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Hello everyone, I am trying to write a user defined function in Excel that will allow me to select a range of cells and calculate the annualized return from monthly returns. I can accomplish this using an array function: {=PRODUCT((1+ET17:HS17)^(12/COUNT(ET17:HS17)))-1}. The problem, however...

I am working on a project that generates twelve months of random returns subject to certain constraints such as annual return, annual volatility, and upper and lower limits for any single month return. Other constraints are a skewness of +- .03 and a kurtosis >= 2 and <= 4 To do this, I am...

I am working with a data set that is set up as follows: There are several thousand ticker symbols whose daily returns are binned in 18 sections throughout the day. There are between 25 - 30 days of data for each ticker. I want to find the mean return for each symbol and create a data set...

I'm not sure if this is the right forum because I'm not exactly recommending a book, but does anyone have A Practical Guide to Forecasting Financial Market Volatility by Ser-Huang Poon? Here's a link to the amazon page: Amazon.com: A Practical Guide to Forecasting Financial Market Volatility...

I came across this job posting for a position at ICE as a quantitative energy and commodities analyst: ICE: Job Listing They are seeking those with an MFE degree, so I'm sure more than a few on this board will be interested. -Christian

Andy, can you please remove this post until further notice?

Interesting article from Bloomberg today - http://www.bloomberg.com/apps/news?pid=20601109&sid=aJ5z5JLM4JP8&refer=home "Wall Street and Silicon Valley are courting Zhang and graduates like her -- kids with top grades, finance and math skills and a couple of languages -- more heavily than...

Jim Simons, of Renaissance Technologies and the Medallion Fund (the super $6 billion quantitative hedge fund) was first a mathematician, then a fund manager. I came across a paper that he wrote. [math/0701077] Axiomatic Characterization of Ordinary Differential Cohomology Interesting, but...

If anyone is like me, they have some finished books that won't be read anymore. I want to start a thread where people can connect to trade books. At the moment I have: Liar's Poker - Michael Lewis - this one shows all the antics and craziness in 1980's Solomon Brothers When Genius Failed -...

Does anyone know anything about Calyon Financial? I've looked at their website, so I know the basics, but I'm wondering more about prestige, size, influence, culture, etc? Has anyone worked there, or known anyone that has? If not, have you heard anything about the company? I'm being very...

As I understand, much of the skills gained in this financial engineering are geared towards working at hedge funds specializing instruments such as derivatives, or developing trading methods, but I'm wondering what other areas of finance could these skills apply? Would other buy-side firms...

Anybody here interested in forex and pay attention to the NFP report today? Here's a link to the article. http://biz.yahoo.com/ap/070202/economy.html?.v=6 Here's a chart from dailyfx.com http://www.dailyfx.com/charts/Chart.html?symbol=EUR/USD Open up the 15 min candlestick chart. Notice the...