Tag Info

Hot answers tagged

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 ...


2

I have experience of C# as a strategy client at the end of a VB .Net ticker plant. The latency fluctuations caused by the garbage collection could be in the order of seconds! And occurred every four or five minutes with a stream of a 1000-ish ticks a second. I was the first engineer to test our trading system in this way, it was a shock to all concerned and ...


2

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

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 ...


1

Hello people. This is quite a complex problem if you want to solve this in a computationally efficient way for a rolling window. I have gone ahead and written a solution to this in C#. I want to share this as the effort required to replicate this work is quite high. First, here are the results: here we take a simple drawdown implementation and ...



Only top voted, non community-wiki answers of a minimum length are eligible