Questions tagged [random-variables]
The random-variables tag has no usage guidance.
9
questions with no upvoted or accepted answers
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sub-Gaussian random variables in financial economics
Unlike financial time series that typically possess fat tails, sub-Gaussian random variables have strong decay in the tails of their distribution. do sub-Gaussian random variables or processes appear ...
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Convolution of generalized hyperbolic distribution
I have a question concerning the convolution of generalized hyperbolic distributions.
Proposition 6.13 of McNeil, Embrechts, Frey states the following:
If $X$ has a $d$-dimensional generalized ...
1
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Sharpe ratio and uniformly distributed random portfolio
I am currently working on this paper which derives the Sharpe ratio distribution of uniformly random porfolios:
https://www.researchgate.net/publication/...
1
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Concentration of measure phenomena in financial mathematics
Concentration of measure is a small area of statistics and probability theory that proved inequalities regarding the statistical properties of sets of random variables that exclude one of those random ...
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Full Copula View using Meucci's Full Flexible View
I'm currently setting up an "Investment Framework" that should allow the following steps:
Investment Committee (IC) has to decide on probabilities for 4 different market states. I have historical ...
1
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0
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Simulate correlated Brownian motions conditioned on future state(s)
Consider a model defined by 2 geometric Brownian motions
$$dY_{1}(t) = \sigma_{2} Y_{1}(t)dW_{1}(t)$$
$$dY_{2}(t) = \sigma_{2} Y_{2}(t)dW_{2}(t)$$
with $Y_{1}(0) = y_{1}$, $Y_{2}=y_{2}$ and $dW_{1}(...
1
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Process Transforms (Fractional Difference)
Let's say I have a process $X_t$ with unknown variance process $V_t$.
Then, I write $\mathrm{EMA}[X_t]$ to be the 5 sec exponential moving average of $X_t$.
Consider the transformation $$\sum (X_t-\...
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0
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is it possible to make changes to use the affine property of Normal random variables, rather than the Central Limit Theorem?
I have proven the distribution of a discrete time model, evolving over a uniform mesh with $\delta t = T/L$ is given by
$$S(t_{i+1}) = S(t_i) + \mu \delta t S(t_i) + \sigma\sqrt{\delta t}S(t_i)Y_i,$$
...
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Can we generate(in high dimension) uniformly distributed variables in a finite volume other than a cube?
I'd like to know if there is in the literature a (computationally cheap) algorithm to generate uniformly distributed variables in high dimension for a volume other than a cube and without using ...