Saturday, October 31, 2009

Unix Utils For Windows

Years ago I had stumbled on this rather cool project UnixUtils at
The project is a complete native port of most of the common unix utils for windows.

Choose these Utils A La Carte style at Quant Principle's Unix Utils Page.

While I am aware of the fact that most hard core unix gurus will just install cygwin or possibly get the z-shell to work on a windows environment, Some people would just like to copy one or two (or 12) of their favorite unix utils to a windows box. In personally find that if you have wc (word count), tail, less, ls, grep, egrep, cat, bunzip2, bzip2, chmod, cksum, diff, gawk, gunzip, gzip, make, patch, sed, touch, ufind (I renamed find to ufind so it would not conflict with the dos version of find), unrar, zip and unzip; with these executables you will be able to function very nicely on a windows box.

When I pull these files onto my box, I place them in c:\usr\local\bin. However if I am on a foreign system that does not have unix utils installed, I will just grab the one or two I need from the Quant Principles Unix Utils List, and place them in the [windows]\system32 directory. That directory is Alwasy in the path. it is usually located at c:\windows\system32

You can get the official source and binary from unixutils on, or you can download the bianaries individualy at Quant Principles Unix Utils List.

Wednesday, October 28, 2009

Inertial Confinement Fusion

What does Inertial Confinement Fusion have to do with Quantitative Finance?

Not Very Much. However it does have 1 thing in common, me. Prior to working in finance, I spent time working on helping to solve the Inertial Confinement Fusion problem. What is Inertial Confinement Fusion (ICF)? ICF is a technique to use LASER light or particle beams to compress fusion able fuel such as D-T. There are many issues with this concept. One of the most significant issues is the fact that in order to compress a fuel pellet to the number density required to achieve fusion, fluid instabilities arise which tend to disrupt the compression phase of the cycle. My thesis studied Numerical Modeling of the Rayleigh-Taylor and Kelvin-Helmholtz instabilities. You can find an HTML version of the thesis at

ICF as a concept is very similar to the internal combustion engine. While I was working on my thesis, I drew a picture that showed the phases of ICF, verses the phases of the internal combustion engine.

Why am I putting this out now? I finished up my thesis in 1995, using latex209 (before the real latex; back in the day when you used .sty files instead of .cls)
Because some of the articles that I have been working on for are mathematically rigorous, I decided to dust off my latex skills, and write the articles using latex. In doing that I decided to see if I could get my thesis to compile in latex (it did) but I could not get htlatex to make my thesis into a web page. So I translated the latex209 code of my thesis to standard latex. Once I did that the htlatex worked pretty well (There were several places it should have put a br page break and didn't, also it did not size images properly.)

Monday, October 26, 2009

Delta Neutral Hedging

Delta Neutral Hedging is a concept of creating a portfolio which has a net value that is kept neutral to movements in the underlying stock price. By dynamically re-hedging an investor is able to effectively buy low and sell high. This is the concept of a good investor. Quant Principle has an excellent article discussing delta neutral hedging.

This article discusses Delta (δ) neutral hedging, and Delta (δ) neutral dynamic hedging. The article discusses the theory, the mathematics and a theoretical example. The example sets up a very simple portfolio that contains a long Call Option, and a short position on the underlying stock. The simple strategy demonstrates the concept of trading on volatility.

Finally, the article presents a brief discussion of the risks associated with Delta Neutral hedging.

Thursday, October 01, 2009

Investment Clubs

Well since Mr Madoff (Bernie Madoff) created the greatest pyramid scheme of our time, I have been wondering if money managers are over rated. To that end I started looking at other options. That is other options to money managers. Well, there are mutual funds, which are much more regulated. However, mutual funds especially actively managed ones can have fairly significant fees. Investigating further, I found quite an intersting alternative. The great thing about this alternative is that it has been demonstrated to give as good a return on investment as some of the best managed funds in the world, with a much lower cost and fee structure. The alternative is an investment club.

An investment club is a group of people who form a corporation, LLC, or joint venture; and pool there collective funds together for investing. The advantage is that a small group of modest investors can pool enough funds together to get very low transaction costs, and have a very low management fee.