search for: hedging

Hi everyone I am trying to estimate the optimal hedge variance ratio for cross hedging two commodities. the price levels are used (compared to price change and % price change) and used the OLS with dummy variable for estimating the co-efficients. the equation looks like this Y = B + B1*D1 + B2*X + B3*(X*D1) Where Y = Daily Cash market price D1 = Dummy variable taking value 1 for pe...

Dear all, I would like to add mixed effects in a multinomial model and I am trying to use MCMCglmm for that. The main problem I face: my data set consits of a trapping data set, where the observation at eah trap (1 or 0 for each species) have been aggregated per traplines. Therefore we have a proportion of presence/absence for each species per trapline. ex: ID_line mesh habitat Apsy Mygl

...seeking a Statistician/Programmer for its new San Francisco office. You will be responsible for designing and programming modeling tools used in convertible and capital structure arbitrage. You will also be responsible for analyzing market data to identify trade opportunities as well as promising hedging strategies. You will work in a small office environment, on the trading desk and directly with the portfolio manager. Ideally you will have a PhD in Statistics or a closely related discipline and significant experience with a statistical programming language such as S. Other pluses include a bac...

Hi, I starting a new project, and have run into behavior I cannot replicate in irb, (i.e. outside of using rspec) when the directory? returns true, so I thought I''d ask here, in case any one has seen this badhavior. ruby-1.9.2-p136 rspec (2.5.0) rspec-core (2.5.1) rspec-expectations (2.5.0) rspec-mocks (2.5.0) When I try to run this spec: require Pathname(__FILE__).ascend { |d|

Hi all i have two data sets, spot and futures cash market prices. to estimate the minimum variance hedge ratio, i first had a glance on the correlation coefficient of relative price change (ln(St / St-1). surprizingly the value is just 0.2 compared to actual price correlation of 0.9. (i did regress the spot change on future change, co-effi is 0.3, and R2 is only 0.025 a) in such scenario can

A quantitative hedge fund within Lazard Asset Management in New York City is looking for a talented programmer/statistician to join a small team of researchers and portfolio managers. The job would intersect the fields of finance, applied statistics and computer science. The position involves applying intelligent design and development of r programs to accelerate the speed of research. The

i am working on the project to analyze hedge fund performance, i would appreciate that if you guys could spare some time helping me out with the R code. Thanks. The senario is: i applied BOXPLOT() to plot the performance of all hedge funds with 7 strategies. And right now in this boxplot I need to plot the points of 30 individual hedge funds from my portfolio. And I applied POINTS() and

Hi, I''m struggling with something that seems to be simple, and I''ve not had any joy following the RSpec books suggestions (p. 187). I''d like to test that a method raises and error when a file is not found. I''ve tried adding this in my example just before I call my method, but it never seems to get invoked. Pathname.stub(:exist?).and_return(false) The whole

Dear list subscribers, this is posted in appreciation of the level of skill that subscribers to this mailing list enjoy and in no way to abuse it. We are looking to hire a Research Developer with extensive R and/or python development skills. If interested (below), please contact me directly on osklyar at ahl.com: Man Group / AHL Research Developer [3040] Man is a world-leading alternative

Hi, This is probably trivial to most people out there, but I'm struggling with this. I have a data set which contains the closing prices (properly adjusted for dividends and splits) for several hundred securities and the closing prices for a general stock market index (S&P 500). I have no problem getting it into R with RODBC and manipulating it. There are no missing values. I can

On Jun 20, 2013, at 9:48 PM, Reed Hedges wrote: > UPSPORT=/dev/ttyS0 > > # type cablep kill t powerok battok cableok > robot --- RI 0 /RI --- --- > ? > > Is there an equivalent of ?---? in genericups? I think it's pretty much any value other than a valid

OK, I'll try "none" and see what happens. -----Original Message----- From: Charles Lepple [mailto:clepple at gmail.com] Sent: Thursday, June 20, 2013 10:14 PM To: Reed Hedges Cc: nut-upsuser at lists.alioth.debian.org Subject: Re: [Nut-upsuser] help creating custom genericups configuration - RNG only! On Jun 20, 2013, at 9:48 PM, Reed Hedges wrote: > UPSPORT=/dev/ttyS0 >

Hello Amelie, I don't have an answer to your question, but I just wanted to point out this page I noticed recently ( http://hlplab.wordpress.com/2009/05/07/multinomial-random-effects-models-in-r/), which might be helpful. I'm also interested in figuring out how to do a multinomial glmm, so if you find out anything I'd be happy to hear more about it! Based on what I've found so

Hi everybody, Question: why are my dataframe and numeric variables a character? I read an excel file via readxl but my dataframe is a character, and numeric variables, eg "yi", are also a character. My excelfile is in English numeric Sometimes the dataframe was indeed a dataframe, but I do not know why it did sometimes. Thank you in advance, Roberto PS I used "guess". The

Hello, I am trying to understand how to create a custom configuration for the genericups driver. My system simply signals RI on a serial port on low battery. That's it, nothing else. This serial port is also being used for communications so the other lines are going to be changing all the time, unrelated to the UPS state. Is there a "null" upstype I can use, and then add LB=RNG?

Hello, I recently started using the metafor package (version 1.6-0) in R (2.15.1, 64-bit Windows 7) and noticed that I was getting slightly different values when I manually calculated the standardized mean difference versus what escalc was giving me. Here''s a very simple example: escalc(measure="SMD", m1i=5,m2i=10,n1i=5,n2i=5,sd1i=1,sd2i=2,vtype="LS") The result

Can anyone please tell whether there is any R function to act as "VEC" and "VECH" operator on Matrix? Yes of course, I can write a user-defined-function for that or else, I can put dim(mat) <- NULL. However I am looking for some R function. Your help will be highly appreciated. Regards, -- View this message in context:

...t there are no SSL-enabled ODBC drivers on the distributed side that we can find. We hoped we could use SSH-tunneling, but it appears the only 'obvious' implementation has EBCDIC-ASCII issues, and so can't handle binary (now, I don't know for sure that ODBC is binary, but I'm hedging my bets.) I saw on a website that you have been looking at this, and I was wondering if you have implemented it to a level which we can try it out, or can point us in the right direction if we're going down the wrong path... Many thanks in advance for any help you can give. Happy Holidays!...

Dear R-Users, I've written a number of functions in a .R/script file. I would like to call those functions from another script file. How can I execute all the code in a script file so that the functions are available for use in my other script file ? I have tried help.search("script") and various Google alternatives but couldn't come up with anything. Thanks in advance,

Dear R Users, I am trying to get plot.zoo to place monthy tickmarks/labels for a time series which spans daily data going back a bit over a year. Right now, I am getting only one tick mark on the x-axis for the beginning of 2008. How can I force plot.zoo to place more regular x-axis tick marks on a monthly basis ? Thanks in advance, Tolga Generally, this communication is for informational