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  1. daleholborow

    Is R Necessary? (Generally Speaking)

    I should say, if you can code Matlab already, R will be a piece of cake (conceptually). Through some friends of mine who use it, they *do* often complain that libraries often break with updates etc, so practically it could possibly be a pain in the bollocks, as opposed to Matlab which is...
  2. daleholborow

    Is R Necessary? (Generally Speaking)

    @smcarter generally speaking, "it depends", if you can code, I think for the next couple years at least you'll still seem like a bit of a guru in many settings, but increasingly, it will be expected (I believe). R is sufficiently different to python, with a subtle but significantly different...
  3. daleholborow

    Is R Necessary? (Generally Speaking)

    I check in from time to time but I'm doing more backend programming these days, more traditional IT and not as much finance. Have started doing some consulting/programming with a rising Finnish fintech though, they're making a good name for themselves and we have a couple cool potential finance...
  4. daleholborow

    Do not deal with Intrinio

    I've actually found their team and their service to be awesome... When I found mistakes in their data, I contacted them and they responded immediately, and resolved issues soon after. Did you contact them, talk with Joey etc?
  5. daleholborow

    Cost to start a retail algorithmic trading

    There will always be the cost of losses as you learn, but I encourage you strongly to investigate backtesting BEFORE you start trading. And also, don't learn trading, study *investing* ;) Read the books by Michael Halls Moore, and his articles. While I am personally quite opposed to "trading"...
  6. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    @Andy Nguyen - it seems that the attachments are failing (file not found). Is this something that you were aware of?
  7. daleholborow

    Fast Brute-Force Optimization Software

    Ok. So you want a hill climber or gradient descent algo probably, at least to start with. Think about applying jumps to avoid local Maxima, so simulated annealing might be applicable as well. Now... I start with my trusty friend Google, and type "walk forward parameter optimization" and voila...
  8. daleholborow

    Fast Brute-Force Optimization Software

    You don't say what you are trying to do. You don't say why you are trying to do it. You don't say anything of use, or of interest. You should really correct that, if you want to get any advice, of any use, at all. That said, my initial and immediate advice would be "don't rely on brute force"...
  9. daleholborow

    Can anyone recommend a good real time data feed?

    Contact Andrew at intrinio.com and tell him that Dale sent you. They have plenty of data and I believe real time.
  10. daleholborow

    What are the trading platforms that have API's for R.

    Interactive Brokers (or in Europe, Lynx, which uses the same data / API but for cheaper) might be a good bet
  11. daleholborow

    Building a trading strategy. Need inspiration

    What range of time will your investment competition cover?
  12. daleholborow

    Build trading platform

    More info required. First question: why? What's your goals?
  13. daleholborow

    Developed a very good algo... Now what?

    Why do you pick arbitrary year ranges when calculating and presenting performance? It seems that your backtest in particular, has several selected date ranges, but no obvious reason why they are broken up?
  14. daleholborow

    Which technologies for stock analysis web application?

    I'm heavily a .NET guy atm for my day job so I can't comment on the Java landscape. That said, looking at Spring, it seems directly comparable to WebApi2 (or my preferred option, ServiceStack), in terms of the MVC framework. So.. I would say that by trying to mix MVC templating and Angular...
  15. daleholborow

    Backtesting software Ideas

    How did you go?
  16. daleholborow

    Gumbo for the road warrior

    I'm just gonna leave this here: http://i2.wp.com/bitcast-a-sm.bitgravity.com/slashfilm/wp/wp-content/images/1520_Ctt_VAR_300ZZdpi-1296x1944.jpg
  17. daleholborow

    Good Book On Value Investing?

    Look up Value.able by Roger Montgomery, and F-WallStreet
  18. daleholborow

    What to do with a year of time?

    travel. travel. travel. travel more. Read a little, if you must.
  19. daleholborow

    Derivatives Quant or Algo Trading?

    Let me pose it to you as a question: In an ever increasingly connected world, in which its possible to trade all markets, all the time, as those anecdotes suggest, what makes you think that operations in any particular major financial hub could/would/(should?) operate significantly differently...
  20. daleholborow

    Derivatives Quant or Algo Trading?

    If you think being an algo trader is going to be "more relaxed", i have two anecdotes from personal experience interviewing and chatting with guys in this profession. One company (predominantly pairs trading, statistical correlations, matlab, etc) would hire 16 "candidates" and give them...
  21. daleholborow

    Backtesting software Ideas

    theres another guy, ernie chan , i think, who has a book he promotes here and there. I dont know, my interest isnt in algo trading on tick data, i want a long term fundamentals approach, enforced by algo software. Sounds like you already know C++, but if not, C# might be an excellent substitute...
  22. daleholborow

    Backtesting software Ideas

    look on this forum for max dama
  23. daleholborow

    An incredible insight into mathematical finance of tomorrow

    Look through the Amazon preview, the grammar needs work and suggests a self-produced and not overtly professional product. Ovidiu, you desperately need an editor, and probably at least the outline of some qualifications and experience before you advertise your book here. Good luck though.
  24. daleholborow

    Good problem for multithreading programming

    These might be fun/educational: https://projecteuler.net
  25. daleholborow

    Introduction from an Aspiring Quant -- Network Building

    what style of algo trading?
  26. daleholborow

    A high-frequency trading model with IB

    Why on earth would you publish a financial trading model then announce to the people reviewing it that it loses money (not so bad, IF you explain that its more a demo of your technical skills than your trading prowess perhaps) and ESPECIALLY that it's substandard quality and so probably fails to...
  27. daleholborow

    The Fear Index

    that sounds woefully bad. did you end up reading it?
  28. daleholborow

    How to proceed with coding this trading application

    soemwhere on this forum is a threat about free data... in there there's a live data tick feed that you can test your trading on... intraminute level. i think it requires coding in R though. search for it
  29. daleholborow

    Career in quantitative finance vs data science/technology

    I can utterly guarantee you that earning more, does not equate to happiness if you do not enjoy the work. You'll still hate your work, you'll just be bribed better to keep doing it. And especially, when that comes with a work-life sacrifice, you very soon start to look forward to long weekends...
  30. daleholborow

    Career in quantitative finance vs data science/technology

    You've already got the smarts to learn to invest your own money for you. And you've already done some finance and are already thinking about leaving? What does that tell you. Do what interests you.
  31. daleholborow

    Still a lucrative field?

    Leverage is, and has always been acknowledged to be, deadly, when things turn against you. Home loans, options, CFDs, ... if you go picking up pennies in front of steamrollers, as the saying goes, you eventually get squashed.
  32. daleholborow

    R software

    http://www.rinstructor.com/ might have potential
  33. daleholborow

    Risk Management to Sales and Trading, Help!

    Could be just me, but my impression of sales and trading, are of two quite different beasts?
  34. daleholborow

    Suicidal bankers

    There are italian entrepreneurs now? This came to mind: http://www.economist.com/node/18780853
  35. daleholborow

    Advice for a "future" Quant Developer, with 10 years programming experience?

    if you arent particularly interested in finance per say, and you want to solve problems with math/IT/etc, there are plenty of other avenues (silicon valley, medical, logicistics, etc research) that you might want to consider. if you're aiming at quant dev with the idea of making zillions of...
  36. daleholborow

    Simple HFT Strategies.

    I'm going to tentatively suggest that any "simple strategy" in this type of trading approach is going to be largely ineffective.. what makes you thikn you can do somethign easily and quickly to produce profits (assuming that is your goal ;) )
  37. daleholborow

    Postdoc, Moving to Quant. finance at 32

    And depending on who you ask, also putting your time and energy into solving irrelevant hard problems which has nothing to do with the real-world ;)
  38. daleholborow

    White collar Hunger Games

    Despite the fact that Hunger Games seems to me like a poor man's Battle Royale, I found the figures quoted for average salaries remarkable.
  39. daleholborow

    Why Americans don't study engineering

    Here's hoping change is on the horizon :-P
  40. daleholborow

    eFX questions, just started on a trading floor

    "A different google?" *sigh*. IT guy, you tried one search phrase and got one result and got discouraged? Here, let me try AGAIN for you: http://www.lmgtfy.com/?q=FX+%22leaves+quantity%22
  41. daleholborow

    eFX questions, just started on a trading floor

    Seriously? You're a) working in a trading position, presumably the entry requirements were high, and b) you're specifically working in an IT role, and yet somehow c) you don't know how to, or are too lazy to, use Google? Come ON guys... try even a SLIGHT attempt to find out some of this...
  42. daleholborow

    KPMG Quant Market Risk Advisory Interview: Help Needed!

    @YolandaF - you don't state what level of position you would be interviewing for, nor your background. These would be useful information to anyone else who might have advice for you.
  43. daleholborow

    KPMG Quant Market Risk Advisory Interview: Help Needed!

    For everyone interested, to continue: When you're working for the consultancies, (I believe) its much more common to be validating a model then creating an entirely new model from scratch... the banks might have an existing model or methodology for measuring risk exposures, for instance, and...
  44. daleholborow

    KPMG Quant Market Risk Advisory Interview: Help Needed!

    @euroazn - Australia's regulatory body is apparently even more conservative than Basel, and with more aggressive deadlines... its liquidity modelling, capturing strict capital requirements, and lots and lots of reporting required... All the stuff that makes me a hit with girls at parties! :rolleyes:
  45. daleholborow

    KPMG Quant Market Risk Advisory Interview: Help Needed!

    I work in this area in Australia, out of the Sydney office. Tools have included matlab, R, vba, excel, some c# / c++ knowledge for placements within banks is handy, some guys use some other statistical packages for modelling in the credit risk division. The job description seems pretty...
  46. daleholborow

    Financial Engineering Project Ideas.

    there are occasionally interesting projects posted to kaggle.com
  47. daleholborow

    Hedge fund to Asset Management

    There are several head hunters on this forum who would almost certainly be interested in talking to you.
  48. daleholborow

    "Big Data" .... what is that?

    In a related note, has P&D's quant career guide been updated? I no longer see Dominic post here or on wilmott?
  49. daleholborow

    "Big Data" .... what is that?

    It would seem relevant to give context and source of the quote.
  50. daleholborow

    Anyone here make real trading algorithms that make consistent profits?

    With respect Andy, I don't think that I necessarily agree with you on this point. There were several (if not "lots") of guys in finance who would still buy/sell stocks, going through the relevant clearance process with internal compliance regulations etc, but i saw little if any evidence of them...
  51. daleholborow

    Trading as a corporation

    Depending on your country , you might not have to register as a business. In Australia for example, you may opt to register yourself as a trader with the tax department, meaning that you have something paraphrased as "an identifiable system of trading that you use to generate profits as an...
  52. daleholborow

    Anyone here make real trading algorithms that make consistent profits?

    In my experience, almost no one who works in the finance industry goes home from work and attempts to use their professional knowledge (i.e. what I think you mean when you talk about the skills one might learn in an MFE) to make trading/investing decisions of their own, for their own portfolios...
  53. daleholborow

    BoA intern dies

    I once stated in an interview that if the firm wanted me to pull 100 hour weeks, then I wasn't the right guy for their team. They made me smile when they replied, "er, we just tend to think that if you're still here afer 6pm, you either have too much work assigned, or you don't know what you're...
  54. daleholborow

    Black Litterman Optimal Portfolio vs Benchmark

    what does "too large" mean?
  55. daleholborow

    What is your career path?

    no, not really... my own current investing strategy is about as simple as imaginable.
  56. daleholborow

    What is your career path?

    In terms of coding, or maths required for the models?
  57. daleholborow

    A Day in the Life of a Market Risk Analyst

    Sorry, my first comment was kind of ironic, I just meant exit opportunities, exit options ;) Speaking from an Australian perspective, someone starting out in a consulting firm in market risk might start on as low as say AUD40K, or as high as 70+ if you landed a job in a good bank, with my idea...
  58. daleholborow

    A Day in the Life of a Market Risk Analyst

    Exit opps? Quit anytime you like. ;) Pay will differ depending on your roles, whether you take a managerial or specialist track etc. no different to any industry, the closer you are to being the guy bringing in the jobs, the more money you earn
  59. daleholborow

    Advice on elective courses

    what type of trading do you want to do? algo, boiler-room, bond, equity, etc?
  60. daleholborow

    can I be a quant developer?

    seek.com.au is your friend for australia. There are several quanty recruitment agencies that will appear on a simple google search.
  61. daleholborow

    UCB MFE Is gap year bad?

    Weighing on on the travel thing, travel long, travel far, travel hard. And talk to strangers on the way.
  62. daleholborow

    Is multi-timeframe backtesting proprietary?

    Ah, then I am sorry, I cannot help you there - I've not used ninja et al. Good luck.
  63. daleholborow

    Is multi-timeframe backtesting proprietary?

    If you're stepping through time taking every 5 minute observation, and you wanted to simultaneously check 60 minute observations, whats wrong with simply taking every 12th data point from the first data stream to plug into your second component of your strategy?
  64. daleholborow

    Is multi-timeframe backtesting proprietary?

    What do you mean, is it proprietary? There are a number of tools / companies / products available that would allow you to do backtesting, see https://www.quantopian.com/ for an example (you take peoples base algos and modify them or code your own etc, with real historic price data). Or am I...
  65. daleholborow

    Self-Funded Trader---->MFE?

    May I ask which papers? Depending on their age, they may have already been incorporated so heavily into the wider market's operations that it is difficult to use them today to make a profit. For an example of someone who does readily publish their findings, albeit usually after they are no...
  66. daleholborow

    Self-Funded Trader---->MFE?

    If you want to be a profitable LONE trader, who cares what anyone thinks? If you want to be a fund manager, your record will speak for itself, no? Some qualifications might make you look more above board, but think about how many people in general know what an MFE is... if you're doing it for...
  67. daleholborow

    Anyone used puts for personal investing activity?

    Ah sorry, I more meant, what influenced your decision on whether to buy at the money or out of? Am currently trying to find a good source of option history data, given that I currently i have no access to paid terminals, to run a strategy similarly based on economics (or fundamentals).
  68. daleholborow

    Anyone used puts for personal investing activity?

    Out of interest alain, did you purchase these puts at the money, or some distance out of the money, and what influenced you decision either way, if you don't mind me asking.
  69. daleholborow

    Matrix libraries in C++ and C#

    Is this of any use? http://mathnetnumerics.codeplex.com/wikipage?title=Linear%20Algebra&referringTitle=Documentation
  70. daleholborow

    Historic analyst forecast earnings/dividends? Where to find?

    Thanks alain, I am working on this of my own accord so unfortunately my funds are limited and my access to paid data is non-existent. That said, the only experience I had with Datastream was during my Masters degree, trying to load bond prices for some pricing models, and I found it extremely...
  71. daleholborow

    Historic analyst forecast earnings/dividends? Where to find?

    I am currently running an optimisation of an investment strategy, that relies on analyst forecasts for equities. For example, using an etrade account, take fundamental data for a previous year regarding earnings, book value etc etc, and use that to predict future earnings / returns on equity...
  72. daleholborow

    Best Programming languages

    Barny, I've been with you for a fair bit of this thread, but (more for the attention of anyone just starting to learn to code), advice to avoid an IDE is madness ;) I look back on the days of UltraEdit and so on, and can happily sing good riddance. I <3 the intellisense! hahahahah
  73. daleholborow

    Best Programming languages

    Out of interest, the last time i looked at python was years and years ago (it was being taught to a friend of mine in a comp sci class and he asked me to help debug some code or something). The idea of using whitespace as important in the compilation seemed nasty then... i dont know if that is...
  74. daleholborow

    How to get maximum out of the masters?

    gatecrasher, feel free
  75. daleholborow

    Is there such things called a 'mini' quant?

    In the (anecdotal) words of one of my previous employers, when asked how he got to head the large division of our company, "weeeelll... I'll tell you. I don't know a lot about anything... but I know a little about everything..."
  76. daleholborow

    Retrocausal Signalling System

    1. Watch "Time Bandits" 2. Invent time travel 3. PROFIT$$$$
  77. daleholborow

    How to get maximum out of the masters?

    i'd tweak the above, really at this stage of your entry, and suggest to really consider whether you are likely to want to end up in the developer space... and if the answer is no, skim over your harder (c++) coding subjects, as the vast amount of finance work is excel/vba, and little else UNLESS...
  78. daleholborow

    Questions about OLS

  79. daleholborow

    Questions about OLS

    presumably you know what it is? do you know how it's used? what it's used for? what types of functions it might suit? how it might be used in a financial sense?
  80. daleholborow

    Non-Compete Agreement

    Its not unheard of, but i've only seen this really happen with very senior positions, partnerships etc. Obviously, anything that makes you harder and/or more expensive to employ while not offering an employer a return on their investment, detract from your marketability (imho).
  81. daleholborow

    Anyone used puts for personal investing activity?

    did you own the shares, or settle for difference?
  82. daleholborow

    Anyone used puts for personal investing activity?

    I have no real issue with the time decay, as its my intention to use them as leverage into short positions.. i dont wish to actively trade the options themselves, but its a valid consideration. Shorting, at least in my local market, appears to be quite expensive. Cheers guys
  83. daleholborow

    Anyone used puts for personal investing activity?

    Hi all Just wondering if anyone here has purchased put options to bet on a declining stock price for their own investing activities? If so: - on what stock exchange - was the outcome positive or negative - what maturities did you use / were you able to choose from? - anything else you wish...
  84. daleholborow

    UG Blackbox

    Am I understanding you correctly in that you claim 60%+ returns per annum, over a 50 year period?
  85. daleholborow

    UG Blackbox

    before or ater transaction fees, taxes etc?
  86. daleholborow

    Quant development aspirations

    No aspirations are too grand, if you've got a little knowledge, experience and luck. The second job seems (from your very very brief descriptions) to me, to be the better choice.
  87. daleholborow

    Frequent pricing of unlisted instruments

    pardon my many typos... i just reread that and i was very tired when writingg
  88. daleholborow

    Frequent pricing of unlisted instruments

    I've had similar tasks in my role, but to be honest each product/ valuation has required unique approaches and so there isn't really a " nice" answer to your question i think. Is suggest that ( in Australia at least), a serious consideration will be your qualifying/ industry certification...
  89. daleholborow

    Frequent pricing of unlisted instruments

    Is this for a risk management division? As in, a consultancy? Because if so, one thing will be to consider how you're going to get approval / signnoff on whatever valuation methodology you use. Also, i'll a little unclear.. you're using the word "asset prices for unlisted equity instruments"...
  90. daleholborow

    Nice containers in C++11

    Ed, you in Spain? I'm currently in Madrid and looking for people with an interest in finance, for meetups and just general conversation etc. Puerdo hablar solo un poco espanol, pero estudiando :-P
  91. daleholborow

    Which is the best site for building mock portfolio?

    A mate of mine in Silicon Valley just pointed out Quantopian to me, (it's been mentioned on this forum in other posts), which looks like a good bet if you are trying to build portfolios of short-term positions (i.e. day trading). Disclaimer: I do no particularly endorse this trading style...
  92. daleholborow

    about algorithmic trading

    A simple good search will answer that for you... come on, even a quick trawl through this or the Wilmott forum should yield results. Can I ask what makes you think you want to do algo trading if you have no idea who is involved in it? Do you have a good idea what this type of employment involves?
  93. daleholborow

    Quant trading competition

    2 month timelines? That seems, naively short, no?
  94. daleholborow

    Forecasts for 2013

    bigbadwolf - how do you rate dmitry's actual books I see linked on his website?
  95. daleholborow

    The End of Wall Street As They Knew It

    http://www.economist.com/news/finance-and-economics/21568741-hedge-funds-have-had-another-lousy-year-cap-disappointing-decade-going Rather damning report card, usual conflict in the reader responses, but generally a good quick read i think.
  96. daleholborow

    Valuation of stocks in emerging countries

    you might also like to check out F-WallStreet
  97. daleholborow

    Valuation of stocks in emerging countries

    look at buying Ben Graham's "Intelligent Investor", Roger Montgomery's "Value.able" and use very big margins of safety ;)
  98. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    lots of models you could use... look at Vasicek, Hull White, splines, etc etc... From the sounds of it, you have the chance to choose which model you use yourself? What are you trying to show / prove in your thesis? Do you have a topic? Sorry for the slow reply, but I'm still travelling and...
  99. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    Sorry guys, i am currently backpacking around the world for a few months so won't be able to assist with any programming questions. Good luck
  100. daleholborow

    How is the market for entry level Quant?

    And standard abbreviations of the time, according to Wiki ;)
  101. daleholborow

    How is the market for entry level Quant?

    On this note Dominic, how do you compare CV length between USA, Brit etc applicants? I was talking to one of my seniors at my current employer, and he gave me a sample CV which he seemed to quite like, but that I thought was nothing special in terms of layout etc. I've heard anecdotally that...
  102. daleholborow

    Career Break Travel

    But I'm told, if you do it right, once is enough ;) Out of interest, where are you going to go?
  103. daleholborow

    Career Break Travel

    Do the backpacking. Disclaimer: I just resigned (or rather, took a year off without pay) to go backpacking ;)
  104. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    from memory, the BS model i coded up was based on the Li and Wong paper, I don't know how that differs from Duan. I haven't gone back through it though sorry, I'm currently quite busy. Good luck.
  105. daleholborow

    Facebook vs HFT - informative video

    I've been having some rather intense debates with work colleagues and some ex-equity analysts about this very topic (i.e. the relative overvaluation), recently. Seems I am alone in thinking FB is remarkably overpriced, but we'll see ;)
  106. daleholborow

    Facebook vs HFT - informative video

    And today, FB slumps below open day price... looks like the underwriters disappeared!
  107. daleholborow

    Facebook vs HFT - informative video

    From an investment forum, an (I think) interesting video on how HFT bounded the Facebook IPO price levels. http://blog.rogermontgomery.com/what-is-hft-and-algo-trading/ Check the youtube video, for an example of HTF stepping in at the IPO $38 level... enjoy. ;)
  108. daleholborow

    Learning how to PITCH stocks

    If you want to know how to value stocks, read these books: http://www.rogermontgomery.com/ and in the same vein but I think not as good, http://www.fwallstreet.com/.
  109. daleholborow

    Learning how to PITCH stocks

    Short answer is, if you don't know what you're asking, I'm hard pressed to know how to help answer you. "If an employer asked you to pitch a stock", then you're working for a broker, who doesnt care what the stock is really worth, so long as you unload it on some sucker and pick up your...
  110. daleholborow

    Learning how to PITCH stocks

    Are you trying to learn how to value stocks, i.e. estimating their intrinsic value in some sense, or pitch stocks, i.e. become a salesman?
  111. daleholborow

    Calibration with Matlab

    if you're trying to do a least squares solver, i think there is a better way to solve for these params. Do a search for one of my earlier posts, about bond pricing models and code i wrote for a thesis. In my code, you'll find examples of fittign to curves solving for unknown parameters using...
  112. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    You price your coupon-bond as a portfolio-of-zero-bonds? I.e. as though the coupons were all independent of eachother? In practice, such an approach understates bond prices, because there is an inherant dependency on the coupons, if the issuer defaults on an earlier coupon, then all subsequents...
  113. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    I havent looked at the code for quite a while, but I think the optimisation should work in a similar way, yes. That is, if you change the pricing formulas, the seeking algorithm should find the optimal parameters to fit your curves etc. Good Luck.
  114. daleholborow

    So I created this software...

    Now we're quoting Gandhi? Gandhi was a racist nutter who slept in a bed with two virgins to test his virtue and who praised Hitler as "really not as bad as you're portrayed to be"...
  115. daleholborow

    So I created this software...

    Mate, you're killing me. Let me contrast what you're saying another way. Buffett has averaged 26% returns ANNUALLY for 50 years. He's top 3 richest guys in the world. If you honestly believe that your system exceeds his ANNUAL performance every MONTH, then I would suggest one of two things: a)...
  116. daleholborow

    So I created this software...

    Are you even remotely serious? If I understand you correctly, taking your claim of a 30% monthly return, even with a thousand dollars as your initial investment, why not just let that sit for 12 months and take the ~$20K you'd apparently have earned? You could live on the passive income. Better...
  117. daleholborow

    Kaggle - quant competitions on big data sets

    Oops, my bad... delete the thread if you like Andy :)
  118. daleholborow

    Kaggle - quant competitions on big data sets

    Mate of mine at work just pointed me to this website, and I haven't seen it discussed here before. http://www.kaggle.com/ datamining, trading algo design, all sorts of problems posted and crowd-sourced (for want of a less wanky term) for solutions, and if you win, you can earn some decent...
  119. daleholborow

    New to the game

    Alternatively, use the search functionality (and some initiative) and read some of the many 1,000s of posts that relate to very similar questions.
  120. daleholborow

    Quant Careers - Practical, Detailed Guide

    email Dominic Connor re: his quant guide.
  121. daleholborow

    Excel Mixer Pro

    I actually found that very impressive. Good work.
  122. daleholborow

    Sex discrimination in the finance industry

    I have seen the same logic applied to the employment of fresh graduates, by a past employer of mine. "We don't hire young people straight from uni, because they all want to work a couple years then quit and go travelling." I see that as less any sort of unfair discrimination, and partly just...
  123. daleholborow

    Is headhunter's commission proportional to the offer?

    Believe that agents typically get a percentage of the full time rate... of course, that percentage is subject to some variation anyway. They place a senior staff member, and negotiate a high commission, it's beers all 'round.
  124. daleholborow

    Black Friday wishlist

    Anyone used the Samsung Galaxy Tab 10.1 ? I realise it ain't exactly a porsche, but I'm more of a motorcycle guy anyway.... ;)
  125. daleholborow

    Apply to MFE with pending courses

    I'd also suggest using your initiative, and trying to come up with a descriptive name on your own ;)
  126. daleholborow

    Apply to MFE with pending courses

    I'd suggest starting a thread with a remotely descriptive and relevant name in future, instead of this vague and fairly useless one.
  127. daleholborow

    Heston Nandi option pricing with Maximum Likelihood Estimation

    Er... if you click Eugene's link, there are plenty of results that appear to be promising, and written in matlab?
  128. daleholborow

    Books on Investing

    I would suggest you read these two: blog.rogermontgomery.com http://www.fwallstreet.com/
  129. daleholborow

    Occupy Wall St.

    I find it puzzling that this topic isn't receiving more attention. Seems to be a fairly pointed thing the OWS crowd could unify behind.
  130. daleholborow

    What would you do if you were in my shoes?

    Talk to DominiConnor, the headhunter here. If you've got the skills you say you have, he could be a good start, given you're (presumably) in the UK?
  131. daleholborow

    Clamping Down on Rapid Trades in Stock Market

    Arguably, it's not their job to go broke doing so, because someone else is distorting the market.
  132. daleholborow

    Clamping Down on Rapid Trades in Stock Market

    What sort of idiot would jump back into danger when they had no idea what the cause of that danger was? To blame traditional market makers because they DIDN'T all pile in to solve someone else's screw up seems hilariously cheeky.
  133. daleholborow

    BBC - The impending crash - Trader tells it like it is

    Wait, now you're telling me Goldman Sachs DON'T own the world? Dang it, I am so confused...
  134. daleholborow

    BBC - The impending crash - Trader tells it like it is

    This guy is a champion http://www.zerohedge.com/news/bbc-speechless-trader-tells-truth-collapse-comingand-goldman-rules-world
  135. daleholborow

    Learn SQL

    I'd also suggest SQLite, there are some very good little libraries to access it in C#, and I believe its also well supported in C++. I *think* several of the iphone apps use an sqlite database (your text messages, for example, are stored in an sqlite db), its effectively a single database file...
  136. daleholborow

    MATLAB Problem new to MATLAB

  137. daleholborow

    CNBC Million Dollar Portfoilio

    it's unamerican to sell short
  138. daleholborow

    WSJ interview with Roubini

    So... did you buy?
  139. daleholborow

    Chances of becoming a quant?

    Look on this website for the careers guides by Dominic Connor, Michael Page finance, and Mark Joshi. Therein lie your answers.
  140. daleholborow

    Chances of becoming a quant?

    PhDs in quant finance, or PhDs in math etc but supplemented with MFE / CFE-type qualifications, yes.
  141. daleholborow

    Chances of becoming a quant?

    I've a mate who recently completed a PhD in math, with good knowledge of assymptotics, stochastic, pdes, etc etc. He started looking around at finance work, and was told that while in the past, good maths could get you by, its now the case that with lots more specialised course appearing on the...
  142. daleholborow

    Beat the market

    i liked it, but depending on what exchange you intend to invest on, some of the strategies may be hard to implement (specifically, a lot of the short selling, and purchases of more exotic convertible instruments). good luck.
  143. daleholborow

    Beat the market

    did you read it? what did you think? and do you intend to apply any of the ideas in practice?
  144. daleholborow

    Gauging Market sentiment

    Quantifiable? How is relative short vs long interest not quantifiable? Similarly, a volatility measurement is a quantitative measurement. And "company vs company" seems to me to be in direct contrast with "overall market variables"??
  145. daleholborow

    The Flight of the Black Bear

    In the past I've quite liked several of Silvan's articles/interviews. This however, was a long, rambling jumble of fairly childish wordplay... and I really don't know why he bothered. Did you have a particular take that you wanted to discuss Andy, or just opening the forum for discussion?
  146. daleholborow

    Gauging Market sentiment

    Volatility getting high suggests people are uncertain. Something like relative short interest (e.g. how many people are betting against a company as opposed to for it), suggests bearish sentiment.
  147. daleholborow

    Fewer Perks and More Work for Wall St.’s Summer Interns

    Funny, i recall reading an interview with Oliver Stone after he directed "Wall Street", and he was disgusted because, to paraphrase, "people were coming up and saying to me, they were going to be doctors and engineers, but after seeing my movie and the money to be made, they wanted to work on...
  148. daleholborow

    Fewer Perks and More Work for Wall St.’s Summer Interns

    Oh well, at least ilya isn't trying trying to tell you the benefit to society will be that he "provides liquidity" ;) It's not my impression that many people go into finance (at least, "quant finance") to learn how to put together a business, assuming you mean run a business, own and operate...
  149. daleholborow

    Thorp - Beat the Market -Anyone doing anything similar?

    Indeed. In Australia, warrants cannot be shorted, and the options are typically short-dated. I have to research LEAPS some more, but I get the initial impression that they are quite illiquid and only traded on very few of the ASX stocks. Oh well... maybe I'll try investing in Asia... and battle...
  150. daleholborow

    Thorp - Beat the Market -Anyone doing anything similar?

    Hmm. The ASX cut their standard option package size from 1,000 to 100 shares earlier this year (for the reasons that you mentioned), and reading their press release around the topic, it suggests that 100 is the standard for most exchanges around the world...
  151. daleholborow

    Thorp - Beat the Market -Anyone doing anything similar?

    That, and I was desperate to try to steer this quant forum back to somethign remotely related to finance... ;)
  152. daleholborow

    Thorp - Beat the Market -Anyone doing anything similar?

    Alexei : Interesting that everyone will tell you about their stock picks, but no one mentions their use of quant strategies ;) I am aware that no one is going to throw out their secret sauce for the masses, but I guess I am interested in how people identify what they consider "gropss...
  153. daleholborow

    Thorp - Beat the Market -Anyone doing anything similar?

    Finished reading Thorp's "Beat the Market" recently, largely dealing in holding hedged portfolios on shorted warrants etc. For various reasons, I can't mimic this investment strategy in my local markets, but I'm wondering out of interest, has anyone on this forum a) read this book and b)...
  154. daleholborow

    London riots

    Just curious Dom, why the preference for the alternative spelling of Muslim? I noticed you use this version exclusively, but I can't find any historic or cultural significance for the difference?
  155. daleholborow

    HFT Careers and How to Get Into High Frequency Trading

    Article (don't think anyone else has posted it yet), on the tools, programming languages etc used in high frequency trading industry. http://adtmag.com/articles/2011/07/29/why-hft-programmers-earn-top-salaries.aspx
  156. daleholborow

    Best instrument/method for speculation?

    Sounds like an interview question, hence maybe the no leveraging angle?
  157. daleholborow

    Anybody help me to choose topic for my thesis!

    I would agree with groutgauss. Particularly if you don't already have a particular research area in mind, it may be quite difficult to get a supervisor on board if you have only very vague ideas. A simpler approach will be to approach the potential supervisors that you know and respect in this...
  158. daleholborow

    Dimensionality: Please Explain :)

    ALso, try searching the wilmott forums. They tend to be a technical nature and may be of use. But they won't suffer poorly thought out questions, so make sure you do your homework before you flood them.
  159. daleholborow

    Dimensionality: Please Explain :)

    It would have taken me no time at all to not bother replying. Did you actually read those links? "In applied mathematics, the curse of dimensionality refers to the fact that some problems become intractable as the number of the variables increases" I don't mean to be short with you, but I...
  160. daleholborow

    Dimensionality: Please Explain :)

    Try harder. A brief google search will give you any number of articles to read through. http://en.wikipedia.org/wiki/Quasi-Monte_Carlo_methods_in_finance http://en.wikipedia.org/wiki/Curse_of_dimensionality
  161. daleholborow

    Requirements of MFE/MSFE

    Come on guys. A little common sense suggests that almost any professional experience in a decently quantitative field should be in some way useful, if only to expose you to team work, workplace dynamics, etc etc. In terms of technical skills, the more quantitative the better, but in the same way...
  162. daleholborow

    Universities or visa mills?

    I don't think this is solely an American issue. I believe for quite a while over the last few years, I've been reading in our newspapers on the general decline in quality of higher education in Australia, and because of the higher fees they pay, a number of dodgy educational institutions have...
  163. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    Dale is fine. As for quant career, yeah, I've made the jump from an analyst/programmer career, into quant finance, as of a couple years ago. That interest rate models book by Brigo/Merc is quite well regarded I think, I've used it a few times. But i think you will find it theoretically...
  164. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    From the way I read your explanation, I think what you're doing makes sense... if you check out my thesis at the start of this thread, I do something similar I believe... fit a term structure to get the implied vasicek params, and then feed them into various bond pricing formulas. I dont see any...
  165. daleholborow

    Salary History

    Things are apparently very different in the USA. In my entire career, (having worked in a couple of different fields in two different continents), I have never been asked to provide evidence of my past salary, nor have I heard of such a thing asked of others. While I realise that employment...
  166. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    Mego: First, I would suggest that posting your question multiple times in different threads is generally frowned upon. Spamming the forum won't earn you much respect. Second, you don't really explain what you are trying to do, or why. You state that "my problem is there is not so much...
  167. daleholborow

    Who uses Latex?

    Anyone writing up a thesis would be advised to check out LyX, as someone else has already mentioned in this thread. It produces Latex output, but lets you keep from tearing out your hair in frustration which can result from working on the Latex markup directly. I'd do up all my assignments and...
  168. daleholborow

    Anonymity on the Web

    Deleting Twitter sounds like the next step in evolution... Don't lament its passing ;)
  169. daleholborow

    Anonymity on the Web

    I actually started using my real name on forums etc, as a constant reminder to myself that I could always ultimately be identified, so why pretend to hide. I find that using my real name forces me to think long and hard before posting anything, and I think that has saved me from responding to...
  170. daleholborow


    If you don't like programming, and you don't like data cleaning, and you don't like dealing with Excel, don't get into quant finance. It's that simple.
  171. daleholborow


    Ahahahaha... funnily enough, the only reason I looked at this post was because I wondered how on earth the DEA (drug enforcement agency) would relate to a quant forum ;)
  172. daleholborow

    "What salary do you require?"

    http://www.cnbc.com/id/43167213 Some interesting numbers on starting salaries...
  173. daleholborow

    Customized Excel

    I've seen a 3D rendering engine written in Excel in several articles on the net... it's powerful, or at least versatile. It's just also crappy ;)
  174. daleholborow

    Leroy_Williams, where have you gone?

    The quality of posts has really deteriorated as of late....
  175. daleholborow

    Is quant as a trade facing diminishing demands?

    *sigh* Instead of being condescending, maybe spend the same two minutes formulating a mildly polite response? @BryanSg, search this forum for the career guides, anything by Dominic Connor and possibly Mark Joshi, their pdfs offer a pretty good introductory explanation of the types of work...
  176. daleholborow

    Why aren't there a lot of girls pursuing a MFE degree?

    Ahahahaha.... if _I_ got invited to a client meeting and it was destined to end up in a strip club packed with hookers, _I_ would feel uncomfortable... my terrible gender affliction aside ;) Could I also offer a slight counter question, in regards to interviewing with a woman while wearing a...
  177. daleholborow

    Why aren't there a lot of girls pursuing a MFE degree?

  178. daleholborow

    Why aren't there a lot of girls pursuing a MFE degree?

    Sigh. I know this is going to blow up in my face, but... I find comments like this rather tedious and unfounded. Honestly, taught to see out the path of least resistance?? In a day and age where the USA has recently had a female presidential candidate, I'm getting kind of tired of being white...
  179. daleholborow

    What features would you like to see on Quantnet ?

    I might be missing something, but I keep getting emails every time someone responds to a thread that I've posted in, even though I've gone to settings and turned off "Preferences > Receive email notications of replies" and "Alert Preferences > Messages in Threads" (all options). I like to see...
  180. daleholborow

    SQL interraction with VS

    Without meaning to be argumentative, I question the use of WCF and how easy it is. I've seen it used rather badly/poorly on several occasions, and can't think of an instance where it has been used well. It added quite a lot to dev time, and product complexity. Have you had a different experience?
  181. daleholborow

    SQL interraction with VS

    I guess, without knowing all the specifics of your individual case and project, my comments definitely require disclaimers, but a lesson I learned myself the hard way is to ask yourself do you NEED to run your fitting every second? Minute? Once a day? In a job, would this code run once a day...
  182. daleholborow

    SQL interraction with VS

    You're talking specifically C++ vs C#? I don't think I've met the programmer yet who could squeeze that much performance out of either to make it matter, like I mention above, so much time is spent trying to "optimise" bits of code... only for foolish mistakes to slip through, its actually...
  183. daleholborow

    SQL interraction with VS

    Ok. I'm going to make a few assumptions. You have a potentially (very??) large dataset. You ONLY want the average, not the actual values themselves, to use in your application at this particular point in time. So, we're doing a very simple operation, to find an average of the records that meet...
  184. daleholborow

    How many programmers are on Quantnet?

    In a previous life, I was a pure analyst/coder. Now, I've made the transition out into more quant finance, but obviously that still involves a lot programming. But my terrible secret is that I've been smacked around at various times by the following: Java, ASP Jscript, Javascript, MSSQL, MySQL...
  185. daleholborow

    SQL interraction with VS

    Briefly: - Always avoid moving your application logic into your database layer, if at all possible. Alain is right. - Whereever possible reduce the amount of data you send to your application as early as possible by trimming out unneeded records at the database layer (which is part of why a lot...
  186. daleholborow

    Neural Network on Bond Rating,Database needed

    At various times, I've done various web post/retrieve calls for different projects. But nothing recently, and without more info than "flunks out", I couldnt make any useful suggestions. Any details on what the specific error messages are?
  187. daleholborow

    Neural Network on Bond Rating,Database needed

    Alrighty... with ABSOLUTELY NO WARRANTY, and provided SOLELY AS AN EXAMPLE of how to use C# and HtmlAgilityPack to try to expedite the retrieval of data from a website, I offer the following. Basically, its some code I hacked together to parse either a sample html file, or a URL, look for a...
  188. daleholborow

    Neural Network on Bond Rating,Database needed

    Yeah, I can probably upload some demo code to show people a quick and dirty hack on how to scrape some web-based data. I'll look for my project when I get home. I've been meaning to start up a bit of a blog to post entries for stuff like this, but lack of time and a black belt in procrastination...
  189. daleholborow

    Neural Network on Bond Rating,Database needed

    Does the academic institution you are studying under have any data systems available? I would guess that most finance schools would subscribe to some data (Bloomberg not as likely as it's expensive, possibly Thomson Datastream, Computstat, stuff like that). I've found it very hard (read: more...
  190. daleholborow

    Economic sugar-rush

    Oh, come on man... they made a cut of like, what, 38 Billion? Which, you know, divided into a stated deficit of 9 Trillion, or the projected shortcoming of 50 Trillion over the next few years, is what..... oh, if only I were better at math. But it must be significant, right?
  191. daleholborow

    Economic sugar-rush

    *phew* Crisis averted... everyone, please back to shopping. Everything is fine, once again. http://www.theaustralian.com.au/news/world/congress-reaches-deal-to-avert-shutdown/story-e6frg6so-1226036458627
  192. daleholborow

    Economic sugar-rush

    http://www.bloomberg.com/news/2011-04-05/u-s-fiscal-crisis-in-spitting-distance-commentary-by-laurence-kotlikoff.html Speaking of radical action.. or lack thereof.
  193. daleholborow

    Economic sugar-rush

    Any thoughts on where the metaphorical desk might be, to hide under when the roof is falling in? ;)
  194. daleholborow

    Economic sugar-rush

    I've been sitting back wondering, "Am I the only person here who thinks this epic money-printing circle-jerk can't end well?" I try to explain QE to my friends and family. It's kind of hilarious when they realise: "Oh... OOH... so it's just inventing money out of thin air?"
  195. daleholborow

    Best Programming Language for Finance

    Disclaimer: I haven't gotten my hands dirty with any OpenCL/CUDA yet. Other than few very basic demos, and reading up a few online tutorials etc. Oh to live a dozen more lives, and have the free time ;) @cgorac: But that said, I think you are correct. It's my impression that the kernals are...
  196. daleholborow

    Best Programming Language for Finance

    I'm kind of surprised at a couple comments here. Coming from an IT background, C# and .Net seem to me to be very popular / ingrained languages/technologies. There are a few .Net wrappers for CUDA/OpenCL now, and additionally, (and more relevant fo the later posts here), I believe there is a...
  197. daleholborow

    Bloomberg Plans to Hire 500 Techs in NYC and NJ

    Ruby? What the? I thought it died?
  198. daleholborow

    Buffett slams Black-Scholes and 'flat earth' economists

    I would say your bridge analogy is in effect exactly what Buffett is saying. I.e. "I believe, and am willing to bet with a lot of money, that my ability to value this financial product is better (more accurate?) than the general consensus". So, in Andy's article, he is complaining that he is...