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seen Aug 3 at 15:15

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
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.
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.
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.
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
comment What is the precision of standard deviation estimates with small samples?
Bootstrap is the way to go.
Sep
27
comment How to calculate compound returns of leveraged ETFs?
@Richard: Yes, as Tal correctly points out, I am already aware of this fact. But thanks for stressing this again - I guess that is valuable. But, I would say that, contrary to popular belief, leveraged ETF can be held for more than one days with careful monitoring, as has been showed by quite a few academic papers (see for example the 3rd link in bill_080 above).
Sep
26
comment How to calculate compound returns of leveraged ETFs?
Ah .. the silliness regarding 9.6%. Thanks for the pointers to the articles. I knew 2 of them, the remaining are great too.
Sep
26
comment How to calculate compound returns of leveraged ETFs?
@Tal: Thanks for the welcome. I am getting started on quant simulations, specially focusing on leveraged ETFs. This was a beginner level question, and hopefully, as I advance my knowledge, I will have more advanced ones to ask.