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  1. John Jurcevic

    Which phone are you using?

    HTC Incredible with Android Froyo (2.2). Love it! I quickly adapted to the touch screen keyboard. Easy access to all my email accounts - particularly gmail. Runs all the awesome Google apps and that Facebook/Twitter/etc. sh!t. :)
  2. John Jurcevic

    QuantNet Coding Project

    Problem 2 - C# Translating Bobby's code into C# using lambda expressions, query methods and anonymous types (because they are cool and I'm trying to learn this stuff). Func<int, int> fib = x => { var f = 0.5 * (1.0 + Math.Sqrt(5.0)); return (int) (Math.Sqrt(0.2) *...
  3. John Jurcevic

    QuantNet Coding Project

    Same code using C# Console.WriteLine( Enumerable.Range(1, 999).Where(x => x%3 == 0 || x%5 == 0).Sum() );
  4. John Jurcevic

    Extract data from excel sheet to C++

    This is another library that can read/write Excel files. Excel Reader engine (dll edition): native xls-file parser The demo is restricted to reading only 50 rows. The programming interface is clunky and there is no documentation but it works once you figure it out. You might try...
  5. John Jurcevic

    Texas A&M Foreign Currency Trading Competition

    Nice work Emil! I was up 15k this morning but now it is 12k. I need the JPY to crash :)
  6. John Jurcevic

    canceled IB Collegiate Trading Olympiad ...picking up the slack

    Come on Andy, be serious. This is a ridiculous expectation for a prize. I liked the IB competition because they gave prizes to a large number of competitors as long as they had a positive return. I would be happy with a smaller prize pool than IB along with one that was more evenly...
  7. John Jurcevic

    Texas A&M Foreign Currency Trading Competition

    I sent information about the Baruch team to the organizer, Corey, and got some information back: First, you do not have submit trade journals this year. =D Second, we collected your passwords through the link that ya'll registered at. Finally, I assume you registered as other in...
  8. John Jurcevic

    Texas A&M Foreign Currency Trading Competition

    How is everyone doing after a few days of trading? I had a limit order set to close out all my positions and it triggered at some point last night. I made $10k on that trade and now have a total equity of $60k. Mean reversion is awesome :)
  9. John Jurcevic

    Texas A&M Foreign Currency Trading Competition

    Is anyone else trading? We need one more person to make a team. Anyway, did anyone catch the rapid price change this morning in many of the major currency pairs when the jobs report was released at 8:30 AM? Take a look at the example images for AUD/JPY and EUR/JPY charts where each one had...
  10. John Jurcevic

    Texas A&M Foreign Currency Trading Competition

    From what I understand, everyone competes as individuals. For the college team they just find the average return of all the individuals on the team. I was just going to send the organizers an e-mail listing the members of our team. Not that we have enough people yet...
  11. John Jurcevic

    Texas A&M Foreign Currency Trading Competition

    Make sure you sign up for this currency trading competition today if you haven't already done so: www.gftforex.com/mays We need at least 10 participants from Baruch to make a college team. Post in this thread if you are participating so I can get a count and let the organizers know about...
  12. John Jurcevic

    Programming for Mac

    You're a harsh man Alain. Funny, but harsh. :)
  13. John Jurcevic

    Data Structure for Matrix Implementation

    Last year, I think we tried to match our results out to at least the 9th decimal place. It actually did happen even though we all implemented our own matrix code and algorithms in quite disparate ways.
  14. John Jurcevic

    Data Structure for Matrix Implementation

    Dude, you're spoiling my fun... So it was only on the homework and not on the final exam but it was actually a 1638400x1638400 banded matrix (very sparse). You are right about implementing the all the algorithms on your own.
  15. John Jurcevic

    Data Structure for Matrix Implementation

    Use a one dimensional array/vector and let your accessor methods take care of figuring out how to access a particular matrix element. Think about having a base class and then sub-classes for vectors, upper/lower-triangular, diagonal, banded, banded upper/lower-triangular, and sparse matrices...
  16. John Jurcevic

    "MFE program profile evaluation" master thread

    The sample space of such outcomes is the empty set. Put your bioengineering to good use. Become a plumber.
  17. John Jurcevic

    2010 Interactive Brokers Collegiate Trading Olympiad cancelled

    Great advice Alain! I use the first method for my own trading. You also left out: 4) Sell high, buy low
  18. John Jurcevic

    2010 Interactive Brokers Collegiate Trading Olympiad cancelled

    Bloody hell! Damn the bastards... I'm not happy. Definitely not happy.
  19. John Jurcevic

    C++ Random # Generator ~U(0,1)

    There are a few threads on quantnet about this topic. Do a search. The standard C++ random number generator is reasonable if you want to play around but probably not for any serious work. Also try reading about the Mersenne twister. For Monte Carlo applications try reading about...
  20. John Jurcevic

    Do you believe in Global Warming?

    In any other civilized country my views would be that of a political moderate, somewhat left of center. The problem here is that the far-right is so extreme that they make Mussolini and Pinochet look like a centrists.
  21. John Jurcevic

    Do you believe in Global Warming?

    As the title of one of Jim Hightower's books says: "There's Nothing in the Middle of the Road but Yellow Stripes and Dead Armadillos ".
  22. John Jurcevic

    Do you believe in Global Warming?

    The thing that is hard to go up against is scientific fact that has been extensively studied and debated within the scientific community for the last forty or so years. The denialists have the backing and the extensive resources of the fascist corporate propaganda machine and their brain-dead...
  23. John Jurcevic

    Do you believe in Global Warming?

    You know you are struggling to come up with a list of respectable climate change skeptics when you read the descriptions and see that half of them acknowledge that climate change is real and their only quibble is the extent of the effect. The other half of the list is kooks and shills like...
  24. John Jurcevic

    Functional Languages

    When the Baruch crew attended the information session at Credit Suisse not so long ago, one of the quants we talked to mentioned that they use F#.
  25. John Jurcevic

    What features would you like to see on Quantnet ?

    Hooray! the Latest Posts box is back. Long live the Latest Posts box.
  26. John Jurcevic

    Most frequently used boost libraries?

    You should definitely learn how to use Boost.Python first and follow that by the libraries: Regex, Graph, and Bind.
  27. John Jurcevic

    Dialogue with Microsoft VBA Excel team

    Make the look and feel of the VBA code editor the same as that of Visual Studio. I hate that the default debugging keystrokes are different between the two. Even though it is not related to VBA, the trendline fitting seriously needs an option to fit about an offset. Instead of fitting to x...
  28. John Jurcevic

    When kidnapping is not an offense...

    Because France is not a fascist-corporatist-police-state that rounds up peaceful protesters and charges them as terrorists.
  29. John Jurcevic

    Advice to new students in math finance masters programs

    National Plumbing Codes Handbook Plumber's Licensing Study Guide Plumber's Exam Preparation Guide
  30. John Jurcevic

    2009 Interactive Brokers Collegiate Trading Olympiad

    IB Olympiad Press Release I was wondering how many participants took part in the competition. Here is the IB press release.
  31. John Jurcevic

    2009 Interactive Brokers Collegiate Trading Olympiad

    Comparison to S&P 500 At the start of the competition the S&P 500 was at 890.35 and at the end of the competition it was 638.38 - a drop of 29%. This is probably why relatively few people finished in the money.
  32. John Jurcevic

    Rioting at NYU?

    How can you possibly equate Fox and MSNBC? There is only one real liberal TV host on any of the major news/politics networks and that is Rachel Maddow on MSNBC. Keith Olbermann is somewhat liberal with a strong sense of social justice. Everyone else on MSNBC ranges from slightly conservative...
  33. John Jurcevic

    2009 Interactive Brokers Collegiate Trading Olympiad

    It is a tight race for positions 7+. I got lucky with the snapshot for closing positions last Friday. Let's hope for a good week 6 of the competition.
  34. John Jurcevic

    Unix Timestamp 1234567890

    In case you are interested, geeky, or both, this Friday, February 13, 2009 at around 6:31 EST will have a Unix time of 1234567890 seconds past January 1, 1970.
  35. John Jurcevic

    How to generate a random number in C++?

    srand is a crappy random number generator. Try the Mersenne twister.
  36. John Jurcevic

    Happy Australia Day!

    G'day mates! Wish you all a fair dinkum, dinky di, true blue Australia Day!
  37. John Jurcevic

    2009 Interactive Brokers Collegiate Trading Olympiad

    Thanks for the advice Alain.
  38. John Jurcevic

    2009 Interactive Brokers Collegiate Trading Olympiad

    I thought it was possible to evolve the trading plan during the competition. I just want to change a couple of parameters in my trading model, not the overall strategy. In my original plan (that was accepted) I stated that the parameters would change but now I'm not sure if I am can use new...
  39. John Jurcevic

    2009 Interactive Brokers Collegiate Trading Olympiad

    Where on the IB website can you update your trading plan? I thought I saw it in my account management a few weeks ago but I can't find it now.
  40. John Jurcevic

    Your bailout dollars at work...

    In case you are wondering what corporate executives are doing with their taxpayer-financed bailout bonuses, check out the former executive vice president at Merrill Lynch, Peter Kraus, who made of like a bandit after taking a $25 mil bonus for 3 months of work. So what can do you with all that...
  41. John Jurcevic

    2009 Interactive Brokers Collegiate Trading Olympiad

    Everything I have read on various forums suggests that the ridiculous auto logoff cannot be disabled. If you hear otherwise, let me know. There are scripts available for auto login but I haven't tried them yet.
  42. John Jurcevic

    2009 Interactive Brokers Collegiate Trading Olympiad

    I finally managed to get the TestSocketClient to compile. Here is what you need to do: Make sure your Visual Studio paths are set (example: Include Files -> C:\IB_API_9_60\Shared and Library Files -> C:\IB_API_9_60\SocketClient\lib) In the TestSocketClient folder, load the client2.dsp into...
  43. John Jurcevic

    2009 Interactive Brokers Collegiate Trading Olympiad

    I have the same problem. The files DlgShareAllocation.cpp and DlgShareAllocation.h do not exist in the API distribution. Has anyone managed to compile the example C++ socket client?
  44. John Jurcevic

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Check this out... I also own roughly $100 million worth of sponsorship for the Manchester United soccer team. Ownership of AIG is sweet!
  45. John Jurcevic

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Well, now that we-the-people own an investment bank, mortgage businesses, and an insurance company, I look forward to seeing a nice dividend check in my mailbox next quarter. I can hardly wait...
  46. John Jurcevic

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    That was some great snark from The Big Picture. I'm glad that as a taxpayer I now own 79.9% of too-big-to-fail AIG and look forward to lining my pockets with the abundant flow of future profits... :)
  47. John Jurcevic

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    More Fallout from the Lehman Saga... The tendrils of Lehman's corpse are taking down one of the largest money-market funds, Reserve Primary Money. From Bloomberg: Money-market funds are supposed to be safe so how did Reserve Primary Money get themselves into this mess? Of course it's...
  48. John Jurcevic

    Quantnet Picnic in Central Park

    I would rather have it at the earlier date than later.
  49. John Jurcevic

    Heat Equation using PDE's

    Actually, in Australia Vegemite is far more popular than Marmite. But, in my opinion, both look like axle grease and taste worse...
  50. John Jurcevic

    Heat Equation using PDE's

    Just introducing some Aussie culture around this place... :)
  51. John Jurcevic

    Heat Equation using PDE's

    Use a forward difference for the time derivative and a central difference for the spatial derivative: (\frac{V_{x,t+1}\,-\,V_{x,t}}{\delta t}=\(0.16+0.08\sin (t))\frac{V_{x+1,t},-,2V_{x,t},+,V_{x-1,t}}{(\delta x)^2}) Solve for (V_{x,t+1}=...) and Bob's your uncle.
  52. John Jurcevic

    Heat Equation using PDE's

    For the coefficient to be positive we need: (1-2\(0.16+0.08\sin \(t\)\)\frac{\delta t}{\(\delta x\)^2}\, >\, 0) (2\(0.24\)\frac{\delta t}{\(\delta x\)^2}\, <\, 1) \[\delta t\, <\, 2.08 \, \(\delta x\)^2\]
  53. John Jurcevic

    Heat Equation using PDE's

    When you write the finite difference equations, the coefficient of the \(V_{x,t}\) term needs to stay positive for convergence... or something like that. For your equation, the coefficient that term looks like this: \(1-2\(0.16+0.08\sin \(t\)\)\frac{\delta t}{\(\delta x\)^2}\) So just look at...
  54. John Jurcevic

    Heat Equation using PDE's

    Try using \(\delta x = 0.1\) and \(\delta t = 0.01\) for your finite difference scheme. I get V (0.5,1) = 0.036761238 using the above values. If you want a finer mesh you need \(\delta t < 2.08 (\delta x)^2 \) for convergence.
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