For people looking for a good explanation on how to get the solution: http://datagenetics.com/blog/july22012/index.html
Courtney Smith - futures spread trading Moore / Toepke (mrci.com) - Encyclopedia of commodity and financial spreads Joe Ross - spreads and seasonals
Are you prepared to top up your capital for 3 consecutive years (2005-2007)? As per your earlier post, you would have to increase your capital to...
Arbitrage (as mentioned in the title of the thread) is the simultaneous purchase / sale of assets to profit from a difference in price. In the...
I have been experiencing issues with the combination of Bloomberg and Excel (Office 2016) since upgrading from an earlier version of Office a...
Generally considered the cleanest: CSI (www.csidata.com) - no affiliation
What makes you say that ??? Butterflies (and spreads Etc.) are used almost exclusively when trading certain products like STIRS, but are also very...
Look for "Hedge Fund Shark Tank"
If you're just starting to trade spreads etc., I suggest you dont start with Nat gas - or at least paper trade for the time being. Imo even crude...
Wouldn't the correlation lookback period be considered a parameter?
Here you go: http://developer.oanda.com/rest-live/sample-code/ (edit: I'm not affiliated with Oanda)
I stand corrected - I just went with the numbers provided by OP without actually thinking it through... Of course he would be assigned at 125, and...
I'm struggling to follow from the point where you said OP is in a losing position: OP has received 9.26 in premium (per 1 contract), and is...
I'm not really an options guy, but I would suggest you unwind your position - i.e. sell the shares (~112) and the long puts (~3.25), and...
The Bloomberg terminal allows you to interpolate any data point on a corporate curve for which they have data. Not exactly what you're looking...
I haven't programmed for a while, but I guess your confusion arises at line 6 (Line 5 is pretty straight forward and returns True). In Java,...
Every point change in the eMini future represents value of $50. (i.e. a 50x multiplier) If you look up the full-size S&P futures contract you will...
I suggest you check your facts.... An option on an emini future is exactly that: the option to buy or sell 1 futures contract....
Think about this yourself for a minute... What does 50% margin required by your broker mean? - Your broker allows you to utilise DOUBLE the...
As a quant I trust you are well aware that your 11 diversified streams of return may turn out to be very highly correlated in adverse market...
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