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visits member for 2 years, 7 months
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Jul
18
comment How to tune Kalman filter's parameter?
I did but currently not. I work on something similar than particle filters but the algorithms are very expensive computationally. Digging into Cuda GPU programming in order to ease some matrix computations. Why, do you?
Jul
18
answered How to tune Kalman filter's parameter?
Jul
17
answered Total number of currency transactions
Jul
17
revised 30360 Daycount Count Convention to find NPV for Bonds
added 7 characters in body
Jul
17
answered 30360 Daycount Count Convention to find NPV for Bonds
Jul
15
comment Am I reading this correctly? probability way too small with BS model
Nice answer, practical, concise and to the point. +1 for this!!!
Jul
15
comment Tools/R code for predicting Dragon-Kings
By the way, I did watch the TED speech and felt it was a waste of time, why: All his reasons of why he can predict extreme events are accurate, however, the exact same variable states occur in countless market observations that do not lead to extreme events (increasing autocorrelation, increasing variance, increases in cross-correlations with external factors...). So, it again comes down to the same guy screaming "extreme event ahead" who screamed 20 times before and was proven incorrect. I did not come across his name forecasting any past extreme events. How come?
Jul
15
comment Tools/R code for predicting Dragon-Kings
@vonjd, what do you mean with "encrypted forecasts" and why you encrypt something, archive it and then decrypt it? I am not falling victim to a catch-the-fool type of post right now, am I? ;-) (I generally highly value your posts and read them with much interest but you have be gotten completely lost here).
Jul
14
comment Tools/R code for predicting Dragon-Kings
I flipped through the paper and found it to be utter "humbug". Nowhere have the authors established nor presented a statistical study that would support that there is any reliable way to forecast extreme events. While I disagree with Taleb in many ways I would say he is spot on in claiming black swans cannot be predicted but only subsequently managed. No earthquake (as of today) can be reliably predicted nor a financial crisis. For each guy who claimed he pinpointed the day the market put in a top there are 20 guys who did so before and got burned. But of course one should never stop dreaming
Jul
12
answered how to calculate more efficient volatility figure than historical volatility?
Jul
12
answered The reason behind the selection of a 1 standard deviation movement for self financing delta hedge
Jul
12
revised To understand FOMC events and its impact on the market
added 4090 characters in body
Jul
12
revised To understand FOMC events and its impact on the market
added 4090 characters in body
Jul
12
answered To understand FOMC events and its impact on the market
Jul
12
comment Non-intuitive correlation between S&P sector indexes and economic indicators
Economic indicators are either forward looking, coincident, or reflect historical data, thus correlations between an equity index and such indicators are a huge function of how you lag the indicators. By the way has it occurred to you that the lag itself is dynamic and changes unpredictably, meaning, the lag that produces the highest positive or negative correlation with a major equity index? Otherwise everyone would trade off such indicators. I can show you countless examples where higher NFPs went along with lower subsequent index returns. Call it "reality"...
Jul
10
revised Need to match my bond price calculation to that of Bloomberg, currently failing hard
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Jul
10
comment Calculating most profitable arbitrage orders on multiple market with fixed and variable fees
that does not change the kind of algorithm you need to run the markets over. You need to include your all-in execution related costs and may find out that low volume will not push you over the "hurdle-rate", which may rank this particular arbitrage lower or even net-unprofitable.
Jul
10
comment Calculating most profitable arbitrage orders on multiple market with fixed and variable fees
Example: Market1(fixed fee: 1, variable fee: 2%, BBO: 105/107), Market2(fixed fee: 0.5, variable fee 1%, BBO: 98/100). Variable Fees -> Buy asset at M2 for (100 + 1) and sell to M1 for (105-2.1). PnL with fixed fees applied: (105-0.5) - (100+1). -> Apply same logic to all markets and chose the most profitable one.
Jul
10
comment Calculating most profitable arbitrage orders on multiple market with fixed and variable fees
I find your question slightly confusing. Why you need more than 2 markets to present an arbitrage opportunity, 2 or more are already sufficient. And why is it complicated to add in your execution related fees, whether stated as a percentage of notional traded or as fixed fee per trade?
Jul
10
answered Need to match my bond price calculation to that of Bloomberg, currently failing hard