Found this (http://opensourcefinancialmodels.com) calculator on NuclearPhynance.com under software and thought it was a great share.  It runs any of the options models behind the scenes that are available in Financial Recipes in C++ at http://finance.bi.no/~bernt/gcc_prog/.

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2010 in review

Posted: January 12, 2011 in Uncategorized

The stats helper monkeys at WordPress.com mulled over how this blog did in 2010, and here’s a high level summary of its overall blog health:

Healthy blog!

The Blog-Health-o-Meter™ reads Wow.

Crunchy numbers

Featured image

A Boeing 747-400 passenger jet can hold 416 passengers. This blog was viewed about 8,300 times in 2010. That’s about 20 full 747s.

 

In 2010, there were 36 new posts, growing the total archive of this blog to 41 posts. There were 57 pictures uploaded, taking up a total of 15mb. That’s about a picture per week.

The busiest day of the year was March 30th with 215 views. The most popular post that day was C# Yahoo! stock data downloading/charting .

Where did they come from?

The top referring sites in 2010 were Google Reader, en.wordpress.com, forexfactory.com, linkedin.com, and slashingtongue.com.

Some visitors came searching, mostly for autospreader blog, autospreader, autospreader.wordpress.com, eurodollar butterfly, and cqg autospreader.

Attractions in 2010

These are the posts and pages that got the most views in 2010.

1

C# Yahoo! stock data downloading/charting February 2010
8 comments

2

The future of quantitative trading March 2010
2 comments

3

Eurodollar butterfly relationships February 2010
1 comment

4

Treasury – Eurodollar (TED) spreads February 2010

5

Eurodollar term structure February 2010

MongoDb trials

Posted: January 9, 2011 in database, mongodb

Alright I am a sucker for new technology and well I have been sucked into a new NoSql solution called MongoDb (http://www.mongodb.org/).  Basically I dislike Sql as it lacks the performance of most alternatives on the market (CouchDB, MongoDb, etc.)  and the Sql Management studio is a poorly designed user interface.  Wait can it really perform that much better than my good ol’ SQL?  Check out Kennedy’s blog (http://www.michaelckennedy.net/blog/2010/04/29/MongoDBVsSQLServer2008PerformanceShowdown.aspx) for some background; he has done some extensive testing on this subject and came up with some stunning results.  I have posted his results at the end of this post for your inspection.  There is the source, C# driver, and a few other source code goodies here (https://github.com/mongodb).  I will post a separate article on using the C# driver later on but wanted to give an introduction for now.

So what is MongoDb?    A high performance DOCUMENT database and by document I mean Java Script Object Notation (JSON, http://bsonspec.org/).  What does this mean for me?  I can store nested and often very complex data structures in this database and still be able to query such a thing.

So is it hard to install and run on Windows?  Nope, just create a C:\data directory then create a C:\data\db sub-directory…..Mongo won’t do this by itself which feels kind of lame in my opinion but I still like it.  Then download the version of your desire ( I am currently Windows 7 64 bit) from http://www.mongodb.org/downloads then unzip it and stick wherever you want it.  After doing this you will need to start up mongod.exe under the bin directory (from unzipping) which is the server then mongo.exe which is the command line client.  You will see something similar to this:

where the top window is the server and the bottom is the client.  From here you should be able to run through the many examples floating out on the internet.  Have fun and remember Kennedy’ s findings…it is worth the pain to learn a new technology IF the gain justifies the costs:

Interesting finance publication.

Posted: November 28, 2010 in Uncategorized

Hello,
Long time friends ,I just wanted to share some recent papers that I have been reading with you.  Sorry for the latency in posts but between an          active career, raising a 3 year old, and the holidays…..I am tired.
  1. Nicola Moreni.  Andrea Pallavicini.  “Parsimonious HJM Modellingfor Multiple Yield-Curve Dynamics”  November 4, 2010 (http://arxiv.org/PS_cache/arxiv/pdf/1011/1011.0828v1.pdf)
  2. IACOPO MASTROMATTEO.  MATTEO MARSILI.  “FINANCIAL CORRELATIONS AT ULTRA-HIGH FREQUENCY:THEORETICAL MODELS AND EMPIRICAL ESTIMATION”  (http://arxiv.org/PS_cache/arxiv/pdf/1011/1011.1011v1.pdf)
  3. Boris Podobnik.  Davor Horvatic.  “Cross-Correlations between Volume Change and Price Change”  November 12, 2010 (http://arxiv.org/PS_cache/arxiv/pdf/1011/1011.2674v1.pdf)

 

 

 


Recently I ran across a framework called Scrapy (http://scrapy.org/), which is a nice framework to acquire structured data from websites.  I recently used this framework to poll the CME FTP (ftp://ftp.cme.com/settle/) for settlements on the CME listed Eurodollar futures and it did very well and took considerably less software engineering than I would have thought.  If anyone is interested, I would be happy to share the Perl and Scrapy examples.


I have been given the privilege of interviewing many candidates over the years.  In this time, I have noticed several commonalities in the interview questions in the Chicago trading industry that I will share with you.

The first stage of the interviewing and selection process begins with a cattle herd of candidates into a room where they are all given the same test.  It is then graded and call backs are given to those who have excelled on the initial examination.

The typical sections of the initial examination are:

1.  Mental math:  You will be expected to be able to do at least 20 problems such as 0.002*3 and 0.28/4 with only pencil and paper.  You should be able to do this easily.  If not then you won’t advance to the next stage of the interview process.

2.  Logic: You will be given several questions such as a car traveling to (…) at (…) rate then another car goes the other direction they both turn right at continue for some amount.  What is their distance from each other?

3. Statistics: You can plan to be given a few basic poker questions in this section.  Roulette is also a nice play here.

After taking this examination, if you do well you can plan to move on to a smaller interview with 2 or more interviewers.  They will bombard you with every conceivable question that is on your resume and many that are not.  One of the ones that arises in finance since many of the candidates have educational backgrounds that are not in the finance or financial engineering field such as myself is “why would you want to work in finance, you have a XYZ degree?”  Other fun ones:

1.  Oh I see you listed XYZ programming language on your resume…..walk me through a sample program (take your pick from a random number generators to some fun approximations).  The goal of all this is not to stump you but determine you ability to think critically and how creative you can be.

2. Wow, you’ve taken alot of options theory classes, price this XYZ option (by the way its an exotic)?

3. Throw in random cash flow, convexity, and/or duration questions for fun here.

If you can handle much or all of this then you are probably well suited for your interview…..Good luck.


I was trolling the internet and found some fascinating papers that are far from the main stream GPU finance publications on http://www.gpucomputing.net/ or more specifically for finance http://www.gpucomputing.net/?q=documentlinks&group_nid=87.  Check it out if you are into this and I am sure you will enjoy it.