p****u
发帖数: 2596 | 1 "Wall Street" doesnot mean that particular street. It is the name of the NYC
financial sector/industrial. |
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p********0
发帖数: 186 | 2 Hi, all:
I did some test in excel based on WIKIPEDIA to calculate geometric mean,
later I try to calc/reconcile based on the geometric return I get use
discounted cash flow model,
however the result doesnot match.
Can people spot the reason?
Thanks a bunch.
http://en.wikipedia.org/wiki/Rate_of_return#Geometric_average_rate_of_return
period 0 1 2 3
in cash 2 2 0
balance 1 3 6 10
ar |
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p****q
发帖数: 149 | 3 面了四个人 每人半小时 总共只有四个candidates今天 他们说还有其他的superday 所
以没收到通知的可以再等等 也许还会有好消息
面试问题没有brain teaser 没有统计 没有数学 大部分是关于简历和过去做过的
project
问了关于美国interest rate的走势看法 还有欧洲当前的形势
只有其中的MD问了两个我在行点的问题 一个是，什么option的gamma有可能是负的
第二个是关于trading strategy的
2-1 如果两只股票a和b线性相关 trading strategy？
2-2 如果关系a对b是concave的 trading strategy？
2-3 为什么即便你可以保证未来a对b的走势就如2中那样 在实际中这样的strategy却不
work？
有人能说说问题2-3的看法吗？ |
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p****q
发帖数: 149 | 4 我的回答是实际中有commission fee 有bid ask spread 有liquidity problem 他问除
了这些呢？ 我就不知道了 |
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m**c
发帖数: 199 | 6 哪位牛人给解释下这几道题目怎么做，没见过这种题目，谢谢 |
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J*****n
发帖数: 4859 | 7
coz your option hedging is path dependent. |
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l***m
发帖数: 920 | 8 有很多东西可以制约trading strategy。
比如说如果股票A和B平时价格都不变，一年只在某一两天大涨或大跌，或者只在VIX非常高的时候才波动得很厉害，那这个pair trading就非常biased。
或者你测试相关性的价格是daily close price，但实际操作中你可能没办法买卖close price。
exchange rule也会影响，比如在中国，你没办法short sell，如果两个股票你需要long一个short另外一个，那你就不能使用这个strat，除非你已经有inventory。
再比如，如果两个stock不在同一个exchange，或者同一个国家。可能有financing的问题。还可能会有汇率风险。比如同一公司在两个国家的listing，看上去似乎他们每天都会同时涨或者同时跌，但如果考虑货币汇率一直在变，那可能pair trade就不可行。 |
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p****q
发帖数: 149 | 9 我记得绿皮书有一道题问delta hedge option 由于gamma为正 immediate increase or
decrease会增加portfolio value 但不是arbitrage opportuniy 理由是theta为负 这
个discrete hedging怎么解释？ |
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p****q
发帖数: 149 | 11 你说的对 但我觉得这些也不是他想要的答案
有人能联想到关于bond的duration和convexity吗？ 他是做fix income的 会不会跟这
个有关呢？
非常高的时候才波动得很厉害，那这个pair trading就非常biased。
close price。
long一个short另外一个，那你就不能使用这个strat，除非你已经有inventory。
问题。还可能会有汇率风险。比如同一公司在两个国家的listing，看上去似乎他们每
天都会同时涨或者同时跌，但如果考虑货币汇率一直在变，那可能pair trade就不可行。 |
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p****q
发帖数: 149 | 12 又想了想
假设 A_t为A的价格 B_t为B的价格
那么我们可以有 A_t = \beta B_t - \gamma (B_t)^2 + c
d(A_t) = (\beta - 2\gamma B_t) d(B_t) - 2\gamma (d(B_t))^2
在t时刻，只要short 1 A， long (\beta - 2\gamma B_t) B，下一时刻，不管怎么走，只要
关系不变，还是赚钱啊
or |
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s******C
发帖数: 48 | 14 My point is, showing off your 20w package just miss the point.
No matter you do coding or quant, you need to enjoy it.
It is good you get an offer, but that doesnot mean quant is bad. If you
think
Money is the only thing to judge everything, that is pathetic.
compensated |
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k**y
发帖数: 320 | 15
even not she doesnot need to worry about anything: her husband is a software
engineer. |
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l**n
发帖数: 67 | 16 I am confused here and don't know you are asking or answering.
Doesnot distinguish partial deriv. and deriv. is very bad notation.
But just to remind you, you are dealing with a field equation
here.(mass conservation) Whenever you want to use the field equation,
all the variables should be expressed in terms of field variables
which are coordinates \vec{x} and time. So
\rho=\rho(\vec{x},t)
\vec{u}=\vec{u}(\vec{x},t)
\vec{a}=\vec{a}(\vec{x},t)
and you have the \partial\rho/\partial t + div(\rho u |
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l**n
发帖数: 67 | 17 Yes, you defined g this way, but it DOESNOT matter.
In other words, if a dot is not necessarily >0, you can
still define g and repeat your arguemnet.
wo ft. i know that but think of a slighly diff. step function:
y=a_0*(2-\sum_1^[x] (1/2^[x])) where x is yours -t and
[x] is the integer part of real positive x.
Then we can modify it,
first lets modify the vetical edges of the "step function", such
that its deriv. is not inf. we just tilt all the vertical
edges to some value, say with a deriv. 100 |
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S*********g
发帖数: 5298 | 18 You meant the Planck Length, right?
How about if that distance itself is not rational?
To my understand, quantum theory itself doesnot say the distance
can not be irrational.
Nevertheless, using the fundamental constants,
you can write down a quantity with the unit of length.
When one tries to reconcile general relativity, it must involves with
the constats: hbar, c, and G(the Gravitational constant). This gives
the unit of length called Planck Length
L=(hbar G/c^3)^(1/2)
When the scale approach |
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w***y
发帖数: 114 | 19 my data:
weight height
126.1 165.5
135.3 170
162.8 145
145.3 178.5
they are char type variables with length $200. How to convert them into
numeric variable?
I use
wt=input(weight,5.1);
ht=input(height,5.1);
but it doesnot work. thanks |
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u***************r
发帖数: 11227 | 20 投诉格式
投诉人：lucent
投诉对象：szbd
投诉标题：要求其道歉/辞职
投诉目标：要求其道歉/辞职
投诉理由：
1. 理由一
szbd不处理版务, 或不公正处理版务.
按证据一, szbd对违规者是按其随心
所欲来进行处理的, 是为无法正常处
理版务. 证据一理应不能使用, 因为
这个什么团曾经表示接受投诉, 然而
到目前为至, 没有任何处理结果, 所
以本投诉只好再次使用.
另外, 证据二显示其现BF也证明其在
版面上允许许多ID进行人身攻击, 而
只对部分进行处理.
证据一
见本版投诉#2375.
证据二:
when szbd is here...he doesnot do it.. he allows many personal attack...
I dont ... so topple him and let |
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i*****t
发帖数: 41 | 21 o,
if it doesnot include you, "we" is who? |
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m*******a
发帖数: 363 | 22 【 以下文字转载自 Travel 讨论区 】
发信人: minipaula (minipaula), 信区: Travel
标 题: kauai - 01- 08/31/2012
发信站: BBS 未名空间站 (Thu Sep 13 23:56:12 2012, 美东)
flying to Kauai took a wild turn from the first morning flight. due to
mechanical problems, i was put on another flight, to Houston, then LA , then
honolulu then Lihue. racing with time for every connection. baggage didnot
arrive until the next day. but hey, i am finally in Kauai after 7 hours
delay.
at 11 pm, got on the last shuttle to rental car company, driv... 阅读全帖 |
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g*********9
发帖数: 2350 | 23 xiaobao, do not buy it, it doesnot look amazing! |
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l*******r
发帖数: 39279 | 24 ☆─────────────────────────────────────☆
xiaobao1996 (1996!) 于 (Fri May 28 12:08:55 2010, 美东) 提到:
☆─────────────────────────────────────☆
glorias2009 (金鱼姬) 于 (Fri May 28 12:47:53 2010, 美东) 提到:
xiaobao, do not buy it, it doesnot look amazing!
☆─────────────────────────────────────☆
xiaobao1996 (1996!) 于 (Fri May 28 12:57:22 2010, 美东) 提到:
我也就是看看。这玩意儿买了啥时穿
☆─────────────────────────────────────☆
rongrong2009 (茸茸) 于 (Fri May 28 13:16:39 2010, 美东) 提到:
对啊，手绣做个手绢还差不多，这种衣服难看！
☆────── |
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f*****x
发帖数: 675 | 26 Last time you posted in stocks board about bac option spread in 2011. But
when I checked my thinkswim software I can only see 2010 may option, the
option for 2011 is not listed. I asked the staff they just told me the 2011
May option doesnot exist yet.
Then where did you get your data? Thanks! |
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m*********k
发帖数: 10521 | 27 成功奖励 20 伪币的用户:
ModelWife3, zzbc, jip, newnew11, zzpt, rsshuang, superran, ANSIC, Dogerella,
neoflash, tthike, flyingmd, taratara, bigcatfish, ppxwwtaking, yuanfeiwo,
Tupac, woshilaohu, OhNo, honeybean07, Sweetying, Bosnower, chaoz,
coffeenight, bbppb, cutehope, zzbc, faithjing, qmc, azhar, pecanlover, CPV,
raccoon1201, newnew11, irishgyy, FERN2007, xwyu1, celltocell, shmct,
tigerland, DOA, Unstoppable, biliantian, sweetmilk, timingchain, pooooq,
FERN2007, wjcipher
奖励版面:(Automobile)20伪币成功
奖励版面:(C... 阅读全帖 |
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j******g
发帖数: 101 | 28 Actually it doesnot bother me.
me straight, feministic, and absolutely anti-homophobia.
i think 130 is the right number for me. :))
person.
family |
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