Unrelated Nonsenses

Prison Break Started to watch Prison Break last week, largely because I was curious why the show can be so popular in China. The plot is pretty good for a TV series. My favorite character so far is "Haywire", despite his freakiness. I wonder if one day, when I wake up in the morning, I can be crazy enough to start building a raft on the bank of Hudson river and sail to Holland. Amaranth Wall Street Journal has a very good article on the aftermath of Amaranth, the hedge fund that lost more than $6 billion dollars last fall on its bet in energy futures, the largest hedge fund failure in history: HEDGE-FUND HARDBALL: Amid Amaranth's Crisis, Other Players Profited (requires WSJ subscription)

Citigroup and StarWars

My blog has been "widely" critisized to be too technical --- despite there are only a handful of people reading it. So here is something non-technical:

It's something I worked on for the opening of my presentation in merger and aquisation class. Enjoy...

Random Walk in Financial Engineering: The First Step

As any qualified software engineer would do, I set off my journal into Financial Engineering with a "hello, world" alike application. In the case of Finance Engineering, that would be to model the movement of individual stocks --- in Geometric Brownian Motion. I choosed C#/.NET 2.0 to write the application. The first step is a normal distribution random number generator. I'm too lazy to write my own, so I used the one written by Stefan Troschütz on code project. Alternatively, the random number generator can be written base on CLT (Central Limit Theorem). Next, instead of writting the simplified processes such as the standard wiener process, I started with the most general form of all: Ito Process: Coefficients a(x, t) and b(x, t) are both implemented as C# delegates. This enables implementing the simpler processes in the subclasses. For example, in standard wiener process, a(x, t) is set to 0 and b(x, t) to 1. In Geometric Brownian Motion, on the other hand, a(x, t) is set to μS while b(x, t) is set to δS: Here is one sample graph for an imaginary stock follows GBM. You can probably read some techinical indicators off it (support, resistence, etc):

HD DVD and Blu-ray Cracked

AACS has confirmed on its website that the HD DVD and Blu-ray encryption system has been crached:

AACS LA has confirmed that AACS Title Keys have
appeared on public web sites without authorization.
Such unauthorized disclosures indicate an attack
on one or more players sold by AACS licensees...

Ironically, these formats are not anywhere close to becoming the mainstream yet, even with all the help from PS3 and Xbox360. I have always wondered why anyone would spend such significent amount of time and money in media encryption. Since the terminal decryption equipment and media are both in consumers' (hackers') complete control, it's always a matter of time before someone find a way to intercept the communication. IMHO, the right way to stop illegal copies is to make media easily accessible: if I have a legid way to download HD movie for $1 or $2 and play it on my HDTV/PC, why'd I spend 7 days to crack the system?

Back to the drawing board

Although I've never planed to spend my life as a Quant ---- My discrete, engineer brain is just not well trained for it ---- I have long realized that a better understanding of quatitative finance would provide tremendous help for my work (risk management system design, for example). I have finally decided to spend some serious time to study PDE and SDE, the mathematical corner stones of financial engineering, also subjects that I have given back to my college calculus professor for a long time. At the end of the tunnel, I hope that I could have a better grasp on models that utilize tools such as the Itō's lemma： Here is a pretty decent explanation for the non-quant types.

What hapens when you misspell Google...

Wall Street Under Attack

A report compiled by McKinsey and published on NY Sen. Charles Schumer's website claims that Manhattan, as the world's financial center, is increasingly challenged by rival cities like London, Tokyo and Hong Kong. This might actually be a good thing --- the winter here in NYC sucks anyway ---- Dubai seems to be a very good choice in that regards.

Books on Financial Disasters

	Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County. How a supposedly consevertively managed fund can lose some 27% of its value, and eventually, bankrupted one of the richest county in the US in just several months when the interest rate environment turned against it.
	Rogue Trader: How I Brought Down Barings Bank and Shook the Financial World The lack of risk management and a rogue trader on the loose brought down one of the most prestigious bank of England. The fact that Nick Leeson himself wrote this book makes it particularly intersting.
	When Genius Failed: The Rise and Fall of Long-Term Capital Management There couldn't have been a better title. The LTCM story is probably the most dramatic story in financial world: managed by nobel prize winners, the gigantic fund's fall threated the entire financial system that the FED has to put togather a rescue package.
	Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It Another count of the LTCM story. This book focuses more on the quantitative side.

Get the name of the worksheet

   =MID(CELL("filename",A1),FIND("]",CELL("filename",A1))+1,256)

CELL function returns the file name of the currently opened workbook, appendixed by the worksheet the referenced cell (A1 in this case) is on. The file name is quoted in squre brackets. Other information can be retrieved with the same function includes "width", "format", etc. Here for details.

Process Explorer

Ever wondered which application is keeping what files open and what registry keys its using? Process Explorer comes very handy on that. The search functionality allows you to search for the process that open a specific file or registry key. Aside from Process Explorer, Sysinternal (Acquired by Microsoft in 2006) has produced a host of extremely useful tools. Check them out here.

CFA or FRM, that's the question

QQ and I both passed CFA Level I exam. This is not very suprising considering most of the subject matters are already covered in Finance and Economics classes during my MBA study at Baruch. Now it's time to set a goal for this year: it's either CFA Level II or FRM by GARP. Personally I'd prefer FRM because I'm more interested in the fundamental quatitative aspect of Finance (and in fact that's where I'm lagging behind). Besides, the three level CFA exams are really a lengthy torture. On the other hand, CFA does cover a much broader knowledge base...

Snap!

Snap Preview Anywhere is a nice gudget that displays a preview image when the mouse hovers on a link. It's free, and adding one line to the page template does the trick.

Excel: define drop down list for a cell

When defining a drop down list for a cell in Excel Data Validation, the valid values have to be on the same worksheet. A work around to this is to define the values as a named list first (I.E. name "Departments"), then reference the list name in Data Validation ( "=Departments"). Details here.

Pointlessness

This is my third attempt to start my blog(first here and second...). There are ample reasons to start my new blog now: for one, I have finally completed the 2 and a half year study at Baruch college. I can enjoy my weekday nights and weekend mornings reading and writing. This also means that it's probably time for me to catch up on new developments in software technology. I have practically given up studying in the past two and half years. It's time to upgrade my brain to C# 3.0, Windows Vista, WebServices and XP... Finally, I just became a "proud" homeowner before the new year. There are so many new and interesting home projects await me (building my dream home theater system, for a starter). So many new experiences I'd like to write about. I've also created my personal wiki space.