₦airaland Forum

violent:
I'm actually looking to go into full time commodities trading, and perhaps own a big and well capitalized prop desk someday.

In Nigeria ??

violent:
Personally, i wouldn't recommend daily or tick data though, there is a lot of noise in such data

yea right. not good for retail investors

but can be quite attractive for institutional investors invovled in heavy daily trading


However, when we start dealing with options that noise is very fundamental (i.e volatility in the black-scholes model)

violent

you are right. You can also use daily data or even tick data to get more data points

when you simulate more datasets i presume u do it via bootstrapping right

@violent

Ok i get it now. basically you are just going to plug in returns and risk for different stocks and then optimize to see the most efficient. But you will still have to worry about covariances.

i thought the returns used for the optimization problem is the expected return got from CAPM

nice one 

@tbk

at least nse should have something dating back to the 80's  . . . at  least . .

@violent

well i think the stock market crash and the new risk managment regime could actually be a blessing in disguise.

Options are fantastic when used as a tool for risk managment and even sometimes to boost porfolio performance.

They are evil when used for speculation though


What is needed is just a couple of guys who know what they are doing to structure/write options for the big players probably intially as a risk management tool and this market might be able to kick off seriously

@violent

hmm . . . idealy you need to be regressing against the market index.

violent:
You will have to be extra fast to be there before me. . because i am repositioning my portfolio to take advantage of both upward and downside movements

you can only do this with options. unfortunately options is non existent in the stock market.

i think the time is ripe for an OTC options market.

ok that will be a very useful exercise actually. i might give it a shot myself

but how will you get the expected return of the stock ( i.e beta) you will still need to regress the historical data of the stock with the historical data of the market index for you to get this isn't it.

@tbk when you subscribed was it possible to get historical data going back to say the 60's or 70's .

@violent are u trying to do some kind of regression analysis on the data. since you are trying to solve an optimization problem

@topic

Try to get Thinking in C++ by Bruce eckel as well . . fantastic book

platinumnk:
um. . . .

what is umm. that your pic will soon cause third world war . . . watch this space

magic slap

^^ oh i see

Odunnu:
Marriage between two Nlandrz.
Dat one nevr happen and I doubt if e go happen.

my dear nothing is impossible o

^^ and so

hmm

@poster

Go and get an Iphone and lets compare afterwards

no go find your own man lol

wetin person no go see for nl

amala joint ke. noooo we need something like a strip club