# All Questions

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### GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about prediction in the ...
26 views

### Distribution of minimum of hazard functions

Suppose I have two random variables, $X_1$ and $X_2$, that are independent (but not identically distributed) and assume both have hazard functions $\lambda_1(s)$ and $\lambda_2(s)$, for $s > 0$. ...
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### where to find the information to test option on bond future valuation model?

I am trying to use Quantlib to build a program to pricing option on bond future.I try to find information about it, but unfortunately I could not, so please enlighten me where could I find the ...
24 views

### Close price or adjclose price to calculate volatility?

To calculate volatility, which price in FTSE table is used? When do we use close price for calculating volatility? Do we use adjclose (adjusted close price) for calculating volatility as well? when ...
28 views

### Hidden Markov Models methods for selecting optimal number of states

Package RHmm (R) I have a vector which I fit into a hmm model in an attempt to select an optimal number of states for a hidden markov model. ...
87 views

### Portfolio optimization with Portfolio CVaR Constraint

I wanted to optimize a portfolio based on a portfolio-wide CVaR constraint (i.e. $CVaR_p \leq 0.08$). Unfortunately, I only find solution that minimizes the entire CVaR of the Portfolio. Do you mind ...
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### Effective simulation of multi factor Heston model

Im looking for a quick way (as in runs quick, not necessarily is quick to implement) of simulating multiple square root processes for a stochastic volatility model, flexible enough to allow for ...
22 views

### Features for financial prediction [on hold]

What are some of the most popular features used for financial prediction in Machine Learning?
4k views

### Is there any thing out there as a substitute for KDB?

thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...
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### How to drive simple european put price under Gabillon 2-factor model?

Can someone explain to me for a Simple European Put payoff P(S,T) = max(K-S,0)), how to get simulation and calibration models using analytical approaches, binomial and trinomial trees, multi-factor ...
39 views

### What's the disadvantage of ARMA-GARCH model?

I want to ask why ARMA-GARCH is more and more popolar, and what's the advantage of this model.
27 views

### Does GARCH derived variance explain the auto-correlation in a time series?

Given a time series of $u_i$ returns where i=1 to t. $\sigma_i$ is calculated from GARCH(1,1) as $\sigma_i^2=w+\alpha u_{i-1}^2 +\beta \sigma_{i-1}^2$ . What is the mathematical basis to say that ...
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### Why are short expiries associated with more pronounced volatility skews?

I've noticed that for a given strike price, the shorter expiration dates of options have more pronounced volatilities why is that?
121 views

### How to perform Empirical Mode Decomposition?

I am trying to use the EMD applied to EURUSD open price to train a machine learning algo (RVM). I have run only once the EMD on my training set and once on the training+test set. The results on the ...
50 views

### if technical analysis rules for predict stock prices is unique for all cases, why should we learn neural networks? [closed]

Is there any neural network out of the box tool that was already learned all technical rules by feeding many stock trading data?
34 views

### Financial Engineer as a career [closed]

I'm now studying in Bachelors in economics.Can I become a financial engineer with this degree?? Why or why not?? And Also what is the minimum GPA do I need to get to that program
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### PWIQF excercise solution

I am software developer with no previous experience or knowledge in finance and have recently been starting to build my knowledge in this area. I am working through the book: Paul Wilmott Introduces ...
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### How would you correct a GARCH model to deal with non mean reverting volatility?

I am currently attempting to model and forecast volatility of bitcoin but have not been able to find a GARCH model that fits the data appropriately. I've used tick data sampled at 1 hour intervals ...
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### full tick and retail tick data feed difference

Full tick institutional data feed like elektron from reuters, how is it different from retail tick data feed & which charting softwares work with elektron data feed