# Tagged Questions

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0answers
38 views

### How to calculate the estimation error of portfolio variance using propagation results?

I am trying to find a conservative approximation for the propagated estimation error of a investment portfolio's variance (comprising two assets), given we know the estimation error for the variance ...
0answers
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### R quantstrat backtest with dollar based position sizing

I am attempting to tweak a quantstrat based backtest but have run into an issue. The maxPos limits are share based, and I would rather use a fixed dollar amount instead. So I've tried generating a ...
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### How to Handle Error in SEC Filings

Sometimes I see obvious errors in the 10-K or 10-Q filings that appear to go uncorrected in subsequent filings for the same period. For example, on June 9, 2014 Apple, Inc. did a 7-to-1 stock split. ...
0answers
62 views

### Calculating the error of a Trinomial Model

I've been trying to find a formula to obtain the maximum relative error a trinomial model with n timesteps will incur given all other inputs as compared to the standard BSM model. I'm concerned mostly ...
0answers
207 views

### Good criteria to sort state-space $\beta_{t}$ according to Kalman filter output

Let the usual state-space linear model (without constant term for the sake of simplicity): $y_{t}=\beta_{t} X_{t}+\epsilon_{t}$ If we use Gaussian Kalman filter to estimate $\beta_{t}$ we get $P_{t}$...
3answers
463 views

### Scanning a stock database for errors/flaws

I'm currently working on some matlab code that is supposed to check a stock database for any errors (missing values, wrong values, etc.). The reason for this is that after reading this post I came to ...