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


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?
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
Jul
1
awarded  Citizen Patrol
Jun
25
revised Principle Component Analysis vs. Cholesky Decomposition for MonteCarlo
Filled gap on PSD&Cholesky.
Jun
25
answered Principle Component Analysis vs. Cholesky Decomposition for MonteCarlo
Jun
11
answered Data Synchronization
Jun
11
comment Volatility Estimation
Is E in the first case the covariance between strategies? Are these two E-s coherent/how is it ensured?
Jun
7
comment Block Bootstrapping Relative Returns
Anyway for risk a 0 mean return is a common assumption. Not only using a drift is an arbitrary decision (just like 0 drift, but slightly less so) and the process might not be stationary, but there's $\mu_r$'s estimation error too. As a compromise you could blend in $\mu_r$ weighting it by (an estimate of) the estimate precision, not just strictly statistical precision but also sample relevance taking into account how far in the past you're measuring (200 days or weeks are different in two ways).
Jun
7
comment Block Bootstrapping Relative Returns
" You can't use the original prices, so you have to use the relative prices." Do you mean returns?
Jun
5
awarded  Informed