Introduction to Stochastic Calculus & Application in Finance

費達拿度 2018-10-31 00:23:01 咁睇唔開take R4005同R4007....
淨係一個R4001都夠收皮

:^(

Exotic 2018-10-31 00:29:42 CFA 無讚入去quan 野, 算啦

:^(

天口慶丫嘛 2018-10-31 00:59:35 10年前讀過lm

宇智波月巴 2018-10-31 01:40:15 勇者無懼

:^(

呢兩科難我唔否認
但係如果本身數底夠嘅話
其實又唔係好似其他人口中所講咁恐怖

:^(

算子代數 2018-10-31 12:28:42 啲measurability issue好閪煩

:^(

算子代數 2018-10-31 12:30:05 有本書叫An Informal Introduction to Stochastic Calculus with Applications好似幾正, 教大家點計, 又會講啲重要定義同埋定理.

錦衣衞 2018-11-1 09:57:20 I can email you my phone number

沈船合體機械人 2018-11-1 15:35:30 巴打，想問下有識唔識high frequency data 既野呀？

宇智波月巴 2018-11-1 16:16:30 我唔識high frequency trading

:^(

呢度咁多人勁過我應該大把人答到你

:^(

不過照我理解其實high frequency trading只係用algorithm去處理非常大量嘅financial data
從而detect一啲本來trader察覺唔到嘅arbitrage opportunities? 例如statistical arbitrage嗰啲?

因為arbitrage維持嘅時間本來就非常短所以先需要用algorithm去做high speed/frequency trading
Investment horizon亦都因為要exploit arbitrage而縮到非常短

但係啲algorithm點寫我就真係答你唔到

:^(

宇智波月巴 2018-11-1 16:26:50

https://www.google.com.hk/url?sa=t&source=web&rct=j&url=http://www.ece.ust.hk/~palomar/Publications_files/2016/Feng%26Palomar-FnT2016.pdf&ved=2ahUKEwjF9_uQ1pfeAhUQIIgKHVlHAUUQFjADegQIARAB&usg=AOvVaw0AlfMt0enlhU3thfYBWlSC

可以睇下 DSP 點用係 finance, prof 話 ibanks 每年都請好多 DSP 人。

上面有位巴打post過本書出黎
最尾statistical arbitrage嗰個section其實應該都關事
不過呢本係signal processing in finance所以啲數都有返咁上下程度

:^(

簫塞胸器中 2018-11-1 17:50:19 巴打唔係講笑我今個sem 最近開始學呢d 野睇左你個d introduction 再聽prof 講好好多

:^(

那個了唷~! 2018-11-1 17:53:37 g持樓主

:^(

錦衣衞 2018-11-1 19:37:03 As far as I know many high frequency trading strategies simply take advantage of the speed. The HFT firms are usually situated in close proximity of the exchange and paid for priority access. For example, google “spoofing” for HFT, it’s an basic example that how HFT firms use speed as their advantage.

Working for HFT usually requires less mathematics, it has more emphasis on programming I think.

沈船合體機械人 2018-11-1 20:03:47 Thanks for sharing, I don’t know but I am doubt about the less mathematics skill statements since I think there are a lot of backtesting and you will have to adjust a lot parameters of your models. Again I don’t know much about HFT I just found it interesting. As You said the firms are situation Closely to the exchange but in Hong King it seem not that profitable since there are levy per transaction but there are still hft firm in HK applying the strategy across different markets.
Thanks again for your sharing

錦衣衞 2018-11-1 20:36:47 That’s why there seem to be more hft firms in Singapore than in HK.

When I say it requires less maths, I was comparing it to other quant jobs, such as exotic pricing quants. Quant researchers at hft firms don’t use much maths compare to other quants. Instead their works lean more towards statistics or machine learning.

S.Lev 2018-11-1 22:56:17

I can email you my phone number

hey, you can send it to slev1234@yahoo.com

S.Lev 2018-11-1 22:58:41 i think they are totally different fields.

we use advanced math tools in pricing exotics. and hft maybe using very complex statistical tools instead (i dont know)

錦衣衞 2018-11-1 23:20:18 Agree, hft firms are on the buy side so I would expect it to be quite different.

Btw I’ve sent you an email.

沈船合體機械人 2018-11-2 00:30:32 CFA 有邊類quant?

:^(

老婆好大波 2018-11-2 00:42:47 此回覆已被刪除

Scan野達人 2018-11-2 08:50:20 得d基本stat

:^(

沈船合體機械人 2018-11-2 14:57:44 心諗有quant 認受性咪勁過cpa

沈船合體機械人 2018-11-2 14:58:29 邊類型既工作會接觸到？

錦衣衞 2018-11-2 15:39:17 CPAs are accountants. They’re totally different , quants are not professionals while CPAs are.

沈船合體機械人 2018-11-2 16:38:06 But quants earn way a lot than CPAs

:^(