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Sep
16
comment How to project video viewcount based on historicals?
This topic seems interesting and to have strong links with quantative finance (or at least behavioral studies) Won't be surpised if I would have to work on something like that (not YT videos strictly speaking, but something like adoption rate of a product). I think tehre is not enough questions like that here.
Sep
16
comment Double auctions in online games
Plus add every cost you could think of. If you want to be on multiple place/products/plateform you need to pay for it, you need to adapt your HR dep, your offices. You need specialised lawyers, translator... etc. It is rarely profitable to diversify your activity. (unless you are a japanese conglommerate and you have satured every market you are in).
Sep
16
comment Double auctions in online games
I think this is about work organisation (See Taylorism/Fordism) applied to the finance industry. What do you think is more efficient for a company: one specialist in forex trader and one specialist in commodities or two average traders in forex/commo ? You can ask the same from a trader point of view: what would be best: be good at something or be average at everything ?
Sep
2
comment Option on a dice game
There is no discount as these kind of game are instantaneous.
Sep
2
comment Option on a dice game
ok, my answer is not relevant. I did not understood your question.
Sep
2
comment How to get an analytic result for option price based on this model?
Lehalle has the best answers. I followed a course by A. Popier wich was based on this book. These are famous teachers, you may find their slides online.
Sep
2
comment Option on a dice game
It make sense. For the general case you have to take $p(n|n_1)$ taking into account prior information. But the fact here that the dice is balanced imply that $p(n|n_1) = p(n)$.
Sep
2
answered Option on a dice game
Aug
25
comment Art market specificities
I am very interesed in the data colletcor. What langage do you use ?
Aug
25
revised Art market specificities
added 77 characters in body
Aug
24
asked Art market specificities
Aug
24
comment How does this follow from the separating hyperplane theorem?
I can't manage to find one (I would have linked to it if i could). W is a subspace of $R^K$ with the first coordinate set to 0 and the k-1 others free, so it is a subspace of dimention k-1. Imagine W as a plane touching in only one point some kind of a sphere. Theyre are not stricly separated here, meaning that we accept $x.e<=0$ or $x.e>=0$ for each sets. The touching point has to be on the separation (only way to satisfy bot equations). Then the orientation: if we choose another plane than W they would cross, the only way to separate the two object is to take W as the border.
Aug
24
comment How does this follow from the separating hyperplane theorem?
well this is the particular case where the separation plane between two set is one of those set (W) so the orthogonal of the separation plane coincide with the orthogonal of one of the sets ($W^T$). The product will be positive with the use of the theorem. The formulation of the theorem is more complex than "there exist a plane that separate the two sets." In fact in the proof we build a particular vector e such that e.x > 0 for every x in the first set and e.x<0 for every x in the second set, the separation plane is then defined as the boundary (ie such that e.x = 0).
Aug
24
answered How to develop your own interest rate model?
Aug
24
answered How does this follow from the separating hyperplane theorem?
Aug
19
accepted Machine learning for non optimal behaviour
Aug
16
comment Risk-Free Rate determinant in CAPM
Could you provide more information on how they use these risk free rate ? My guess is that they choose the risk free rate accordingly to the time-step used in the considered method.
Aug
14
comment Machine learning for non optimal behaviour
> If you can find a function that replicates well enough the past exercise decisions... Well that is the point of machine learning...
Aug
12
comment Machine learning for non optimal behaviour
Basically: the output take positive values some time after there is a drop on client rates. The lag between the drop and thechange in output depends on the size of the drop.
Aug
12
comment Machine learning for non optimal behaviour
Thanks for your answer, maybe a bit broad. (see my edit). I will look at your last link a bit deeper tomorrow as DNN may be sufficient for what I wanted to do. Would you say that DNN can account for (non-linear ?) lags in the market ? Or is this 'just' a NN on a moving windows ?