Considering going in for sas certification, just to give me the motivation for continued learning....or rather structure. But maybe that is too much pressure.

time distance

Here is a link to the mathematical institute seminars

http://www.imsc.res.in/seminars

It is not so clear to me that there are these different parts of me, which have different interests. I wonder where the merge.

Other wise

A lot of time has been going in other work. Not wanting to force learning. Hoping that if I go with the flow, the time series and psychology will get a time share. Been busy though.

Time Series Analysis

Laboriously trying to find sites where something is written clearly about time series analysis.

more regressions..........enjoy it.

more reg

Did a little more regression. understood to find really small pvalue and so determine the significance of the regression as well as the coeffecients. Also looked at the chart to find distributed variances.

Regression and datasets

Did some regression tests with three datasets. Downloading datasets and performing excel regression tests. And plotting some charts also. Good start. Plan to download some data related to economics and have a collection of datasets. Have to proceed to anova next....scary.

What is the purpose of thoughts?

Why are there thoughts during the awakened state? To make decisions we seem to require but a few thought. Why does the mind need to be used in other times? There must be a purpose in creation? What is the nature of the mind? Is it to solve problems. But there is aversion or at least some effort in disciplining the mind for example in meditation, mathematics, logic etc. Is the mind to solve body related issues by giving the body the maximum possible sensation of pleasure? By reliving pleasurable moments. But why then do we also hold on to anger and fear? Are emotions a way for the body to regurgitate sensations onto the body? Is the ultimate goal a safe survival mechanism? But why the constancy of thought? Is that a problem of the modern man.

Las Vegas House Prices May 2011

Looking at the case shiller house price index,it seems like house prices in Las Vegas are cheap at the moment and a good value.

Is there truth?

Is there some aspects of subjects which are true or hold on to a behaviour independent of the object's observation. Does a crow that I observe hold some truth and some behaviour irrespective of the nature my human mind attributes to it such as a black, bird, rapacious etc. Clearly the bird and me being relatively independent entities, the crow still eats what I call food and drinks what I call water. So this aspect of the crows behaviour exists inspite of the attributes I give to the crow. However limited my observation may be in terms of the totality of what a crow is or in the way the crow sees itself, there seems some truth in my observation. So indeed there seems to be a subjective truth.

S(Crow,Human) = T(Crow) x O(Human)
S(Crow,Rat) = T(Crow) x O(Rat)
S(Crow,Crow) = T(Crow) x O(Crow)

Where S is Subject, T is Truth , O is Object

Now it seems that there is no way to reach the truth without the Object. Even in mathematics, I know a natural number when I see on and also the properties of addition, but do I really know ALL about what a natural number is? Doubtful. It is doubtful that the Object can ever fully comprehend Truth about any subject.

Short term rates

Looked at deploying money in short term fixed income bank instruments. Looked at some money market instruments that may be available.Can only find a way to invest using a mutual fund, but seems like return is better than fixed income for the horizon I am looking at.

Tried to maximise interest, given liquidity constraints as well as risk appetite.

Nifty Correlations

Open High Low Close
Open 1
High 0.985292844 1
Low 0.97947623 0.982470897 1
Close 0.952274718 0.975614265 0.985256053 1

The above is the correlations between the various Nifty Index, Open, High, Low, Close. The Open is more correlated to the high of the day than the low and close. The low is more correlated to the close of the day than the open and high.

Simple strategy would be to buy at close everyday and sell at open everyday!! :-)
Don't send me your savings yet!

Bloodshed

Downloading and installing of Bloodsheed dev C++ for having a programming environment.

Aversion

Aversion to the discipline of sustained and strict learning needed for dry subjects like mathematics, finance, psychology, philosophy. Want FUN!

Steep challenges

Steep challenges are many. Mortgages , statistics, arbitrage, central banking.

Collective2

Collective2 for trading systems repository. Collective2

Nifty Index Inclusion Prediction Tool

Tool to predict which company might be added or subtracted from the list of 50 index stocks.

ebay trade crack

cracked ebay trade of dresses to buying with high certainity the good value ones that I want. Excluded are top-rated ones like Karen Millen which have a high hidden auction price.

Poker crack

Cracked online yahoo poker game with fixed rules .Although seem to have lost the rule book.

Mumbai Taxi tariff system

A system that calculates how the mumbai taxi card is derived from its meter readings.

Market Commentary 01-05-2011

Metals Gold , silver, in a growth run since 2008. Gold in steep growth.
USD falling versus Euro and Yen. Holding against INR at 50.

Trading System One

30-Sep-10 79.95 11.15% 0 1 11 B 655.04
31-Oct-10 81.45 1.88% 0 0 655.04
30-Nov-10 84.12 3.28% 0 0 655.04
31-Dec-10 91.38 8.63% 0 0 655.04
31-Jan-11 90.99 -0.43% 0 0 655.04
28-Feb-11 97.1 6.72% 0 0 655.04
31-Mar-11 106.19 9.36% 0 0 655.04
30-Apr-11 111.72 5.21% 0 0 655.04
0 S 1228.92

System, that actually goes to profit! On Crude and in excel! Whoa!

Community

Would like to interact with similar people interested in developing trading systems. Added myself on 43things.com and on linkedin groups.

Data download and charts of returns

Downloaded Wikiposit data on

Gold
Crude
Nasdaq
Nifty
USD_JPN, USD_Eur, USD_INR

and plotted historical charts of prices and returns. The data is yearly, monthly.

Optimization methods for arbitraging in Indian Markets

Project Scope: Arbitraging is used to describe the trading activity that buys and sells similar securities with dissimilar pricing almost instantaneously. The only risk that arbitraging carries and is paid for is the execution risk. The reasons for the dissimilar pricing of securities, eg. stocks of the same stock trading in different exchanges or the stock price and its corresponding discounted futures price, can be due to market structure, liquidity in the particular security etc. These market inconsistencies can be seen to be against the efficient market hypothesis.

The scope of the project is not to disprove the EMH or to delve into the reasons why arbitrage opportunities exist, but to try to see if there is a consistent pattern in stock or cash future arbitrage trading in the India markets specifically between stocks trading in the NSE and BSE exchange and futures trading in the NSE exchange.

Exploratory thoughts

1.Arbitrage returns for a pair of cash and future is sticky.
2.Arbitrage returns depend on inclusion in the Stock Index – Nifty or Sensex
3.Arbitrage returns are sinusoidal for each pair, with a fixed frequency and amplitude.
4.Correlation between arbitrage pairs
5.Market movement and arbitrage

Future Scope

Build a statistical arbitrage model.

Goal

Goal is to consistently develop tools that analyse data to create useful trading models. Also to develop in house software that can able such analysis. Refurnish skills in software coding, pick up confidence in data analysis and build trading models.

Wikiposit

Nice website on data

Wikiposit