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| bio | website | |
|---|---|---|
| location | Ann Arbor, MI | |
| age | ||
| visits | member for | 7 months |
| seen | Apr 2 at 15:57 | |
| stats | profile views | 21 |
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Apr 2 |
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Data Synchronization Time scale transformations olsen.ch/fileadmin/Publications/Working_Papers/… If this fits your needs, Olsen has a few more papers on this topic. |
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Mar 15 |
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Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR Possibly the biggest road block to learning statistics are the varied and nonsensical naming. “[...]bad names reflect (or even result in) difficulties in understanding.” Hurst, Joseph, colours and noises: The importance of names in an important natural behaviour, Demetris Koutsoyiannis itia.ntua.gr/getfile/792/1/documents/… |
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Mar 11 |
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Square root of time “without a change of model”, I agree, and a simple example would be to change your scale to a 10 day bar + a probability weight. “P. Samuelson and it is the fact that the best forecast for the future price of an asset is its present price”. Analysis of short term price trends in daily stock-market index data. arxiv.org/pdf/1211.3060v1.pdf |
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Mar 11 |
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Predict Market Direction, What is forecastable/unforecastable? Long range dependence in financial markets, by Rama Cont. By contrast, the autocorrelation function of absolute returns remains positive over lags of several weeks and decays slowly to zero. proba.jussieu.fr/pageperso/ramacont/papers/FE05.pdf, Long memory in return structures from developed markets, 2012, Sharad Nath Bhattacharya, MouSuMi Bhattacharya. ehu.es/cuadernosdegestion/documentos/110312sb.pdf |
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Mar 11 |
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Square root of time Who is less wrong? Using 1% daily returns, over h = 10 days. 2.99% Goldstein/Taleb, 3.16% Dibold/Hickman/Inoue/Schuermann. We Don't Quite Know What We are Talking About When We Talk About Volatility papers.ssrn.com/sol3/papers.cfm?abstract_id=970480 |
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Mar 6 |
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How to perform Empirical Mode Decomposition? There is inherent massive lag in the calculation of the Hurst exponent (H), maybe this is your problem? How are you using EMD in your strategy, what method of EMD are you using, do you plan to use EMD in real time? FYI: I'm in the process of reinventing IMF part of the EMD method, specifically for capitalized markets for real time use. |
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Jan 7 |
revised |
Fastest solver possible for portfolio optimization added 125 characters in body |
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Jan 7 |
answered | Fastest solver possible for portfolio optimization |
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Dec 30 |
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Fastest algorithm for calculating retrospective maximum drawdown Your question is not clear to me. Do you mean the easiest technique to code, or code that is CPU efficient? |
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Dec 24 |
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What are the best Journals & Conferences in Quantitative Finance? @vanguard2k, en.wikipedia.org/wiki/ViXra |
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Dec 20 |
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Monty Hall Model arxiv.org/pdf/quant-ph/0202120.pdf The Quantum Monty Hall Problem, arxiv.org/pdf/quant-ph/0109035v3.pdf Quantum version of the Monty Hall problem |
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Dec 20 |
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What are the best Journals & Conferences in Quantitative Finance? link , viXra.org |
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Dec 10 |
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Monty Hall Model 3 days vs. 3 choices of the market direction plus market moving news, I don't think this is the same problem as what the Monty Hall problem is about. Monty hall only had 2 rewards a goat and a car, and 3 doors to choose from. I think you need to re-model the concept of what is a door, and what the 2 rewards are behind the 3 doors. I think you need to eliminate the flat position, and you only need to work with one day (Tuesday), leaving you with 2 rewards (goat/car, long/short). |
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Dec 10 |
awarded | Commentator |
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Dec 10 |
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Monty Hall Model Your assuming that manager A is an agent of Monty Hall (all knowing), and has exposed a goat behind door number 1, which is a long position. The flat position is not a viable option as you stated there is a breakout due on Tuesday, so you can eliminate it (but do you reassign the probability weight, and if so to what?). So you assume that long positions are goats, and you take the short position. |
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Nov 19 |
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Proxy for a trigonometric angle function @chrisaycock I need a function that will capture the estimation of the Hurst exponent without using the linear regression slope calculation. |
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Nov 19 |
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Proxy for a trigonometric angle function tks, and I was thinking that this might be the wrong forum for this Q. I don't see that I have control over deleting my post. |
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Nov 19 |
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Proxy for a trigonometric angle function @chrisaycock Time based financial calculation that requires a slope calculation are suspect. I'm looking for a stable/robust representation for the slope component of the slope-intercept form. Angle calculations using market data are nefarious to work with, as market compression rescales nonlinear. I'm working with the Hurst exponent, it utilizes the slope-intercept form to characterize the market. |
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Nov 19 |
asked | Proxy for a trigonometric angle function |
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Nov 13 |
awarded | Organizer |
