Equity Correlation Trading Silverio Foresi and Adrien Vesval Goldman Sachs NYU‚ April 2006 Outline • • • Equity Correlation: Definitions‚ Products and Trade Structures Rationale: Evidence and Models Opportunities: an Historical Perspective Correlation Products Building Blocks: Vol Products • Realized variance: RV • 1 = n ∑ T t =1 St (ln( )) S t −1 2 OTC products to trade realized variance: – Delta-hedged options (straddles) – Volatility swap – Variance swap
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PREDICTION AND CORRELATION Correlation coefficients not only describe the relationship between variables; they also allow us to make predictions from one variable to another. Correlations between variables indicate that when one variable is present at a certain level‚ the other also tends to be present at a certain level. Notice the wording used. The statement is qualified by the use of the phrase “tends to.” We are not saying that a prediction is guaranteed‚ nor that the relationship is causal—but
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CORRELATION RESEARCH DEFINITION: Correlational research tests for statistical relationships between variables. The researcher begins with the idea that there might be a relationship between two variables. She or he then measures both variables for each of a large number of cases and checks to see if they are in fact related. The relationship of interest could be either a D relationship or an R relationship‚ so this might involve making a bar graph and computing D or making a line graph
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1. Calculate real GDP for 2004 and 2005 using 2004 prices. To calculate the real GDP we use the constant price for 2004 which was $20. Real GDP (base year 2004) 2004 ($20 per CD x 100 CD’s) + ($110 per racquet x 200 racquets) = 24000 2005 ($20 per CD x 120 CD’s) + ($110 per racquet x 210 racquets) = 25500 By what percentage did real GDP grow? Because the Real GDP was $24000 in 2004 and $25500 in 2005‚ real GDP grew by ($25500 - $24000) / $24000 = 0.0625 or 6.25% 2. Calculate the
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NAME IS3445 – Security Strategies in Web Applications and Social Networking Unit 5 Project Part 5: Analyze the Software Development Life Cycle (SDLC) January 29‚ 2015 Report Resources to create secure coding and guidelines: Web application design and coding defects are the main reasons to create a secure coding policy and guidelines. The policy/guidelines are to provide awareness and ensure security when developing code. Techniques to secure code review: Generally‚ IT analyst can divide the secure
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Progressive Regression: A brief analysis of the post-Soviet democratization process of Azerbaijan The demise of the Soviet Union of December of 1991 did not only bring an end of the Cold War; it brought over two-hundred and ninety-three million souls spanning over eleven time zones out of the shadows that lurked behind an Iron Curtain. This unprecedented event in modern history gave birth to an era of transition for the fifteen republics that would emerge‚ providing the world with one of the most
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Causation and Correlation Mary Lee Choate PSY/285 Due April 6‚ 2012 Instructor- Chantell Hines When differentiating between causation and correlation‚ it is extremely significant in systematic thought. These two notions get confused with one another whether it is a misinterpretation or having the aspiration to provide a reasonable description for scientific observations. As a result‚ it is crucial to have the understanding of the difference between the two concepts. In this writing I will
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Within SDLC‚ security should also be considered. How is the application going to be secured? Are we using these phases to the best of our knowledge and incorporating as much security as possible? There are six phases within SDLC. They are Systems analysis‚ design‚ implementation‚ testing‚ acceptance and deployment‚ and maintenance. There are four ways to secure SDLC. They are Governance‚ Construction‚ Verification‚ and Deployment. Within each way to secure SDLC‚ Governance there is strategy and metrics
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Data Mining 95-791 Spring 2013 Lecture #8 Predictive analytics: Regression Artur Dubrawski awd@cs.cmu.edu This unit • Good-old correlation scores revisited • Locally weighted regression – As an approximator of non-linear functions – As a framework for active/purposive acquisition of data 95-791 Data Mining Lecture #8 Slide 2 Copyright © 2000-2013 Artur Dubrawski Correlational scores of association between attributes of data • • • • Linear Rank Quadratic …. Would not it be
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causation and correlation but there are also just as many differences. Causation is when one or more factors contribute to the effect. As said in the PowerPoint review‚ for example‚ if you switch a light switch on it causes the light turns on. The one factor of flipping the light switch on causes the effect of the light to turn on. Correlation is when two or more factors contribute to one effect. There is two different types of correlation. One type of correlation is high correlation which is when
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