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| bio | website | |
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| visits | member for | 2 years, 3 months |
| seen | May 14 at 5:35 | |
| stats | profile views | 146 |
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Feb 2 |
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How useful is Markov chain Monte Carlo for quantitative finance? Same question as @DavidShor. Also even if true, financial applications of quantitative methods are not only pricing. |
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Feb 2 |
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Mean reverting strategies This link is quite interesting I think arxiv.org/abs/0808.1710 |
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Feb 2 |
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Mean reverting strategies Orstein-Uhlenbeck is a AR(1) if I am not wrong? I would like a more general method. I have tried to fit a time varying ARMA(p,q), which is I think a more general model than Orstein-Uhlenbeck. |
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Feb 2 |
answered | How does pair trading work? |
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Feb 2 |
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Mean reverting strategies I agree it is a good debate. But honestly I think we can share technics without the strategies themselves. It is often a matter of how you use the technics... |
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Feb 1 |
awarded | Teacher |
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Feb 1 |
awarded | Supporter |
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Feb 1 |
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What type of analysis is appropriate for assessing the performance time-series forecasts? better answer than mine, richardh. I would add that this model will help you deal with linear relationship (pearson autocorrelation) of your residual. But in theory you can remove any type of relationship between them. The only thing you need is to find a model for your residuals and add it to your original forecasting model to remove this deterministic part of the residuals. basically a good model is obtained when the residuals are really random. |
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Feb 1 |
asked | Mean reverting strategies |
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Feb 1 |
answered | What type of analysis is appropriate for assessing the performance time-series forecasts? |
