Quantitative Finance Collector

My last day in office

Tue, 30 Jun 2009 10:01:05 +0000

Today is my last day in the office, I have made up my mind to continue to study a PhD, it is a hard decision without getting much support from my family, anyway, every coin has two sides, be positive, positive.

China -> Germany -> China -> Switzerland -> London -> Nottingham

I will have to go back to China for my student visa and stay there for nearly two months, visiting my family and friends, travelling around, etc., and come back to UK by the end of August, hopefully. In the meantime I have to reduce blog publishing frequency, but if you do have any interesting staff, please leave me at http://www.mathfinance.cn/contact-me, thanks.

Have a nice summer.

Tags - career

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Find MFE Program

Wed, 24 Jun 2009 08:52:00 +0000

Master of Financial Engineering (MFE) degree has increasingly become a shortcut for people willing to work at a financial institution, especially to pursue a Quantitative finance related career. There are dozens of universities around the world providing with MFE program,  for instance, Haas MFE, Columbia FE,  and NYU are indisputably among the best. Sadly or not, only a few people have the chance to study at these top schools, how do you choose other program then? which factors will you give priority when applying?  location, tuition, possibility to get financial aid, job placement?

Find MFE is a simple php+mysql page I wrote yesterday evening, the goal is to filter your ideal MFE program by the self-defined criteria, for example, you can say "I want to find a MFE program in United States, total tuition less than $40K, and with financial aid", the script will return the following MFE programs:
1.) Bentley College in  Massachusetts
2.) Florida State University in  Tallahassee
3.) Kent State University in  Kent
4.) Princeton University in  Princeton
5.) Purdue University in  West Lafayette
6.) The University of Arizona in  Arizona
7.) Vanderbilt University in  Nashville
Clicking the link leads you to a page showing the more detailed introduction of this program, including length of study, size of class, program website, etc. (some content requires you to be able to get access to those sites like Youtube, Flickr and Twitter.)

I have no idea if people would find it useful or totally rubbish, it just tests the water, anyway. I fully understand the accuracy of the searching results depends largely on the information collected, please do help to improve it by rating the MFE program, adding a comment or leaving a message. Thank you. Advanced search like the job placement can be easily added technically, depending on your feedback.

Find your ideal MFE at http://www.finmath.cn
Tags - mfe

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Regime-Switching Model library in Gauss

Tue, 23 Jun 2009 09:18:48 +0000

This is the most up-to-date version of the switching regression procedures built by Simon van Norden and Robert Vigfusson with help from Jeff Gable. This Regime-Switching Model library lets you to estimate a general class of regime-switching models along the lines of those described in James Hamilton's textbook. Key features and limitations of the code include:
one independent variable only
two states only
arbitrary number of observed variables may be included to explain time-varying transition probablities or state-dependent means
external c-code, analytical gradients and combined maxlik()/EM algorithms for fast calculation
descriptive statistics, plots and White's model-misspecification tests
cascading estimation
separate, faster code for "simple switching" models (i.i.d. mixtures of regimes.)

learn more and download at http://www.hec.ca/pages/simon.van-norden/codepage.html and a Guide to the Bank of Canada Gauss Procedures at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=50565.

Tags - regime , switch

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Vault career guide

Sun, 21 Jun 2009 20:14:45 +0000

This weekend's review is about vault career guide, I bet many people have heard of it or even used it, I remember when I looked for a job before graduation, the two books I read often were Heard on the Street: Quantitative Questions from Wall Street Job Interviews and Vault Career Guide to Investment Banking, 6th Edition, both of which provide with clear explanation and insightful experience on how to look for a job and prepare interviews efficiently, expecially on investment banking industry.

Vault.com is the leading media company focused on careers. Job seekers, students and professionals have discovered that Vault is the Internet's ultimate destination for insider career and education information.

Vault publishes over 120 career guides and its web site, features thousands of company, university, industry and occupational profiles. Additionally, Vault provides salary surveys, articles on workplace topics, a network of message boards for professionals, and job-related video, blogs and research tools.

Here is an opportunity to sign up for free membership on Vault.com and get Career Guides for Free., enjoy!
Tags - career

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Simulation-Based Estimation of Contingent-Claims Prices

Thu, 18 Jun 2009 10:56:07 +0000

Please allow me to share an interesting paper I came across this morning, Simulation-Based Estimation of Contingent-Claims Prices, the main point of this paper is to use Monte Carlo simulation, along with Maximum likelihood estimation (MLE), to reduce the biases caused by MLE method alone,

Quotation

A new methodology is proposed to estimate theoretical prices of financial contingent claims whose values are dependent on some other underlying financial assets. In the literature, the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is not necessarily the best method in finite samples.
This paper proposes a simulation-based method. When it is used in connection with ML, it can improve the finite-sample performance of the ML estimator while maintaining its good asymptotic properties. The method is implemented and evaluated here in the Black-Scholes option pricing model and in the Vasicek bond and bond option pricing
model. It is especially favored when the bias in ML is large due to strong persistence in the data or strong nonlinearity in pricing functions. Monte Carlo studies show that the proposed procedures achieve bias reductions over ML estimation in pricing contingent claims when ML is biased. The bias reductions are sometimes accompanied by reductions in variance. Empirical applications to U.S. Treasury bills highlight the differences between the bond prices implied by the simulation-based approach and those delivered by ML. Some consequences for the statistical testing of contingent-claim pricing models are discussed.

Download the paper and accompanying matlab code at http://www.mysmu.edu/faculty/yujun/research.html
Tags - simulation , mle

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Quantitative Asset Management library

Mon, 15 Jun 2009 12:51:45 +0000

I would like to take this opportunity to thank the author Thierry Roncalli for letting me know this great source.

QAM (Quantitative Asset Management) library:
QAM is the Gauss library which has been developped for the lecture notes on Quantitative Asset Management.

This library contains procedures:
for computing backtest (monthly rebalancing, currency hedging, strategy leveraging, fees managing, performance reporting, etc.).
for portfolio allocation (Black-Litterman, Markowitz, ERC, MDP, risk Bbdgeting, index sampling, 130/30, MSR, Sharpe style analysis, etc.).
for computing numerical algorithms (simplex set, Markov generator, quadrature rules, Fokker-Planck equation, etc.).
for derivatives pricing (dynamic delta hedging, Hedge fund replication, etc.).
for statistical methods (Artificial neural networks, copula, CSS, FLS, GMM, Huber, LAD, Logit, MARS, ML, NLS, PCA, Probit, Quantile regression, QP, Robust, Non-parametric Kernel regression, RBS, Tobit, factor models, etc.).
for time series analysis (arch, garch, vecm, spectral analysis, wavelets, etc.)
for strategy backtesting (covered call, bull-spread, carry trade, variance swaps, vix, long/short equity, absolute return strategy, trend-following strategy, etc.);
for stock screening (gini optimization, scoring methods, boosting, baging method, etc.)
for risk management (stop loss strategy, take profit strategy, concentration, etc.)

Please download the manual, library and lecture notes (in French only, unfortunately) at the author's webpage.
Tags - library , quantitative

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Morningstar investment research

Sat, 13 Jun 2009 15:57:08 +0000

This weekend's review is about Morningstar investment research, needless to say, research is the key to success for investment. Founded in 1984, Morningstar is one of the most respected names in independent investment research and opinion, as well as the recognized leader in stock and mutual fund analysis. The mission is to create great investing products to help people reach their financial goals.

Consistently ranked among the best investment sites on the web, Morningstar.com offers a wide range of online portfolio management tools, financial data, unbiased stock and fund analysis, video commentary, and more.

Because the products focus on sound investing fundamentals and take a friendly, easy-to-understand approach, Morningstar appeals to a wide range of investors -- from beginners to the most experienced. They are likely to be...

# College educated (80%)
# Male (82%)
# Managing a portfolio averaging $870,000
# Living in households averaging $150,000 per year

Get access to Morningstar Investment Research Free Online Investment Tools
Tags - research , investment

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Vector autoregression (VAR)

Fri, 12 Jun 2009 12:52:30 +0000

Neil left me a message: "...I am looking for examples of Vector Autoregression so I can code into excel, do you know of any links or any books that have this as code..."

Vector autoregression (VAR) model is one of the most successful, flexible, and easy to use models for the analysis of multivariate time series. It is a natural extension of the univariate autoregressive model to dynamic multivariate time series. The VAR model has proven to be especially useful for describing the dynamic behavior of economic and financial time series and
for forecasting. Wikipedia has a detailed explanation on it.

Unfortunately I have not used it except once I tried the built-in VAR function in Eviews over 5 years ago, when one of my classmates did a seminar presentation on it. Sorry I couldn't find useful VBA code, what i do get is a sample spreadsheet showing the VAR Series Analysis & Results but it seems the author intentionly hides the macro code, http://www.afpc.tamu.edu/courses/622/files/lecturedemos/Lecture%2007%20Vector%20Autoregression.xls.

If you are happy with Matlab, here is a Vector autoregression (VAR) package where you can track line by line how to implement and use the model, hope it helps, http://www.rri.wvu.edu/WebBook/LeSage/etoolbox/var_bvar/contents.html
Tags - vector-autoregression , var

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Sobol sequence generator

Thu, 11 Jun 2009 20:02:37 +0000

Sobol sequence has been shared at posts Sobol and Generalised Faure sequences, halton and sobol sequences, and Primitive polynomials for Sobol sequences, respectively. Please read Low-discrepancy sequence at Wikipedia for introduction.

Here is another Sobol sequence generator containing the primitive polynomials and various sets of initial direction numbers for generating Sobol sequences. The reason I open a new post for it is it is able to support up to dimension 15000, incredible. Check it out at http://web.maths.unsw.edu.au/~fkuo/sobol/index.html.
Tags - sobol , monte carlo

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Matlab toolbox

Mon, 08 Jun 2009 16:09:50 +0000

Dozens of Matlab toolboxes(packages) for downloading, including the following classifications:
Audio - Astronomy - BiomedicalInformatics - Chemometrics - Chaos - Chemistry - Coding - Control - Communications - Engineering - Data Mining - Excel - FEM - Fuzzy - Finance - GAs - Graph - Graphics - Images - ICA - Kernel - Markov - Medical - MIDI - Misc. - MPI - NNets - Oceanography - Optimization - Plot - Signal Processing - Optimization - Statistics - SVM - Web - etc ...

Recommended matlab toolboxes:
Kernel Density Estimation Toolbox
http://ssg.mit.edu/~ihler/code/

BOOTSTRAP MATLAB TOOLBOX
http://www.csp.curtin.edu.au/downloads/bootstrap_toolbox.html

CompEcon Toolbox for Matlab
http://www4.ncsu.edu/~pfackler/compecon/toolbox.html

Random Neural Networks
http://www.cs.ucf.edu/~ahossam/rnnsimv2/

Logistic regression
http://www.spatial-econometrics.com/

ARfit: A Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models
http://www.gps.caltech.edu/~tapio/arfit/

Time Series Analysis
http://www.dpmi.tu-graz.ac.at/~schloegl/matlab/tsa/

Interested ppl may download more at http://www.tech.plym.ac.uk/spmc/links/matlab/matlab_toolbox.html
Tags - matlab , toolbox

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