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visits member for 2 years, 9 months
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2d
comment Switching from C++ to R - limitations/applications
try Julia julialang.org
Nov
18
comment How to estimate the following model?
I would draw attention, that in many situations, just "fitting" (not "estimating") model is needed. Fitting in the sense that we won't need to obtain variance of parameters and so their p-values. Minimization of MSE is enought and is straightforward even in the case of family of GARCH model (but computationally demanding and multiple restarts are needed to make sure), MSE is ok, as it is M-estimator. After fitting model we can check its predictive power and goodness of fitness to train date, to get first glimpse about its usefullness. Its like fast prototyping.
Nov
15
awarded  Yearling
Nov
12
asked Filtering out AR(1) effects before using stochastic volatility model
Apr
8
asked Are power contracts traded on any stock market?
Apr
2
awarded  Necromancer
Dec
13
awarded  Nice Question
Mar
5
comment Toy models of asset returns
en.wikipedia.org/wiki/Agent-Based_Computational_Economics , and suitable process which generates density with excesse kurtosis could be obtain by sum of a random number of i.i.d. Gaussians - sum of random number of trades each trade moves price iid Gaussian, number of trades is random and arise from interaction between agents - I've seen a few such papers; for general overview of agent models in quantitative finanse you could check this survey hal.archives-ouvertes.fr/docs/00/62/10/59/PDF/reviewII.pdf ps. zero intelligence models are easier = starting point
Feb
26
asked Why C is still in use especially in area of numerical optimization (instead of C++)?
Feb
16
comment Problems with dealing with GARCH models and intra-day data
I didn't use fGarch because this implementation of garch does not support external variables and I haven't been aware of existance of rugarch package
Feb
16
comment Problems with dealing with GARCH models and intra-day data
but AFRIMA which also have property of long memory didn't work - $d$ was statistically insignificant
Feb
15
asked Problems with dealing with GARCH models and intra-day data
Feb
15
awarded  Critic
Feb
15
accepted How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
Feb
13
accepted Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
Feb
12
awarded  Yearling
Jan
23
asked Liquidity detection based strategy in HFT
Jan
23
revised Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
added 2 characters in body
Jan
23
comment Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
@Brian B very interesting, thanks
Jan
23
asked Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?