Gal Zahavi's blog
About
Submitted by Gal Zahavi on Tue, 02/02/2010 - 17:18The Financial Engineering Laboratory operates within the Technion Research Centers, and is part of the Faculty of Industrial Engineering and Management. It was established in 2009 and is headed by Dr. Gal Zahavi. The primary goal of the lab is to conduct empirical and analytical research in the field of quantitative finance. In the lab students play a very important role taking projects and programing. Students get the chance to step into experimental finance experiencing the models strength, weaknesses and reliability in the presence of real markets.
weizmann institute of science
Submitted by Gal Zahavi on Tue, 03/08/2011 - 08:16weizmann institute of science is opening its gates to talented young M.Sc\PhD reserchers:On March 21 we are having an open day for potential students, see program at: http://www.fgs.org.il/article.php?id=673 .
Stored Data
Submitted by Gal Zahavi on Wed, 02/24/2010 - 15:261. S&P 500 stocks:
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a. 5 days including the dates Dec 3,4,7,8,9 2009. ( spYYYYMMDD)
b. Includes top of book extracted data with Columns Bid,BidSiz,Ask,AskSize,LocalTimeStamp,ExchangeTimeStamp.
2. ES future and its options:
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a. 4 days including the dates Jan 5,6,8,7 2010.( ESYYYYMMDD )
b. Includes top of book data with Columns Bid,BidSiz,Ask,AskSize,ExchangeTimeStamp,LocalTimeStamp
(Time stamp order is revert comparing to S&P data)
Data Links
Submitted by Gal Zahavi on Mon, 02/22/2010 - 08:06Download Interest rate data.
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http://b2b.thefinancials.com/styles.asp?id=LIBOR_Majors_3m
http://www.moneycafe.com/markets/interestrates.htm?qm_target_page=Rates
Israel Intrest rate data (central bank prime rate)
http://www.bankisrael.gov.il/deptdata/pikuah/ribit/ribhahdh.htm
ifc technion
Submitted by Gal Zahavi on Wed, 02/03/2010 - 12:03For up coming event in the Investments & Finance Club in the Technion:
Loge into:
Robust Portfolio Management Under Extrema Events
Submitted by Gal Zahavi on Wed, 02/03/2010 - 10:53<!--[if gte mso 9]>
Extracting diffusion jump arrival rate from stock prices.
Submitted by Gal Zahavi on Wed, 02/03/2010 - 10:06Default Sensitivity Under Altman Z-Scor Framework
Submitted by Gal Zahavi on Wed, 02/03/2010 - 09:38Default Sensitivity Under Altman Z-Scor Framework.
Michal Marom, Tal Moshe, Ron Presburger, Ziv Wangenheim
Adviser- Gal Zahavi
