I plan to use Kalman filter to estimate saving account amount. However, I'm a bit lost at how to tune the filter's parameters. Taking as the example from the Wikipedia page, basically there are ...
Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?
So I have been trying to implement a simple Heston calibration using crude MC with 10k scenarios and 1000 time steps and the best I could get is 3x of the observed implied volatility. I suspect it ...
Most automated trading systems have a number of embedded parameters such as the lookback periods, entry and exit thresholds, etc. This is like the moving average crossover system or any of the systems ...