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  1. HyperVolatility

    Best Programming Language for Finance

    As frequently happens when these kind of threads get created.....the discussion gets off topic. The guy comes from a Finance background (like me) and he is not going to do any hardcore maths or taking a quant position. IMHO, learning C++ for a finance guy is a waste of time. Many people would...
  2. HyperVolatility

    I am Hedge Fund partner and it's not that great

    Thanks for the article, however, I have to agree with Dominic. Thinking that starting up a business from scratch would be as easy as dreaming of it is simply naive !!! The insights are very informative because they clearly list all the efforts that are required in order to create a new fund but...
  3. HyperVolatility

    How to Learn VBA

    @ Amanda: Congratulations for being an example of a sigma3 event........lol ( I love your profile picture) @ Deltahedge: 1) Nobody ever said that VBA is more powerful than C++ but since you did not specify which type of trader you wanna be it's not really clear what you want to do (do your...
  4. HyperVolatility

    How to Learn VBA

    Hi Amanda.Thank you very much for proving me wrong....ahahahah.......but the guy is mainly an academic which is a different story I had a look at the links that both you and Andy posted and the guy is clearly a very good quant ............however I tend to think in terms of probability and...
  5. HyperVolatility

    How to Learn VBA

    @ deltahedge: all the advises you got so far are pretty good ..................for a quant or for a high frequency trader.....so my suggestion is: ignore them!!! As you said, you come from a finance background and you are doing a master in the same field, it means that you are not going to be...
  6. HyperVolatility

    Black Swan Index

    This is my 2 cents to the thread: The Index will be extremely popular amongst fund managers, portfolio managers and options trader because OTM options are often used for hedging purposes. Buying OTM options is effectively a way to fight agaist fattailedness risk and that is precisely why...
  7. HyperVolatility

    Financial analyst - opinions?

    I just want to give my 2 cents to the thread: 1) I agree with the fact that being a well-known analyst can affect what large investors do 2) Being a stock analyst and an Index analyst is a completely different story because stock prices are much more volatile then Indices'ones and therefore...
  8. HyperVolatility

    Why is stock market still so bullish?

    "May 21, 2011" is that the new full moon day? \\:D/
  9. HyperVolatility

    American Options pricing

    "Ahh, but isn't that the crux of the problem? =P" Of course it is but it seems you missed the "GO FOR THE TREE APPROACH" part :D
  10. HyperVolatility

    Why is stock market still so bullish?

    The volatility should increase around March-April but this not sure and the surge can take quite a lot before "showing off".....the current volatility level is probably one the lowest touched so far and even the VIX and the VXN Index are trading at ridiculous levels. Implied vol indeed appears...
  11. HyperVolatility

    Trader

    this video is called "TELL ME WHY YOU WANT TO BECOME A TRADER" I am sure it will help you figure out the best answer
  12. HyperVolatility

    American Options pricing

    there are different techniques that can be used to price an American-style option. However, a binomial or a trinomial tree will work quite efficiently if you allow the model for at least 30-40 steps (depending on the expiry date). There are thousands of suggested models to price such options...
  13. HyperVolatility

    advice on how to find internship opportunities?

    Brute force is a perfectly fine method to look for job opportunities. However, if you do not know what you want you cannot decide where to go. 1) Find out the roles you would be interested in (at least 3) 2) Make a list of the companies that are actually in that type of business 3) Select the...
  14. HyperVolatility

    MetaTrader FX trading platform

    There are several reasons but I will try to list a few: 1) Re-quoting 2) Technical Indicators cannot be easily mixed up together 3) Looking at past price moves is very annoying (you don't expand the view of the chart but you have to literally drag the graph) 4) The graphical definition is...
  15. HyperVolatility

    MetaTrader FX trading platform

    MetaTrader is one of the most overvalued trading platforms in the world. The only word I have for that platform is: Mediocre. It is not a case if all the worst,scam, fraud prone and less reliable FX companies recommend you that platform. Have a look at FXCM or CMC markets. Their platforms...
  16. HyperVolatility

    Trader

    Dude ...we are saying the same thing............of course if you are a trader you do not want to go to the MO/BO and spend like 2 years there in order to get back to the FO but many times the competition is fierce and you are forced to get a job which is "related" to trading (risk management...
  17. HyperVolatility

    Trader

    @ Alain: Yes you are correct.I forgot to mention it.My apologies @ Goldski: Yes, you do have the opportunity to become a flow trader at a bulge bracket.
  18. HyperVolatility

    Trader

    Being a trader for a proprietary trading firm does not have anything to do with being a trader for an investment bank.In the second one, you do a completely different job...you play a totally different game since you are negotiating the price...you are literally making it. However, let's...
  19. HyperVolatility

    Trader

    1) if you just execute orders you are going to be an execution trader (good luck for the night shifts) but many firms have got algorithms implementing iceberg orders so they do not really need a human being and thet is why I did not mention this type in the first place. However, if the firm...
  20. HyperVolatility

    Undergraduate Degrees

    I think Applied Math + Computer Science is the most appropriate even if I would suggest: Physics + Computer Science. It depends on which type of quant you want to become.However, since most of them are employed in High Frequency Trading and Credit Derivatives Structuring / Pricing , I would...
  21. HyperVolatility

    Trader

    If it is a broker/dealer and it is not a bulge bracket you are probably going to enter an apposite position to the one just entered by the customer. Usually, the dealing desk of a brokerage firm makes most of the moeny from trading against their clients. The majority of customers (around 80%)...
  22. HyperVolatility

    can't know which path is suitable.

    This statment is true as long as both the candidates have no experience. However, in many cases an MFE graduate has a 1 year experience in the industry, which is usually more useful in terms of career, by the time PhD student takes the degree. Many PhDs are still wanted becuse MFE graduates...
  23. HyperVolatility

    smile

    I agree with much of the things you said. However, I would suggest a different interpretation of some of the statements you made: 1) "equity skews are bid for puts is because of the premium people pay for the insurance the low side otm put provides" The premium is not the cause but the...
  24. HyperVolatility

    can't know which path is suitable.

    Just go for the 1st option......get some experience and then go for an MFE. A PhD is simply a 5 year programme in which you become a great expert (at least theoretically speaking) in a particular field. A PhD is not going to make you smarter and nowadays experience is more important than a...
  25. HyperVolatility

    Tracking realized volatility

    If you are going to follow the mark-to-market approach you are going to miss information. Should you simply want to see how P&L changes you can just run a Monte Carlo Value-at-Risk and look at potential outcomes.(if this is what you want. im sorry but you dont make it clear in your previous...
  26. HyperVolatility

    Black Swans of 2011 ?

    To be honest, Apple buying Facebook is not comparable to the impact that the Dollar Index or the Fed can have on the general economy. The Dollar Index rose because of euro.If you look at the way the index is calculated you will realise that the euro accounts for like 40% of the total. In...
  27. HyperVolatility

    Tracking realized volatility

    It is wise using a combined approach. Try to mix parametric models (Heston,SABR,Garch) with nonparamentric vol models (Parkinsons,close-to-close) and then contrast the outcomes. Do not use only 1 measurement because a single model will be never be sophisticated enough to capture all the...
  28. HyperVolatility

    PhD is a waste of time

    A PhD is often required to get into the industry but if you want to get into finance with a PhD in physics is not a great idea. People with no knowledge of finance should try to get into High Frequency Trading where machine learning and signal processing is more useful and you dont' need to...
  29. HyperVolatility

    Trader

    that's so true !!!! However in the previous list I forgto to mention execution traders: they get the order form the fund manager and they break it down into little pieces in order to get a favourable price and diversify risk. Obviously, many algorithm can do that more efficiently and at a...
  30. HyperVolatility

    Trader

    Being a trader does not necessarily mean being good at predicting price direction. A day trader usually waits for a signal to be generated (she employes a trading system or a strategy) and then enter the market placing a profit target and a stop loss. (this applies to equity-futures-fx...
  31. HyperVolatility

    Is this an appropriate moment to apply for quantitative modeling jobs??

    I think you should clear your mind first and find out which role is more suitable for you. if you have a PhD in computer science with a bachelor in applied maths means that you know a lot about numerical methods,programming and neural networks but almost nothing about finance,hence, it is wise...
  32. HyperVolatility

    Free Financial News Service

    there's no way they are going to give you live feeds for free. you can use Bloomberg TV which is for free but in order to have reliable live data you should pay them. Same thing applies to Reuters. www.hypervolatility.com
  33. HyperVolatility

    GMM in EVIEWS

    This could be caused by heteroskedasticity. In Eviews when you calculate parameters using GMM you can weigh the matrix by ticking the Cross Section box(White covariance matrix). The software will estimate parameters weighting them according to the variance in the time series and this should...
  34. HyperVolatility

    Examining Maximum likelihood estimation

    In order to estimate parameters when the sample is quite volatile you can always use the MLE with the Heteroskedasticity Consistent Covariance of Bollerslev-Wooldridge. It will "adapt" your coefficient estimations to the sample variance. OLS provides the same performance the MLE does in case...
  35. HyperVolatility

    Independent Valuation Team at Barclays Capital

    I knew a guy who used to work there as a product controller and according to what he told me the dept is more "accounting-skewed" than quant-oriented. Do not really know about career path,sorry Hope this helps good luck www.hypervolatility.com
  36. HyperVolatility

    Examining Maximum likelihood estimation

    Spot on. the log-likelihood value is a very good indicator and the likelihood ratio.Alterntively you coud use Wald's coefficient restrictions or confidence ellipses. MLE is probably the best method to eastimate parameters and I strongly recommend it for any stastical analysis you do regardless...
  37. HyperVolatility

    Is an MFE a good idea for a Math PhD?

    As Andy rightly said the fact that many people did a MFE does not mean it will work out well for you too. However, as a piece of advice, if you look for a career in quant finance you dont need a MFE if you have a PhD in Math. Most job posts in High Frequency Trading or Quantitative Analyst do...
  38. HyperVolatility

    Contrarian Investor Sees Economic Crash in China

    the fact that China is a bubble is well known....the problem is when is it going to burst? Is China's growth rate sustainable? Historically, countries with tremendously high growth rate experienced sharp retracements. China is growing because the work-labour is cheap.end of the story. they...
  39. HyperVolatility

    smile

    the BSM model is obvioulsy just an approximation of the reality where everything is static, in fact, the volatility that you get out of the BS is said to be deterministic and not stochastic. The vol smile exhist because: 1)OTM options are usually more volatile than ATM and therefore they...
  40. HyperVolatility

    Paul Wilmott: most quants are stupid

    "Many quant books contain vast volumes of unrealistic mathematics. Some people get carried away with the beauty of this mathematics with no corresponding understanding of finance and, more importantly, of human nature." I could not agree more. I see many colleagues that live literally in...
  41. HyperVolatility

    Heston and Nandi model (2000)

    I dont use R but in the case you don't find the MLE code there you can estimate GARCH parameters using Excel Solver even if it is not extremely accurate www.hypervolatility.com
  42. HyperVolatility

    Quantitative Easing (QE2)

    I stated that prices are not justified because in the past such macro economic conditions would have never broguht the S&P500 to a 2 months rally !!! Obviously, that is my opinion and therefore biased but I based my analysis on what happened in the past. THX FOR READING MY WEBSITE
  43. HyperVolatility

    Future Trading Desk: What Tools are Needed?

    I sincerely think that the majority of trading desks will look like a huge "simulation lab" and FORTUNATELY we will see more skilled people running desks and managing portolios. I do agree on the increasing attention for the long-term particularly because most of the recent papers are focusing...
  44. HyperVolatility

    A confusion needed to be resolved

    you could potentially get the same price but in terms of returns distributions you are talking about 2 different worlds. Look at it in terms of REAL PORTFOLIO RETURNS accademically speaking you could get the same price even using different vols but in real terms a wrong volatility estimation...
  45. HyperVolatility

    Quantitative Easing (QE2)

    The QE2 brought more clouds than sunny days to financial markets. the S&P500, Nadaq, DJ EuroStoxx and so on did not really react like it was expected they would because they started to jump up and down without taking a clear direction. I remain highly sceptic because these measures are simply...
  46. HyperVolatility

    Quantitative Easing (QE2)

    The Fed knows perfectly well that this is not going to be enough. it is just a desperate attempt to convince naive investors to buy in order to keep up the market. Some journalists are hiding purposely some news with a specific aim : BLIND PEOPLE !!! let's be honest: would you bet a large...
  47. HyperVolatility

    Measuring Volatility from historical data

    In the reality the close-to-close formula is generally used because the closing price is considered to be the most important one but this is not true anymore because volatility increased and in many cases the closing prices is just an opposite consequence of the real trend. Let's say we have...
  48. HyperVolatility

    Limitation of black scholes

    I almost forgot that if you want to price correctly options using volatility you can always have a look at my website www.hypervolatility.com
  49. HyperVolatility

    Limitation of black scholes

    you can still use the BSM model even if I'd recommend you to use an estimation of volatility which is not the VIX because that would lead you to overprice the options itself. However, I have to agree with Joy Pathak both the binomial (or trinomial) tree and Monte Carlo simualtion work quite...
  50. HyperVolatility

    time series methods and derivative pricing methods

    An edge over the crowd can be earned if you price a derivative better than someone else. this is particularly true for options where the volatility forecasting is a crucial factor for traders. the BSM model is quite obsolete and you should look at asymmetric GARCH models, Heston model or the...
  51. HyperVolatility

    GARCH Parameters Estimation

    GARCH Parameters Use Excel Solver to calculate the parameters but you have to be careful because Solver is not extremely reliable and sometimes the parameters are a bit too appoximate. have a look at your univerisity maybe they have got Eviews, MatLab or R However, if you want to know more...
  52. HyperVolatility

    New Quantnet members say hi

    Hi Hello everybody, I am a Volatility Trader , I have an MSc in International Finance with a dissertation about asymmetric effect of volatility using GARCH models and I am the creator of the website www.hypervolatility.com where you can share,read and comments market moves and volatility forecasts.
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