jlowin

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	414 reputation	bio	website		visits	member for	9 months
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Oct 6	comment	Howto Calculate An Error's Partial Derivative in ANN In your reference, note how the "error signal" at each neuron is the weighted sum of the error signals in the following layer. That error signal gets multiplied by the neuron's derivative and its input to find the weight update -- therefore the total gradient (i.e. the weight update) for that neuron is dependent on results in later layers.
Oct 6	comment	Howto Calculate An Error's Partial Derivative in ANN Hi @Nutritioustim, sorry if I wasn't clear -- an example will help. Say you're building a 2-layer neural network. Now suppose all the weights in your second layer are 0. Then the gradient for all the weights in your first layer must be 0, because no matter what you set them out, their output is going to be multiplied by 0 in the second layer, eliminating their impact. That's why backprop is such an important algorithm -- it takes the error back through each layer. Note that from a mathematic perspective, it's basically just a chain rule application.
Oct 3	answered	Howto Calculate An Error's Partial Derivative in ANN
Sep 16	awarded	Critic
Sep 12	answered	Does the correlation amongst stocks rise when stock values decline?
Sep 12	revised	Correlation: Test for linear dependence spelling error
Sep 12	awarded	Revival
Sep 12	answered	Correlation: Test for linear dependence
Sep 10	comment	Quantitative Analysis Games on Investing? Kaggle is a great site.
Sep 6	comment	VIX = Vega of S&P500 options? @Strage I think we're talking about two different things, and I'm sorry for the confusion -- I was trying to leave variance swaps completely out of my answer because the original question and subsequent comment ask specifically about vanilla equity options. However, to clarify -- when I said hypothetical floating strike, I was referring to the "always-ATM" equity option for which VIX represents the implied vol, not a variance swap strike. I didn't realize you were referring to swaps and I see my comment doesn't make any sense in that context.
Sep 5	revised	Data source for historical Share Outstanding totals for individual stocks? Adjusted close includes dividend impacts; they must be accounted for.
Sep 4	comment	VIX = Vega of S&P500 options? @vanguard2k You could try, but there are quite a few hurdles to replicating VIX with available SPX options: first, it would have be a very dynamic replication; the required options (not to mention quantities thereof) change every minute and rebalancing on any timescale would be difficult and expensive. Second, compounding the first, note that the calculation uses mid prices, and even half the bid/ask spread can have a meaningful impact on implied vol.
Sep 4	comment	VIX = Vega of S&P500 options? @Strange that makes sense because VIX references a hypothetical floating strike (ATM), not fixed.
Sep 4	answered	Data source for historical Share Outstanding totals for individual stocks?
Sep 3	revised	VIX = Vega of S&P500 options? Didn't mean to delete the last paragraph
Sep 3	answered	VIX = Vega of S&P500 options?
Sep 3	answered	How to define the objective function for a custom optimization problem?
Aug 31	answered	Multi asset option portfolio risk management (greeks and FX exposure)
Aug 29	comment	St Petersburg lottery pricing & short investing horizons Ok! I'll look out for your question. There are many people here who are excellent teachers and I'm sure someone will be able to help.
Aug 29	comment	Appropriate method for calculating negative returns on a trading strategy? I'm tired of my answer being used to stage a witchhunt. I refuse to "confess" that moving from -100 to -90 is anything other than a -10% change. Here's Wolfram Alpha demonstrating that basic math yet again. What more can I do? This discussion is over.