813 reputation
18
bio website
location Germany
age
visits member for 1 year, 6 months
seen Apr 11 at 11:10

Monte Carlo, risk, QMC, statistical efficiency, high dimensional approximation...


Feb
19
comment Parameters for numerically fitting t-distribution to log-returns
The excess kurtosis is defined here and you can solve for the parameter $\nu$ from the estimated kurtosis without estimating its volatility. Beware that excess kurtosis is only defined and finite for $\nu>4$, so for the common range of $\nu\in[3, 4.5]$ encountered in finance the sample kurtosis is at best unrelieble.
Jan
23
revised Lattice Boltzmann method for pricing options
added 115 characters in body
Jan
23
answered Lattice Boltzmann method for pricing options
Jan
23
comment Lattice Boltzmann method for pricing options
Nice idea, but I fear that this is overkill. Better use methods targeting the heat equation and diffusions directly than taking the convoluted route taking convections into account. How would you map f(x,v) to f(s)? But still, maybe Boltzmann for treating jumps might be interesting... There are a lot of works on kinetic modeling of wealth distributions&c, but this is more economics.
Sep
28
awarded  Yearling
Sep
3
comment Should I use Resampling or Expectation Maximization to compute a robust covariance matrix?
Whops sure, sloppy speed writing on my part, of course I just wanted to say that neither method adresses both aspects and that they are not mutually exclusive, and having different targets they can't be compared. There's a vast literature nowadays (even just for variants of EM), no need to stick to (rough and outdated) resampling. My favourite combined method is: ecares.org/ecaresdocuments/seminars1011/frahm.pdf . However it's not extensible to asynchronous quotes.
Sep
2
comment Should I use Resampling or Expectation Maximization to compute a robust covariance matrix?
What is your primary concern: robustness (w.r.t. outliers) or missing data? Neither resampling or EM do adress the former. There are however ways to deal with both, are you interested?
Aug
29
comment Brownian motion - first passage time
Are you sure the solutions found deal with a GBM starting point at 0? :-)
Aug
29
answered Brownian motion - first passage time
Aug
27
revised Overview of software companies in the industry
added link
Aug
27
revised Overview of software companies in the industry
added 116 characters in body
Aug
26
answered Has there been success in applying Mandelbrot's ideas to financial markets?
Aug
1
comment A question on Monte Carlo method
Please avoid crossposting. Especially since this is not a strictly QF question. The basics of MC shall be well known here.
Jul
30
comment Estimate weekly, yearly quantities from finite samples
I've read your additions on merging parallel nonoverlapping estimates. In the i.i.d. setting my gut feeling is that you're losing some information/efficiency since the boundary elementary returns participate less than the central ones, but that might still be worth it depending on your goal. Also averaging dependent values can be tricky. But what is your main goal? To capture some internal autocorrelation or the non-trivial horizon dependence even in the i.i.d. case first? Would you be fine with autocorrelation in a lognormal model?
Jul
29
revised Estimate weekly, yearly quantities from finite samples
added references
Jul
29
answered Estimate weekly, yearly quantities from finite samples
Jul
11
comment How to create a Stochastic Process through pre specified points?
This is not guarandeed to match the actual HOD as it might easily get higher earlier and then revert back.
Jul
9
comment How to deal with zeroes in returns?
Usually the choice of when not to trade is also part of a strategy, so zeros are also meaningful imho and should not be discounted for. Or is the choice of whether to trade or not exhogenous? I would also suggest looking at the literature on performance attribution to better frame your problem.
Jul
3
revised Stress testing covariance
added 141 characters in body
Jul
1
asked Covariance estimation