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Operations Research, Monte Carlo simulation and Time Series forecasting. Direct email: samikr@gmail.com


Jan
21
comment Generate correlated random variables from Normal and Gamma distributions
We get streams of uniform numbers with the desired correlation after 2nd step, and then using the inverse PDF, we retain the correlation structure after 3rd step.
Jan
17
awarded  Commentator
Jan
17
comment Generate correlated random variables from Normal and Gamma distributions
We generate streams of uniforms, put them through a normal copula to rotate according to the correlation value, and then use inverse PDF to go back to the distribution.
Jan
16
answered Generate correlated random variables from Normal and Gamma distributions
Sep
26
awarded  Yearling
Jul
18
comment What commercial financial libraries are available to outsource implementation risk?
Sure. Here is the product page: [oracle.com/us/products/applications/crystalball/index.html], here is a link to documentation: [docs.oracle.com/cd/E17236_01/nav/portal_5.htm]. Note that we don't advertise the API prominently, and the API docs are not on the doc list. The doc list, specifically the "Reference and Examples guide" should give you an idea about the capabilities. If you want the API doc, or any other information, please feel free to send me an email.
Jul
17
answered What commercial financial libraries are available to outsource implementation risk?
Apr
17
comment Distribution for High Kurtosis
If you can put in the data in a public google spreadsheet, I can throw it to Oracle Crystal Ball and see what distribution is returned. What you mention is just matching (higher) moments of the dataset for fitting, but MLE would typically be a preferred approach when fitting data to distributions.
Apr
10
comment Can social media be applied to algorithmic trading?
Wall Street Birds seems to have a .NET API. Interesting.
Apr
3
revised Means of inferring trading algorithms from competition trade data
added 12 characters in body
Apr
3
answered Means of inferring trading algorithms from competition trade data
Dec
13
awarded  Editor
Dec
13
revised How to group timeseries showing similar curve
added 132 characters in body
Dec
13
comment How to group timeseries showing similar curve
@strimp099: The results were not satisfactory because, after the training was done, we tried the NN on a test set. The success rate was only ~20%, which was close to randomly selecting one of the method as the best method. This could mean a variety of things: (1) We could have missed some important characteristic, (2) The construction of NN was faulty, (3) The training data was too noisy etc. We did not really gain much additional insight from the exercise, but I still think this is a very viable route.
Dec
6
comment How to generate a random price series with a specified range and correlation with an actual price?
Please let us know if you can work this out. Will be definitely interested to hear.
Dec
6
answered How to group timeseries showing similar curve
Dec
6
comment What is the precision of standard deviation estimates with small samples?
Bootstrap is the way to go.
Nov
29
answered How to generate a random price series with a specified range and correlation with an actual price?
Nov
8
answered Can social media be applied to algorithmic trading?
Oct
4
awarded  Teacher