# Tag Info

5

I just made a Genetic Algorithms calculator you can try at http://www.gregthatcher.com/Stocks/GeneticAlgorithmCalculator.aspx I'm not a "quant expert" like all of you (I'm just a programmer), but here is what I've found. 1.) If you set the constraints up correctly, the results are amazing. e.g. you can get portfolios that have very high return and low ...

3

Unfortunately, there is no correct answer for this question, it's like what car you should drive on your weekend. C++ is a popular language in quantitative finance, but it's usually (but not always!) only used to build the application backbone, such as derivative pricing. Why C++? C++ is a good choice because C++ is platform independent, we can natively ...

3

This problem is not interesting enough, because putting your money in the bank guarantees you zero volatility (and a zero return on investment). In practice, whatever set of assets you chose you would get a very extreme solution (e.g. 100% weight on one asset with very low volatility.) With a minor tweak, you can get a very interesting problem. You can ...

2

Since there is a closed form in the BS case for continuous barrier options, you probably won't find a huge amount of work on this since it's not needed. In the discrete case, I did a paper with Tang: http://ssrn.com/abstract=1441142 Pricing and Deltas of Discretely-Monitored Barrier Options Using Stratified Sampling on the Hitting-Times to the Barrier

2

I'd recommend M. Joshi and T. Leung "Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options". Though it assumes jump-diffusion process for the returns it is straightforward to obtain the scheme for a diffusion process. Also Paul Glasserman's [book][2] [2]: ...

1

Why can't you just adjust your book prices by the variable price and then subtract the fixed price off the PNL when calculating that up? For exchange, with a 2% variable fee, a book 98 bid 100, resting offer at $100 would go up too$102 and bid go down to \$96.04. Note evaluate your arbs like you normally would and subtract off the fixed fees from the ...

1

It does create a see-saw. This can be reduced by having it charge a slightly bigger spread, which gets contributed to b. In this way, b effectively becomes a market making fund, and volatility decreases as trade volume increases. This makes the LMSR market maker liquidity sensitive. This makes the market more efficient as spreads decrease over time as ...

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