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Search results

  1. donny

    Are bid ask spread for Nikkei futures in bps so high?

    Hi everyone, Quick question. Based on my calculations, it seems that the bid ask spread for Nikkei futures in basis points are so high. Typically, Nikkei futures are quoted as Bid: 16,000 Ask: 16,010. Bid Ask: 10. Bid Ask (bps): 10 / 16,000 = 0.000625 or 0.06% or 6 bps. Is this right...
  2. donny

    Sorting out Nikkei futures

    Hi Quantnet, I need any Nikkei futures to sort out my questions. Basically, I'm doing some research on using the most relevant Nikkei futures price as a form of market sentiment. I understand that there are multiple contracts listed on multiple exchanges. Answers to my questions would be...
  3. donny

    Cloud services to backtest minute data

    Hi Quantnet, My current tasks is to backtest a 5 min bar trading strategy over 10 years. It uses regression and as expected, it's very slow. At 1 hour needed for a 1 asset 10 year result, it's obvious that I need more computational power. I have a few virtual machines at my disposal but they...
  4. donny

    Historical Bloomberg data has gaps?

    Hi Quantnet, I am doing my rounds downloading intraday 1-min index data using Bloomberg API. The request I'm using is "IntradayBarRequest" with eventType as "TRADE". I'm starting my downloaded from about 3 months back, October 2015. This is well within the historical data limit of 140 days from...
  5. donny

    Someone please explain backwardation (as seen in wiki)

    Hey Quantnet forum, So, I'm trying to wrap my head around this idea of backwardation. The wiki for "Normal backwardation", which they claim is the same as backwardation, quotes this: "A backwardation starts when the difference between the forward price and the spot price is less than the cost...
  6. donny

    Quantitative Developer role, mid-size hedge fund, Singapore (redux)

    Hello Quants, My name is Donny. I work in the quantitative research department of a mid-size hedge fund that trades in currencies. Recently, I made a job advertisement in this exact same forum titled "Quantitative Developer role, mid-size hedge fund, Singapore". This is a redux of that because...
  7. donny

    Poster presentation = resume booster?

    Hey Quantnet forum, This is Donny here, Duke '12, hedge fund developer 1+ years. May I have your quick take on the following. Assuming I was given the opportunity to have a poster presentation on my original trading idea at one of the leading quant trading conferences, should I do it? It is...
  8. donny

    Asset Managers and FoF trade allocation to other HFs?

    Hello Quantnet, Amidst my exploration in the world of finance and trading, I got two somewhat related questions that could use some enlightenment from the other more experience financiers out there. It is concerning asset management (AM), in particularly fund of funds, and their relation to...
  9. donny

    Quantitative Developer role, mid-size hedge fund, Singapore

    Hello Quants, My name is Donny, Duke ‘12. I work in the quantitative research department of a mid-size hedge fund that trades in currencies. Currently, we are exploring the possibility of new proprietary trading strategies that leverages on some mathematics and novel algorithms. In order to do...
  10. donny

    Is multi-timeframe backtesting proprietary?

    Hello quants, I would like to ask your opinion on something simple. Is multi-timeframe backtesting proprietary? Specifically strategies involving price action and indicators on 60 min and 5 min charts simultaneously over batches of say 5 years. Put differently, is there robust software in...
  11. donny

    Availability of Level 2 Forex data from banks

    Hello Quantnet, I need your quick opinion on something. Given that I'm a hedge fund, do you think it's possible to get level 2 forex data real time from the banks? As in, can I give Barx a call, set up a live feed, and have streaming in their order book for all the major currencies. To my...
  12. donny

    Systematic Trading - there are secrets to the trade

    Hello Quantnet friends, This is Donny again, your friendly quantitative developer in Singapore. It's been a year in my hedge fund and the ride has been great. I've learnt many things one of which is that systematic trading isn't as easy as I thought it would be. Here are my common...
  13. donny

    Would you really say "Martingale" in a Quant meeting?

    Hey friendly QuantNet community, This is Donny here again, the guy grateful for each of your comments about 2 months ago which made him ultimately decide to take a hedge fund job in Singapore. In my final semester in college, I decided to enroll a class on "Measure Theory" - yup, a class...
  14. donny

    Singapore hedge fund vs Wall Street aspirations

    Hello helpful traders / quants at Quantnet, The last few weeks has filled me with anxiety as I have to make a choice that can greatly affect the next few years of my life. I have been interning at this Singapore hedge fund (about half a billion) over the summer. On same random Tuesday, the COO...
  15. donny

    REU (topology) good if want to be quant?

    Hello QuantNet forum members, It does seem I have a good chance getting this REU in the summer of 2011 doing research in topological field theory at one of the UC colleges. Should I take it if the job I desire after I graduate is a quant (developer or analyst). I am a Junior now so this will...
  16. donny

    Spring semester classes for potential MSc candidate

    Hello QuantNetwork, I hope to enroll in a Master in Financial Mathematics program in particularly Stanford's or Columbia's one. With spring selection of classes drawing near, here is what I go for classes. I'm in my third year and done most fundamental math / Compsci classes namely...
  17. donny

    Law intern experience worth it for Quant?

    Dear Quantnet, I am an aspiring quant and have a quick question regarding resume building. I have a short law intern opportunity this coming Winter, Dec to Jan, and wondered would it be worth it take it. It is in Singapore, at a 20-year old law firm, and I'll be doing 'Commercial Litigation'...
  18. donny

    Does a 3.47 who loves quant get a chance?

    Hello Quantnet People, My name is Donny, a junior math major. Last semester was a career discovery process for me. I took 4 classes, attended careers fair, read tons of forums and articles, and I've made up my mind: I want to be a Quant ideally after my Undergrad. Be it the money, the...
  19. donny

    Aspiring Quant - the math way or the econ/finance way?

    Good Morning Quant Network, My name is Donny, a math major from a USNews top 10 college. Through some reading, talking to people, and classes, I have set a path to be a quant when I come out of college. I realize that my love for math and my love for gambling (I find Texas Hold 'em a...