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| bio | website | linkedin.com/in/samikr |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 8 months |
| seen | Jun 11 at 20:44 | |
| stats | profile views | 34 |
Operations Research, Monte Carlo simulation and Time Series forecasting. Direct email: samikr@gmail.com
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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. |
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Jan 17 |
awarded | Commentator |
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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. |
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Jan 16 |
answered | Generate correlated random variables from Normal and Gamma distributions |
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Sep 26 |
awarded | Yearling |
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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. |
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Jul 17 |
answered | What commercial financial libraries are available to outsource implementation risk? |
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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. |
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Apr 10 |
comment |
Can social media be applied to algorithmic trading? Wall Street Birds seems to have a .NET API. Interesting. |
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Apr 3 |
revised |
Means of inferring trading algorithms from competition trade data added 12 characters in body |
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Apr 3 |
answered | Means of inferring trading algorithms from competition trade data |
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Dec 13 |
awarded | Editor |
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Dec 13 |
revised |
How to group timeseries showing similar curve added 132 characters in body |
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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. |
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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. |
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Dec 6 |
answered | How to group timeseries showing similar curve |
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Dec 6 |
comment |
What is the precision of standard deviation estimates with small samples? Bootstrap is the way to go. |
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Nov 29 |
answered | How to generate a random price series with a specified range and correlation with an actual price? |
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Nov 8 |
answered | Can social media be applied to algorithmic trading? |
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Oct 4 |
awarded | Teacher |
