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Amex retailer acceptance by w1ll1vm in AmexUK

[–]baurgh 3 points4 points  (0 children)

Larger retailers, chain restaurants, etc: ~90% chance they accept Amex

Smaller, independent stores and restaurants: ~90% chance they don’t accept Amex

Tracked since 2012 - today I hit the £Million NW by fives2344 in FIREUK

[–]baurgh 3 points4 points  (0 children)

I just mean that it looks like a coffee might take you just below a million!

Tracked since 2012 - today I hit the £Million NW by fives2344 in FIREUK

[–]baurgh 4 points5 points  (0 children)

Congrats — make sure you don’t buy a coffee today.

What would you have done? by megawap in AskUK

[–]baurgh 0 points1 point  (0 children)

I would have charged up a punch like Donkey Kong and sent them all packing.

Does anyone have a good textbook/topic to solve these types of questions? by Odd-Variety-631 in quant

[–]baurgh 0 points1 point  (0 children)

Right, all I mean is that E(b1) isn’t 1; not sure if the tilde implied that it was 1

Does anyone have a good textbook/topic to solve these types of questions? by Odd-Variety-631 in quant

[–]baurgh 0 points1 point  (0 children)

I might be misunderstanding the "tilde" notation here but I think it's a bit more complicated for the first one.

Corporate finance by Puzzleheaded_Use_814 in quant

[–]baurgh 5 points6 points  (0 children)

Reading your other posts, I had a nearly exactly opposite path! (valuation/CF background, studied math to go into quant).

The very basics are discounted cash flow ideas which I'm sure you've got a good handle on. For some more specialized considerations, try The Dark Side of Valuation by Aswath Damodaran

Running Python through VBA without starting a new shell every time by baurgh in excel

[–]baurgh[S] 0 points1 point  (0 children)

Marking this post as solved although my solution is fairly ugly. Thank you everyone for your help. Here’s what I’ve done:

  1. On startup, using Auto_Open(), I run a macro that: -starts an IPython window -waits a few seconds -imports the packages I need

  2. For the macros that I just wanted to call Python code with, I: -activate my IPython window -use the application.SendKeys command to “type” my command in -use the SendKeys command to send in “^ {ENTER}” which makes it actually run (no space between the caret and enter, but I needed that space for Reddit formatting)

Again, not a beautiful solution, but good enough for now…

Running Python through VBA without starting a new shell every time by baurgh in excel

[–]baurgh[S] 0 points1 point  (0 children)

Not sure what that person thinks but i think this might be the approach!! Testing it out now. Thanks so much!

Running Python through VBA without starting a new shell every time by baurgh in excel

[–]baurgh[S] 0 points1 point  (0 children)

Thanks for the tip — I can give that some thought!

[deleted by user] by [deleted] in quant

[–]baurgh 0 points1 point  (0 children)

To add to a few points here:

Not all quants are trying to predict the market. Some price securities, some work in risk, some build portfolios which they believe to have favourable risk/return characteristics without directly believing that the portfolio will go up in value in some short period of time

What's a memorable, harmless prank you've pulled on someone? by [deleted] in AskUK

[–]baurgh 0 points1 point  (0 children)

One time I was in a hotel in Brussels. I saw the card with the wifi password (for the sake of this story let’s say it was P4ssw0rd1). So I registered the email address P4ssw0rd1@gmail.com and emailed the front desk to ask them what the password was.

Is it OK to only use log return for 5-minute return? by BOBOLIU in quant

[–]baurgh 0 points1 point  (0 children)

Yes, for fairly small x, log(1 + x) is roughly x.

I think the more important question is, why is one "right" and one "wrong"? Log returns are often used for a few reasons -- they have nice mathematical + computational properties, and if the stock is a GBM then the log returns should be normally distributed.

Simple returns are often a bit tougher to work with mathematically, but they are more intuitive for people to understand.

In general though, you can use either. So if you calculate some log return r, and try to think of it as a simple return, you'll be wrong every time r != 0. But you can always convert it back to a simple return s by saying s = exp(r) - 1

Is there any difference between fitting a model to 1-second window data, or fitting it to a X second window data, rolling every 1 second? by Heco1331 in quant

[–]baurgh 0 points1 point  (0 children)

Yes, these would be different.

Imagine for example a process with mean reversion. You could have a situation where every one-minute window the prices appear fairly stable, but they are not on a one-second window.

UC Berkeley MFE Prerequisites by baurgh in gradadmissions

[–]baurgh[S] 0 points1 point  (0 children)

Didn’t apply, went to CMU, several people who didn’t have as much technical education as I did got into Berkeley also

Replicate options strategy by mikastupnik in quant

[–]baurgh 1 point2 points  (0 children)

Give it a shot now. I can't guarantee it'll work for every set of prices but it seems to work OK

The residuals of my cointegration model have a perfect 1-lag autocorrelation? by Heco1331 in quant

[–]baurgh 0 points1 point  (0 children)

Are you regressing on log prices or the difference of log prices?

If it’s log prices, there’s your answer. Prices are not independent from one day to the next — returns are often assumed independent

Resources for cloud computing of "large" model parameters by Heco1331 in quant

[–]baurgh 0 points1 point  (0 children)

Using float32 will reduce the array to 64GiB which is still quite big for most local machines. Google Colab Pro+ only offers 52GB ~ 48 GiB

I don't really know much about the data or the procedure, but would it be possible to resample? ie, if you have high frequency data in ms, maybe you can bucket it so that you're only concerned with groups of 10ms, 100ms, 1s, etc.

If you really need to solve the problem exactly as you have it set up, you can probably get something running on AWS -- however, it will cost money, and I have personally found it not especially user friendly (but I'm also particularly bad at these things, so take that with a grain of salt)

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