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2
votes
0answers
82 views
Difference between kappa and delta in mixed-effects model
(This question is a crosspost from Cross Validated)
I have a following stochastic model describing evolution of a process (Y) in space and time. Ds and Dt are domain in space (2D with x and y axes) ...
7
votes
1answer
334 views
Do people use unbounded interest rate models, and what alternatives exist?
A simple interest rate model in discrete time is the autoregressive model,
$$
I_{n+1} = \alpha I_n+w_n
$$
where $\alpha\in [0,1)$ and $w_n\geq 0$ are i.i.d. random variables. When working with ruin ...
8
votes
3answers
210 views
Are there any standard techniques for adding realistic synthetic microstructure noise to a price series?
This may seem like a strange question, but for my particular application we need to actually add synthetic microstructure noise to real time charts. The signal should still be representative of the ...
7
votes
2answers
681 views
Why doesn't Black-Scholes work in discrete time?
I have a question considering Financial markets in discrete Time:
One of the main theorems in discrete time is:
In finite discrete Time with trading times t={1,...,T} the following are equivallent:
...
9
votes
6answers
860 views
How to generate a random price series with a specified range and correlation with an actual price?
I want to generate a mock price series. I want it to be within a certain range and have a defined correlation with the original price series.
If I choose, say, oil, I want as many time series which ...
8
votes
2answers
2k views
How can I compare distributions using only mean and standard deviation?
I only have means and standard deviations of samples of two random variables. What technique can I use to determine how similar the distributions these describe are? Assume that the values are built ...
3
votes
1answer
756 views
Linear combination of gaussian random variables
I know what random variables are but I don't understand what a linear combination of gaussian random variables is. Can anyone please give me an explanation or clues?
Thanks in advance,
Julien.
