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visits member for 2 years, 7 months
seen Aug 26 '13 at 16:23

While programming, I listen to Two Steps From Hell


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awarded  Autobiographer
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awarded  Notable Question
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awarded  Popular Question
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awarded  Popular Question
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answered Measuring liquidity
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awarded  Benefactor
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accepted How does out-of-sample option pricing work in practice?
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answered How to choose a rolling window type and size?
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comment How does out-of-sample option pricing work in practice?
Good comment. In that sense it would make sense that the out-of-sample framework is used to `control' for overfitting and hence to determine whether for instance the additional complexity due to extra parameters is indeed the result of the proposed methodology.
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comment Can social media be applied to algorithmic trading?
Maybe you can extend your question with asking: how effective is it expected to be?
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answered Extensions of Black-Scholes model
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comment How does out-of-sample option pricing work in practice?
And that is what the question is about. I try to figure out the exact meaning of in and out of sample like I read in almost every paper that evaluates an option pricing model.
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revised How does out-of-sample option pricing work in practice?
added 90 characters in body
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revised How does out-of-sample option pricing work in practice?
added 54 characters in body
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asked Do some option pricing models allow for misspecification and what does it mean?
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comment How does out-of-sample option pricing work in practice?
I havent seen any paper that discusses how to forecast the inputs, thats why I am wondering.
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comment fetch from yahoo! finance database - varying number of ticks
Or mathworks.com/matlabcentral/fileexchange/…
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comment fetch from yahoo! finance database - varying number of ticks
Have you tried: mathworks.com/matlabcentral/fileexchange/…
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asked How does out-of-sample option pricing work in practice?
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awarded  Peer Pressure