l*******1
发帖数: 113 | 1 1.
What's expected length of the longest run of heads in n tosses?
2.
what's the expected maximum drawdown to the gambler when he is using a
double or nothing strategy to bet on the number of heads?
i think 1,2 are related.
Any opinions appreciated, thx |
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s*******t
发帖数: 4 | 2 If it is the group led by Yin Luo, it's a relatively new quantitative strate
gy group and a very good one. They ranked top among sell-side quant strategy
group in this year's survey as they produced a few interesting papers.
Since they directly manage clients, it's a front office desk. |
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q**j
发帖数: 10612 | 3 这种搞股票的low frequency quant还有前提么？
strate
strategy |
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i****e
发帖数: 78 | 4 I often see bank's report printing both return and
sharpe for long only, long/short,etc strategies.
I once asked one bank strategist, he said it is based
on leverage ratio, I didn't ask more detail because I ran
out of time. Do you guys have any sense how banks calc those
numbers? |
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s******r
发帖数: 324 | 5 bank's number are all fake anyway because bank's inherent leverage is very
high. But if you want to calculate approximately, for long only, you can
assume you have 1 leverage, for long short depends on the strategy, for
stock picking long short probably assume 150/50, 2 times leverage, for stat
arb, you can assume 8 times leverage. For option book, you can assume 20
times leverage. |
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n*******1
发帖数: 50 | 6 what size are you talking about? You must tell us the capacity of your
strategy.
trade |
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l***m
发帖数: 920 | 7 有很多东西可以制约trading strategy。
比如说如果股票A和B平时价格都不变，一年只在某一两天大涨或大跌，或者只在VIX非常高的时候才波动得很厉害，那这个pair trading就非常biased。
或者你测试相关性的价格是daily close price，但实际操作中你可能没办法买卖close price。
exchange rule也会影响，比如在中国，你没办法short sell，如果两个股票你需要long一个short另外一个，那你就不能使用这个strat，除非你已经有inventory。
再比如，如果两个stock不在同一个exchange，或者同一个国家。可能有financing的问题。还可能会有汇率风险。比如同一公司在两个国家的listing，看上去似乎他们每天都会同时涨或者同时跌，但如果考虑货币汇率一直在变，那可能pair trade就不可行。 |
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a**U
发帖数: 115 | 8 笨蛋！strategy就是买低卖高。你们都是弱人！ |
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u***y
发帖数: 87 | 9 但是应该还是可以从这些曾经有用的strategy 里面学习再改进把。。
e.
short |
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A********t
发帖数: 29 | 10 FixedIncome is difficult to play now. 0 interest is extended to 2015 in
last meeting. It will be continue to be extended again and again like in
Japan.
Japan's 0 interest was there for almost 20 years now.
The fixed income market is totally dead.
The equity market volume is down, and some HFT totally quit the equity
market.
Only the long term discretionary/macro strategies can survive now. |
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h***s
发帖数: 35 | 11 Hello Buddies,
A Chinese company wants to find an expert with trading strategies on index
based derivatives. And it's possible to become partner. If you are
interesting, please send email to h***[email protected]. Thank you. |
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t*******8
发帖数: 67 | 12 Hi, all,
There are multiple junior quant roles in strategy division of a premium bank
. Location, Midtown, NYC.
they need quants from mortgage, credit, muni, interest rates and single name
equity options.
1-3 relevant exp is required.
If you are interested, please send resume in word version to tgan @
optionsgroup dot com.
Thanks.
Thomas Gan, Ph.D.
Director
Options Group
http://www.linkedin.com/pub/tom-gan/3/64b/93a |
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d********t
发帖数: 9628 | 13 不要乱贴金，你这是execution strategy |
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y*****r
发帖数: 327 | 14 难道没人做这个吗？signal受到后strategy怎么run应该是个state machine，想知道有
没有这方面的例子。
★ 发自iPhone App: ChineseWeb 1.0.1 |
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L*******t
发帖数: 2385 | 15 标题党了。。大家列举一下Hedge Fund strategies呗。。
Equity，Fixed Income，Derivatives，Commodities。
按照这个说呗。
多谢各位大牛了，求科普！ |
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c**e
发帖数: 4439 | 16 你这些应该都不是hedge fund strategies
什么merger arbitrage,global macro, long/short才是 |
|
发帖数: 1 | 17 小白想请教一下大家，guggenheim partners是一个什么样的公司？有一个去liquid
strategies group做equity research的机会，但是对这个公司不是很了解。 |
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f**********t
发帖数: 1001 | 18 准备面试中。那个组叫email strategy group，职位是Statistical
Marketing Analyst。描述是：“This person will provide ad-hoc
data analysis and work with team members to analyze key
variables that impact email performance and list growth.”需
要"create models to optimize response"。
这个email performance咋理解？是由顾客对于email的response来决定的么？
还有一种理解就是让垃圾邮件尽可能少，把垃圾邮件过滤掉。
另外都有些啥key variable呢？
非常感谢！！！ |
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f**********t
发帖数: 1001 | 19 是TechTarget的Email Strategy Group. 偶看了公司介绍后，发现用自己的话真讲不好
这个公司是干啥的。。。
TechTarget (NASDAQ: TTGT) publishes integrated media that enable technology
providers to reach targeted communities of technology professionals and
executives in all phases of their decision-making and purchase process.
Through its industry-leading websites, conferences and ROI-focused lead
management services, TechTarget delivers measurable results that help
marketers generate qualified leads, shorten sales cycles and grow reven... 阅读全帖 |
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w*******e
发帖数: 666 | 20 请问谁有这本书吗？如果有能发我吗？
Regression modeling strategies: with applications to linear models, logistic
regression, and survival analysis
by Harrell
THX! |
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a*z
发帖数: 294 | 21 Can you kindly share the book "regression modeling strategies"? Thank you. |
|
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C******g
发帖数: 2930 | 23 W!Games' upcoming PSN strategy title Greed Corp really resonated with our
green-tinted hearts. The trailer above gives a pretty good depiction of what
the game's about -- four corporations are struggling to take control of a
dying planet, while trying to balance out their own resource consumption and
environmental preservation. Fail to do so, and you'll either end up too
weak, or plummet to certain death. |
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w*******y
发帖数: 60932 | 24 Best Buy is clearing out a ton of Strategy Guides for video games on XBOX360
, PS3, Wii and DS.
Online seems to be mostly SOLD OUT as of 2:15am PST, BUT check In-store
availability for your local store and you should be able to get them for .01
and pick up in-store.
The guides for $0.01 are:
Alpha PRotocol
Singularity
Alan Wake
Iron Man
Modnation Racers
Dead to Rights Retribution
Red Steel 2
Bio Shock 2
Crackdown 2
Kayne and Lynch 2
|
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w*******y
发帖数: 60932 | 28 Amazon has the following business eBooks available FREE today:
Ultimate Leadership: Winning Execution Strategies for Your Situation:
http://www.amazon.com/gp/product/B00142AP9E
Go Beyond Generic Leadership: Become an Outstanding Leader in Your Unique
Environment
To succeed, leaders must understand and apply the core principles of
leadership--but that's not enough. You need to shape your approach for any
unique situation. Too many leaders don't know how to do that--and that's why
they fail. Ultim... 阅读全帖 |
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w*******y
发帖数: 60932 | 29 Buy game ($59.99) and strategy guide (19.99) and get $30 off.
Toysrus in-store only between 5/20 and 5/26:
http://iway.org/9615171
|
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n*****r
发帖数: 1087 | 30 Stock Trading Strategies are in no particular order:
1. Day Trading
2. Momentum Trading
3. Swing Trading
4. CANSLIM Trading
5. Buy and Hold
6. Penny Stocks
7. Biotechs |
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w*******o
发帖数: 6125 | 31 来个MHP，今天如果做的BAC/RDN pair trade，
应该是一个Good Event-Driven strategy
现在Forclosure fraud这事搞得有点大，
估计是两党趁中选之前互相找岔 |
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c**t
发帖数: 9197 | 32 My next 2 weeks trading strategy is just take system signals.
nothing else. |
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w*******o
发帖数: 6125 | 33 【 以下文字转载自 Stock 讨论区 】
发信人: walstudio (午夜未眠人), 信区: Stock
标 题: Re: Here is a good example of option strategy
发信站: BBS 未名空间站 (Fri Oct 14 21:40:06 2011, 美东)
我的三板斧你还不知道，就是从市场解读市场。
08年看LIBOR/Credit Spread
09年看美元
10年5月看CDS
10年QE2前后看Yield
11年3月地震看日元
11年10月看$DAX
明白了what drives the market,
其它细节都是操作上的事情了。
//谁跟我再说这是MHP我跟谁急，
哪谁还把这个加到底签名档了。 |
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L*********n
发帖数: 1225 | 34 Disclaimer: This is not a recommendation of buy/sell GMXR but just for
the purpose of discussion of investment strategy. Any comments are
greatly appreciated.
I got quite interested in GMXR for a candidate of long term holding (>
1 year). The main reason is its risk for below $4.5 is, I think, low if
the economy is in recovery and no imminent depression in the near
future. Therefore I would like to play the following:
Suppose I intend to buy a total of 5k shares. Then I would buy 2k
around, say ... 阅读全帖 |
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f*****g
发帖数: 15860 | 35 转贴』Sick of Slick - Part II Betting strategies
作者是 Steve Zolotow
这也是连载，在 Card Player上。因为第一篇就是简介，也没必要翻译了。这一篇才涉
及正事。
是讲怎么样打AK的。
AK在无限里非常麻烦，虽然牌的实力很强，但是打不好，会输很多钱。
长话短说，我认为大家都懂的道理，全部省略。例如，作者开始屁话，什么扑克的最大
魅力在于信息的不确定性，还有AK可以 raise, call, reraise等，我认为全是屁话，
省掉。言归正传。
在一个 50-100的无限 game 里，一般说来，小 raise指的是raise到200-250，中等
raise指的是250-350，大raise指的是350以上。
下面这一段是我自己的体会，非作者原文。50-100这么大的game，我们一般也不会玩。
把他的数字如果转到1-2无限上的话。小中大的raise比率应该是4-5，5-7，及7以上。
但个人觉得，这东西不能机械的按照 blind的比例往上翻。你的 raise，在别人身上所
起的作用是他的心理接受能力，而不是blind的多 |
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b*****p
发帖数: 9649 | 37 Arthur Hill On Goals, Style and Strategy
http://stockcharts.com/school/doku.php?id=chart_school:trading_
Before investing or trading, it is important to develop a strategy or game
plan that is consistent with your goals and style. The ultimate goal is to
make money (win), but there are many different methods to go about it.
As with many aspects of trading, many sports offer a good analogy. A
football team with goals geared towards ball control and low-scoring games
might adapt a conservative sty... 阅读全帖 |
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g***e
发帖数: 577 | 38 No problem,
just want to update on the first research report (preliminary results ) is
available on our website:
http://www.icanbeatmarket.com/research_reports.html
The main results copied here:
In this test, we compared 3 strategies for each of the current SP500
underlyers. Their definitions are below and the comparison of results is
here: 10 years backtest for Moving Average Strategy (25,10) on SP500
underlyers results. You can also find the results in our GitHub project:
Tool: QTS_Research. (... 阅读全帖 |
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g***e
发帖数: 577 | 39 No problem,
just want to update on the first research report (preliminary results ) is
available on our website:
http://www.icanbeatmarket.com/research_reports.html
The main results copied here:
In this test, we compared 3 strategies for each of the current SP500
underlyers. Their definitions are below and the comparison of results is
here: 10 years backtest for Moving Average Strategy (25,10) on SP500
underlyers results. You can also find the results in our GitHub project:
Tool: QTS_Research. (... 阅读全帖 |
|
r****y
发帖数: 26819 | 40 http://www.javaworld.com/javaworld/jw-01-2013/130107-developer-
age=1
Here is our guide to some of the more dominant tech generations in computer
history, as embodied by the programmers who gave them life. The list is far
from complete, but if you've been coding for any amount of time, you will pr
obably recognize many of these generational traits in yourself, your coworke
rs, and the programming community at large.
Punch-card programmers
The '60s-era computers received their instructions from a... 阅读全帖 |
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j*****n
发帖数: 20 | 41 又到我来回复大家的问题的时候了。
首先，感谢大家的发言。我觉得每个发言都有意义。
还是像我之前所说，希望我能抛砖引玉，大家都能有所收获。
我的邮箱是：[email protected]
/* */
12、兄弟，不想打击你，ib的数据本身就是就不是真是的数据，你用这个非真实数据做
出的
系统如何用在真实的市场里呢？这本身就是一个矛盾。其次，如果你只是有几个策略，
但是没有backtest过，那我可以免费帮你测测，其实也不用测了，结果我可以保证你最
多50%的成功率，加入你说你有策略backtest成功率大于50%，那我几乎可以100%告诉你
，你的策略overfitting，用在未来市场里不会work的。
答：ib的实时数据大概250ms一个，不是真实的tick data，甚至有可能不是exact
snapshot，但是对能在IB上盈利的策略来说效果已经不错了。
可能对数据量需求大的portfolio交易，需要多开几条线，load balance一下。
另外，你可以subscribe别的数据源，同时在IB上做execution.
后半部分我不知道该怎么回答。
13、用ib的数... 阅读全帖 |
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R****a
发帖数: 6858 | 42 美国对外政策：战略收缩
来源: ognc 于 2013-02-18 07:58:39[档案] [博客] [旧帖] [转至博客] [给我悄悄
话] 本文已被阅读：198次
字体：调大/调小/重置 | 加入书签| 打印| 所有跟帖 | 加跟贴| 查看当前最热讨论主题
机器翻译的，凑合着看。原文在后。
一个不活跃的外交政策的情况
由Barry R.波森一月/二月2013，外交
尽管经历了十年的昂贵和优柔寡断的战争和不断增加的财政压力，美国政策制定者对美
国大战略之间的长期的共识仍然保持完整。作为总统竞选的共和党人和民主党人明确表
示，可以说外交政策的边缘，但他们同意这个：，美国要称霸世界的军事，经济，政治
，自冷战的最后一年，一个自由主义的霸权战略。这个国家，他们认为，需要保持其在
全球力量平衡的巨大领先地位，巩固其经济优势，扩大市场的民主社会，并保持其影响
力的国际机构，它帮助创造。
为此，美国政府已扩大其庞大的冷战时代的网络安全的承诺和军事基地。它加强了现有
的联盟，北约新成员加入，加强与日本的安全协议。在波斯湾，它试图用一个全副武装
的空气，海洋保护油流，和地面部队，这一目标消耗至少百... 阅读全帖 |
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W***n
发帖数: 11530 | 43 Sym Name Last Change Percent YTD
Percent Time Links
GCCUX Goldman Sachs Commodity Strategy R6 11.91 +0.01 +0.08%
+262.01% 11/25/15
GCCIX Goldman Sachs Commodity Strategy Fund 11.91 +0.02 +0.17%
+203.29% 11/25/15
GCCTX Goldman Sachs Commodity Strategy Fd Cl 11.91 +0.01 +0.08%
+203.23% 11/25/15
GSCAX Goldman Sachs Commodity Strategy Fund 11.77 +0.01 +0.09%
+202.56% 11/25/15
GCCRX ... 阅读全帖 |
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m********i
发帖数: 298 | 44 In Depth
How Profitable Are High-Frequency Trading Strategies?
Oct 2 2009 | 9:25am ET
By Irene Aldridge -- High-frequency trading has been taking Wall Street by
storm. While no institution thoroughly tracks the performance of high-
frequency funds, colloquial evidence suggests that the majority of high-
frequency managers delivered positive returns in 2008, while 70% of low-
frequency practitioners lost money, according to The New York Times.
The discourse on the profitability of high-frequenc... 阅读全帖 |
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r******r
发帖数: 700 | 45 Strategy Pattern一例，清晰易懂。如果非 OO 设计，就是弄三个 function 了。不过
，代码行数大大增加。
interface Strategy {
int execute(int a, int b);
}
/** Implements the algorithm using the strategy interface */
class Add implements Strategy {
public int execute(int a, int b) {
System.out.println("Called Add's execute()");
return a + b; // Do an addition with a and b
}
}
class Subtract implements Strategy {
public int execute(int a, int b) {
System.out.println("Called Subtract's execute()")... 阅读全帖 |
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n****e
发帖数: 678 | 46 他的意思是说：如果用strategy pattern, codes就是这个样子的：
=====================================================
interface Strategy {
int execute(int a, int b);
}
/** Implements the algorithm using the strategy interface */
class Add implements Strategy {
public int execute(int a, int b) {
System.out.println("Called Add's execute()");
return a + b; // Do an addition with a and b
}
}
class Subtract implements Strategy {
public int execute(int a, int b) {
System.out.println... 阅读全帖 |
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l******s
发帖数: 3045 | 47 private static bool catchable(int[] strategy, int numCaves){
bool bOdd = false, bEven = false;
for(int i = 0; i < strategy.Length && strategy[i] < numCaves; i++){
int left = i;
if (strategy[i] != 1 && strategy[i] != numCaves - 2) continue;
if (numCaves > 3 && Math.Abs(strategy[i] - strategy[i + 1]) > 1)
continue;
if (numCaves > 3 && i < strategy.Length - 1){
int diff = strategy[i + 1] - strategy[i];
while (i - left + 1 < numCaves - ... 阅读全帖 |
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m********0
发帖数: 2717 | 48 I guess I will stop this thread, as it's not as thought-provoking as I
thought.
But I decided to share my books on tradings I collected, most of them
are pdf (I bought some of them, stole most of them from internet, I owe
these authors a lot but I guess it's financially harmless as most ppl
here won't buy their books anyway :D
I will include no indicators files, no academic papers(as most ppl
here enjoy empirical stuff). Considering sharing some script, template,
real code.
Someone offers a safe... 阅读全帖 |
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k********n
发帖数: 18523 | 49 ☆─────────────────────────────────────☆
bid (你出价) 于 (Thu Jan 29 00:56:58 2015, 美东) 提到:
功夫不到家，请解释你是怎么决定何时cover short credit spred的？
☆─────────────────────────────────────☆
haidian (haidian) 于 (Thu Jan 29 01:52:51 2015, 美东) 提到:
自动过期居多， 所以选strike是个技术活
个别时候运气不好要自决， DT功夫又要用上， cut loss不能犹豫， 否则死的更难看
股票都抄不好的千万别玩期权。 拿DT或SWING trade 的技术去炒 option, 会事半功倍
☆─────────────────────────────────────☆
regsoft (我是loser) 于 (Thu Jan 29 02:05:51 2015, 美东) 提到:
你玩option还咋会用tdameritrade？
☆─────────────────... 阅读全帖 |
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