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Search results

  1. euroazn

    Purest way to trade option skew?

    Hey mates, simple question to formulate, not sure if it's trivial to answer. What's the purest way to trade index skew? On the one hand, it might be tempting to say a delta-hedged risky, but you run into the problem that strikes are fixed, so if underlying moves enough, you might have been...
  2. euroazn

    Multivariate Generalized Least Squares

    Anyone know if there's a source online where Multivariate Weighted Least Squares is implemented in Excel/VBA? Would rather not route R code through Excel and I want this to be an easy sheet to work with... Cheers mates!
  3. euroazn

    Analyst vs Associate Positions

    Hey everybody, long time no talk! My dilemma is as follows: although I am technically an undergraduate, I will be receiving a Masters simultaneously along with my Bachelors next school year. So far I've been applying for Summer -Analyst- positions, but would it be a good idea to apply to...
  4. euroazn

    Need some help with autoregressive models

    There's a bunch of literature out there about empirical/data-fitting/statistical concerns regarding autoregressive times-series models, but is there anything out there about theoretical implications of a time-series being autoregressive? For example, when does \((\lim_{t \to...
  5. euroazn

    Looking for scholarly source about security return predictability...

    Last month I was browsing Google Scholar in search of some stylized facts regarding security returns and I found one that caught my eye in particular: that although security returns are not completely predictable, the absolute value of returns is quite predictable and therefore the uncertainty...
  6. euroazn

    Citadel Summer FTAP Superday

    Hey guys, haven't really been on here for a while. I've been accepted to Citadel's superday for the summer FTAP program and was wondering what kind of material is emphasized in the interview. C++ seems to be big; should I concern myself with memory management and the like? Additonally, about...
  7. euroazn

    Is it ok to deviate from chronological entry when detailing work experience in a resume?

    Title pretty much says it all. I'm currently a freshman and will be applying to more financy (read: less quantitative) positions this summer, so I wanted to move a more relevant position ahead of where it should be based on reverse-chronological order. Is this ok, or strictly taboo?
  8. euroazn

    The Official Undergraduate Discussion Thread

    ITT We actually talk about a Undergraduate Quant Education: talk about schedules/internships/whatever, but try to keep off-topic chatter to a minimum. I'll start off by posting my planned dream schedule (this is for Carnegie Mellon.) Any ideas as to what courses I should add/drop? The only...
  9. euroazn

    Useful Practice If You're Interested In Trading

    http://www.tradertest.org/ The trading simulation and mental math portions are of particular use..
  10. euroazn

    S&P Downgrade Effects

    Well. It finally happened, the first time since 1917. US Treasuries are at AA+. This has some serious implications. Many funds/companies worldwide have depended on Treasuries as collateral since they are required to use AAA securities; with the downgrade, we're looking at a rapid sell-off. What...
  11. euroazn

    Which Quant Shops Hire Straight Out Of Undergrad?

    The title says it all. I'm particularly curious in NYC non-trading positions (it can be related to trading but not trading positions themselves.) For example, do Two Sigma/DE Shaw/Citadel hire undergrads as quantitative analysts or no? Of course, if you have something to say about...
  12. euroazn

    Where do you stand politically?

    Just out of curiosity... what is the average quantnet-er's stance politically? This website does a pretty good assesment. I'm a right-libertarian. And you, Quantnet?
  13. euroazn

    Why you should cry for the intelligence of the human Race.

    Hey quantnet! What's 48/2(9+3)? 288, right? That's 1st grade math... http://forum.bodybuilding.com/showthread.php?t=133389973 http://www.wallstreetoasis.com/forums/48÷293 The first thread actually had a poll and 2 won by a slight majority...
  14. euroazn

    Fixed Rate Loans?

    Just out of curiosity, is there any private lender which offers a fixed rate on student loans? Thanks!
  15. euroazn

    Help Me Choose Where To Go For Undergrad

    Hey there, Quantnet! Alright so I'm almost through getting my college decisions. Now, help me choose where to go :D Baruch Macalulay (Full-Ride) - So about 10-15k a year. University of Maryland Scholars (8k/year Presidential Scholarship) So about 0-12k a year (0 if I choose to live at home) -...
  16. euroazn

    Happy Pi Day Everyone!

    3/14 !!!!!!!!!!!!!!!!!!!!!! I can't believe I'm the first poster on this topic. :eek:
  17. euroazn

    How much does Institutional volume account for stock exchange volume?

    How much does Institutional volume account for stock exchange volume? That is, what percentage of daily exchange volume is accounted for by institutions. Include sources if you can =) Thanks!
  18. euroazn

    Thoughts on Hedge Fund Managers?

    http://www.wallstreetoasis.com/blog/mirror-mirror-on-the-wall-will-john-paulson-be-the-greatest-of-them-all Thoughts?
  19. euroazn

    Binary Securities

    Hey folks. Just wondering, what kinds of binary securities are there? That is, what securities have only two discrete pay-offs? Alternatively, are there portfolios of securities that can achieve such a result? Ideally, is there a security that returns (net) 1$ with probability p, and -1$ with...
  20. euroazn

    Help with a mathematical statistics question!

    Can somebody help with 7B? http://www-stat.wharton.upenn.edu/~zongming/teaching/stat431/hw/hw1.pdf Thanks :)
  21. euroazn

    Funny Site

    This place makes me LOL: http://thedailywtf.com/Articles/Comments-from-a-Madman.aspx There are many great posts though, all found on CodeSOD - The Daily WTF
  22. euroazn

    Somebody help me out with a brain teaser...

    "When 13 is inputted into a certain formula, the result is 7. Under the same formula, 2352 yields 16, 246 yields 14, 700 yields 16, and 1030 yields 14. If 9304 is inputted, what would be the result? " Highlight for answer: ------------------------------------- 19...
  23. euroazn

    Anybody Grow Up On This?

    http://en.wikisource.org/wiki/The_Mathematical_Principles_of_Natural_Philosophy_(1729) Principia Mathematica (by Newton)... good times....
  24. euroazn

    Isolating and Buying Dividends with Options

    Has anybody actually done this? It is easy enough to do: Essentially, you buy the actual stock and short the synthetic stock. Specifically, buy the stock, and then go short a call with strike price equal to the stock price, then go long put with strike price qual to the stock price, and...
  25. euroazn

    List of Hedge Funds in the DC area?

    Anyone have access to a list of Hedge Funds in the DC area...
  26. euroazn

    Suggestions for obtaining a summer internship?

    Hey guys! I'm already starting to think about my next summer internship... So for those of you who don't remember me, I'm currently a senior in high school. I was an intern developer last summer for a commodity information firm, and now am an intern (ugh... Operations :/ ) at Morgan Stanley...
  27. euroazn

    Proof that Charting could not be Mathematically consistent?

    Hey guys, what do you think of this primitive proof that charting (technical analysis) could not be mathematically consistent? It's not particularly rigorous and I'm sure there's some errors, but is the idea worth looking into? I kind of glossed over some details, tell me if you need any...
  28. euroazn

    Accelerated Program

    What is the quality of the Accelerated Mathematical Finance Master's Degree Planning for Rutgers Undergraduate Students program? Can anyone elaborate on the cost? Do you end up saving money or paying more? Thank you very much.
  29. euroazn

    Old Article

    This is an old-ish article, but still relevant. What are your thoughts? They Tried to Outsmart Wall Street - NYTimes.com
  30. euroazn

    How is this for a theoretical undergrad schedule?

    I've attached a schedule that I made using the UMCP course catalog (University of Maryland Undergraduate Catalog 2010-2011). Successful completion of this schedule would get me 3 majors: Finance, Computer Science, and Mathematics (Statistics Track). I could choose two of those to be separate...
  31. euroazn

    Undergrad

    Where should I go for undergrad? My current thoughts are CMU NYU UPenn UVA MIT But they're expensive/hard to get into So how are these schools (for _undergrad_) UMCP Binghampton Baruch How is job placement at the last three, and for Baruch, is social life really that bad? :( Thanks for your...
  32. euroazn

    Anyone watching Wallstreet 2?

    Come on, isn't anybody here into Gordon Gekko :P I'm just afraid I'll be disappointed :-ss
  33. euroazn

    Quick questions.

    Hey all. Avidly reading the forum/articles; lots of good stuff here. I had three questions. 1) How important is it to go to a "top-tier" school in undergrad and grad/phd respectively for a quant job. 2) Is there any job in the _finance_ industry that can lead to a quant job? 3) What are the...
  34. euroazn

    C# Excel-Plug In Ribbon Question

    Hi. I'm developing a C# Excel Plug-In and I was wondering if there was a way to obtain the current application in use from the Ribbon object. :) Thanks in advance.
  35. euroazn

    What sort of educational track should I persue if I want to become a quant?

    Hello everyone! This is my first post on this forum. I am actually currently a high school student, and I am considering a future career as a quant. I have a pretty good aptitude for mathematics (I took calculus my freshman year of high-school), computer-science, and finance. I have already...
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