get back to us with data on more than one firm. thanks
energy calendar spreads trend very well
you must be partially doing it because my former employer was huge in options and they never made money from an outright dispersion trade. maybe...
does anyone trade dispersion profitably between constituents and an index? and if so how big do you have to go to make a decent profit? I assumed...
UBS
thanks. is there one that is not in PDF format. Or is this calendar in a delimited file or database somewhere. I want the ability to be notified....
Anyone know a good calendar that shows all futures and futures options expirations / last trading day for US exchanges or international....
what was your major? where did you go to school? SATs?
agreed. it was going down real well for a long time. easy pickings
i know a job where all you have to do is read some howtos and figure stuff out and put it together. you then make over 100K/yr
my mistake. i thought you were constructing the basket.
agreed. i was told by a local that he watches DVDs during the day.
i think so. most of my trades are spreads. either calendar outrights or options. nothing intraday. i think scalping is for people who don't want...
it doesn't improve correlation. it does allow for a better weighting in your basket
if you want a backgammon match contact me
i found that scipy has a vectorize function but it doesn't take char args as far as i can tell. this works... from math import * from scipy...
if anyone is really interested in quantitative programming then look here. http://www.nr.com/ http://quantlib.cvs.sourceforge.net/quantlib/
i am referring to principal component analyis. eigen values/vectors can be obtained from a covarince/correlatin matrix of your basket constituent...
is vectorize the right word? you could just loop over your price array.
you can get a better grasp of the weightings by obtaining the eigenvalues. and to determine if there is a profitable arbitrage you would need to...
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