
daily and weekly financial analysis in a bank
I've got a question and maybe someone knows some tips. I am looking for methodology of daily bank financial analysis. I mean the sequence of steps. Anybody knows courses, training, seminars or one of HVB group banks which is doing it?
thnx a lot
REM: crossposted (quants X economics)
|Saturday, January 29th, 2005|
Agent based quant-work?
Agent based modeling has attracted some attention in later years, as a model of systems with lots of interactions. Heterogeneous communities are more easily studied, as you don't have to rely as much on "averages" as in traditional analysis. Observations on the dynamics in such models can also offer adjustments and bounds to existing differential calculus models.
I'm curious if quants have started using this modeling approach as well? I know it's popular in some simulations of stockmarkets, but that's it.
|Saturday, January 8th, 2005|
A new icon for quants
In case you're curious, I borrowed it from the BBC's article: Physics goes in search of 'cool'
(personally I've always thought physics was cool, but whatever). Bit of a cheesy icon I know but I can change it if people really hate it. Anyway, best wishes for a happy and successful New Year to all community members.
|Friday, December 10th, 2004|
for discussion of the dollar's depreciation and related economic issues.
|Monday, December 6th, 2004|
I've just started doing some reading about martingales, and I'm meeting a strange notation I haven't seen before:
What does it mean when you write E[X|G], where X is a random variable defined on probability space (Ω, F, P) and G is a subσ-algebra of F? (It looks like some sort of conditional expectation, but I'm used to seeing an event after the "|", rather than a σ-algebra.)