November 01, 2009
September 18, 2009
Conference on Quantitative Risk Management today
Huyên Pham organized a conference today, following his prize sponsored by the NATIXIS Foundation for Quantitative Research in association with the SMAI and awarded by the French Academy of Sciences.
Very interesting talks:
Very interesting talks:
- Michel Crouhy gave us a clear view on the past crisis
- Benjamin Bruder proposed a nice way to include risk limits in option hedging strategies
- Jean-Paul Laurent exposed how to include several effects in hedging interest margin
- I made a review of the quantitative trading
- Nicole El-Karoui presented an elegant way to implicitly define an utility function from a market observable (like a benchmark portfolio)
- Rama Cont explained how systemic risk is embedded into the financial network, and increases with speculative use of CDS
- Nizar Touzi described how defining a relative benchmark to asset manager (scoring them relatively to the performances of their pairs) encourages them to take more risk
- Denis Talay benchmarked technical analysis against more objectively optimized strategies
March 28, 2009
My CQF masterclass
"Intraday High-frequency Trading: From empirical evidence to quantitative optimization" is available only for CQF people at:
Cite U Like
The wonderful bibliography web site (citeulike.org) has now a FAQ.
So I can give you a sorted (by increase on publciation years) view of my main library on microstructure:
So I can give you a sorted (by increase on publciation years) view of my main library on microstructure:
February 07, 2009
Scheme programming: what else?
Do you need a complete programming language that can be carried on an USB key?
Noting is better than scheme for that.Here is a list of useful links for a schemer:
Noting is better than scheme for that.Here is a list of useful links for a schemer:
January 11, 2009
2D real Brownian Motion
Reality is far better than simulations and models (nothing to add about CDO models?): here is a movie I have made this morning, a real 2D Bornwian motion.
December 23, 2008
Usual intraday curves for students
The best way to illustrate rigorous intraday trading is to use numerical applications.
Here are projections of the usual volume and volatility curves of a stock of the main french index (CAC40), in percentage.
Just multiply the result by its sum and multiply it by the ADV for volume and usual intraday volatility you wish for the volatility curve and you will obtain curves good enough for numerical illustrations.
x is the elapsed part of the day (0 at 9:00, 1 at 17:30), Pv(x) is the usual intraday volume and Ps(x) the usual intraday volatility:
Pv(x) = 11 x^3 - 4 x^2 -4 x +3, Ps(x) = -12 x^3 + 25 x^2 -15 x + 5
.
Here are projections of the usual volume and volatility curves of a stock of the main french index (CAC40), in percentage.
Just multiply the result by its sum and multiply it by the ADV for volume and usual intraday volatility you wish for the volatility curve and you will obtain curves good enough for numerical illustrations.
x is the elapsed part of the day (0 at 9:00, 1 at 17:30), Pv(x) is the usual intraday volume and Ps(x) the usual intraday volatility:
.
December 20, 2008
A paper of mine in Wilmott magazine
The issue of November of the Wilmott mag contains a paper of mine:
Its title is Rigorous Optimisation of Intraday trading.
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Its title is Rigorous Optimisation of Intraday trading.
.
December 14, 2008
Good statistical references for a Quant
A lot of quant padawans are asking me good books to read to improve their statistical skills.
For the statistical part of the work, I can recommand two books.
The first one is Méthodes statistiques by Philippe Tassi.
It offers simple elements of mathematical statistic and their applications to simple problems (regression, estimation, hypothesis testing).
And the second one is Mathmatical Statistics by Borovkov.
It is a very complete book on almost all aspects of statistics.
.
For the statistical part of the work, I can recommand two books.
The first one is Méthodes statistiques by Philippe Tassi.
It offers simple elements of mathematical statistic and their applications to simple problems (regression, estimation, hypothesis testing).
And the second one is Mathmatical Statistics by Borovkov.
It is a very complete book on almost all aspects of statistics.
.
October 09, 2008
How to guard an hotel in St tropez
Last week end it was the Voiles of Saint Tropez.
We stayed in an amazing hotel at Sainte Maxime, in front of St Tropez, where we could see the golf of St tropez and all the ships.
This hotel is like "plugged" on a small hill, and you consequently have to cross a lot of lifts and corridors to join your bedroom.
It reminded me a chapter of Proofs from the BOOK, by Martin Aigner and Gunter M. Ziegler.
This chapter is called "how to guard a museum". Adapted to the Sainte Maxime's hotel, it gives:
It is for instance easy to guess that if the walls of the hotel form a convex polygon, then one guard is enough.
There is a useful theorem for managers of such hotels:
.
We stayed in an amazing hotel at Sainte Maxime, in front of St Tropez, where we could see the golf of St tropez and all the ships.
This hotel is like "plugged" on a small hill, and you consequently have to cross a lot of lifts and corridors to join your bedroom.
It reminded me a chapter of Proofs from the BOOK, by Martin Aigner and Gunter M. Ziegler.
This chapter is called "how to guard a museum". Adapted to the Sainte Maxime's hotel, it gives:
The manager of the hotel wants to make sure that at all times every point of the hotel is watched by a guard. The guards are stationed at fixed posts, but they are able to turn around. How many guards are needed?
It is for instance easy to guess that if the walls of the hotel form a convex polygon, then one guard is enough.
There is a useful theorem for managers of such hotels:
.
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