Nuclear Phynance

Newbie

gravityrahul — Fri, 03 Feb 2012 19:36:35 GMT

Hi All,
Most of the jobs at the JOB board are about 1 year old. Is there any other resource to look for jobs?
I have a PhD in Physics and would like to find suitable role in finance. I assume most members in this forums have PhD in Physics or related field.
Thanks in Advance.
gravityrahul

Bloomberg API open

MoreLiver — Fri, 03 Feb 2012 13:17:27 GMT

"Bloomberg is offering its programming interface (BLPAPI) under a free-use agreement. This does not apply to any content."

LINK

Opinion on Cass- Quantitative Finance Course

Plouffy — Fri, 03 Feb 2012 06:02:32 GMT

Hi everyone (long time lurker, first time poster),

I had applied to study for MFE programs (Cass, Imperial, King's and LSE) and as of today have been unsuccessful (my background is a Masters in Engineering), I have though been accepted into the Cass MSc Quantitative Finance Course and would like your opinion on :

1. What is your opinion of Cass Business School (if any).
2. What is your opinion on the Quantitative Finance course in general.

What I'm really trying to figure out is, is it worth spending £20k+ and a year of my life doing this course?

My ambitions are to become a trader (I would have liked to become a quant however I believe that to have gotten a realistic chance I would need to have been accepted into an MFE program).

I appreciate any help,
Plouffy.

DB: SQL or NoSQL?

Lapin — Thu, 02 Feb 2012 22:13:40 GMT

Hi all,

I was trying to get my head around the NoSQL concept recently.
I was wondering if it was useful to our industry so I had a look at couchDB which is a document-oriented db.
I was thinking about a market data project (storing any mkt data as a document). Since using a SQL DB can be painful (writing the schema is not everybody cup of tea), I was wondering if someone has already used it for this particular topic and what was your conclusions?

Cheers

Euro MTS sponsored access?

Maltese — Thu, 02 Feb 2012 18:34:33 GMT

Hi --- I was wondering if anybody here from Europe trading Euro Sovereigns on Euro MTS. Is it possible for hedge funds to get sponsored or direct access to this platform? I dont mean going through tradeweb or bloomberg. I want to run algos on it. Any prime brokers in this space?

Masters in Statistics or Quantitative Modeling???

mb1231 — Wed, 01 Feb 2012 20:25:54 GMT

Quick background. In the late 90's I was a math and computer science major. I quite at the beginning of my senior year and began working in finance as a prop trader (I was a stupid young kid). I was making OK money, but decided to go back and finish a degree in Finance. I then worked as an risk analyst and database developer for about 4 years. I want to get away from my current role and into quantitative analysis (my current company acts afraid to try trend analysis and advanced statistical concepts). From looking at job postings I do not have the educational requirements and current jobe role to get a quant analyst job. I am looking to go back to school, and was wondering what I should do a Masters in. I received my Finance degree from a tier 2 school, so unless I get a perfect score on the GMAT or GRE it doesn’t look like I will go to an Ivy League school. I was looking into the Masters programs at Baruch and was wondering if Statistics or Quantitative Modeling would be best for what I want to do? I am already a relatively good programmer, so unless it was for the credentials, I wouldn’t do a programming oriented degree (I can usually figure out how to program most formulas and models I learn).

Any help is much appreciated.

What is the correct procedure to choose the lag when preforming Johansen cointegration test?

freewind — Wed, 01 Feb 2012 14:26:56 GMT

When preforming Johansen cointegration test for 2 time series (the simple case) you need to decide the lag you want to use. Doing the test for different lag levels returns different results: for some lag levels the null hypothesis can be rejected but for others it can't.

My question is what is the right method based on the input data to decide what lag I need to use?

Changing stdev of time series without changing correlations

hunden — Wed, 01 Feb 2012 14:19:41 GMT

Hello guys,

I'm not sure on where to post this thread but my problem is about changing the standard deviation of a time series without leading to different correlations to other data series. Also, I want the return to be the same as before.

What would be the right way of doing this?

What I've done so far is to just multiply the series with some constant until I get the standrad deviation I want, and then subtract/add a constant on every data point so that the return is the same as from the beginning.

An example: one data point (return) is 1.02. Multiplying is done by taking (1.02-1)*x + 1, lets say x=3, then we get 1.06. If another data point is 0.98 we get (0.98-1)*3+1= 0.94. This is OK, but when adding a constant to counter the change in return the relative changes in these two data points are different. Lets say we add 0.01, then we get 1.07 and 0.95, hence first data point increases 1.07/1.02 which is larger than 0.98/0.95. How do I avoid this?

Thanks in advance ;)

BB Quant S&T Interview

LPHhimself — Tue, 31 Jan 2012 22:31:37 GMT

New to the forum.. I searched and came up empty, so I figured I would post and see what happens.

Anywho.. I'm currently a junior at a non-target school pursuing two degrees: math and finance. Within the next week or so I will be having a first round interview with an unnamed BB for a summer quant S&T internship.

From talking to a couple people, I know the interviews will be highly technical. I am expecting a lot of logic like brainteasers, math and programming questions. C++ and Java are the two languages I expect to be emphasized.

I am most concerned about programming questions. I have limited experience in programming (tons of VBA, limited experience in others) however have never received formal education on the topic.

What kind of programming related questions should I expect? Academic type stuff like whats an object? Or application type stuff?

What can I do to prepare for this in under a week?

IR Swaps conventions

granchio — Tue, 31 Jan 2012 17:04:53 GMT

hi all,
I have this table for swaps conventions for bog-standard interest rate swaps (feel free to point out mistakes in it... e.g. I am not sure the AUD freq is right).

But it does not have the frequency of the floating leg. I will look them up on bloomberg next time I get access, but that is lengthy and prone to errors: so if anybody has a summary that would be much appreciated.

Also looking for similar table describing standard convention on OIS swaps, if it exists...
thanks

Attached File: swap convention table.pdf

Treasuries futures conversion

pureagenda — Tue, 31 Jan 2012 13:05:39 GMT

Hi,

I thought I'd turn to nuclear phynance where I may have a shot at someone knowledgeable answering this question.

When converting treasury futures into an interest rate using CME provided conversion factors, maturity date, and coupon rates, the number I come up with is no where near the current interest rate. http://www.cmegroup.com/trading/interest-rates/treasury-conversion-factors.html

For example, when converting the March 10 year note, I come up with 2.69% at 131-290, 5 year note 1.388% at 123-292, at 2 year note .512% at 110-122.

Does anyone know why?

Thanks!

Greek CDS Trigger vs Not

Steve Castle — Mon, 30 Jan 2012 20:47:46 GMT

Hi, forgive my naivete, but I do not understand the purpose of intentionally preventing CDS payouts, esp for Greece right now.

Is it because the greek banks (or other Euro) were long the risk AND bonds, and the trigger was/is going to cause a collapse?

I find it hard to believe it was purely punitive in order to punish "prudent" risk management that was willing to buy Greek bonds with protection. Even if you wanted to punish speculators, it is dumb to punish the good guys with the bad. But this does happen all the time, so maybe it is true?

Were CDS irrelavent to the initial discussions, and the current "voluntary" nonsense used to avoid other issues about a default, unrelated to CDS? This seems more likely, but I seem to have missed this being discussed, and don't understand what that could be.

Can someone enlighten me please? I see a lot of articles about it, but not addressing my exact question, so any links or thoughts appreciated.

sins

ComteZero — Mon, 30 Jan 2012 12:24:12 GMT

what brand do you put on your favorite sin(s) ?

i guess Nonius is something like Partagas, Balthazar something like Duvel...

My tutorial on term structure modeling (from Black-76 to Multivariate LIBOR Model)

finanzmaster — Sat, 28 Jan 2012 22:34:38 GMT

Hi guys!

Have a look at my tutorial:
http://www.yetanotherquant.de/libor/tutorial.pdf

It covers Black-76 and Vasicek models (both closely following original papers but with „modern style“ explanations), change of numeraire and a readable(!) introduction to the Multivariate LIBOR Market Model, for which I derive the change between different T-Forward measures step by step.

ETF to be long exposure to facbeook IPO

frstwrldprblm — Sat, 28 Jan 2012 01:58:50 GMT

This isn't really a deep post.

Employment rules say that single name hold time 30 days min.

I am looking for a general opinion on how to get strong positive exposure to the facebook IPO

TYH?

Thoughts?