355 reputation
113
bio website secretdruidsociety.org
location Sydney, Australia
age 28
visits member for 1 year
seen 13 hours ago

Laß die Zeit an dir ablaufen wie Wasser


Apr
8
accepted Basis point implied volatility of TY notes
Apr
8
answered Basis point implied volatility of TY notes
Apr
8
awarded  Yearling
Apr
6
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
Old, but related: stackoverflow.com/questions/1738087/…
Mar
15
comment selecting test data for neural networks
I would make a customized training in such case - instead of minimizing error with respect to some training set, maximize the return.
Mar
15
comment selecting test data for neural networks
As I understand, you are using NN for classification purposes, that is your outputs are: buy, sell, no action. This is something NN's are not good at. They are mostly used for regression. Correct me if I'm wrong.
Mar
13
revised Which greeks do you need to hedge if you want to implement an implied-volatility security?
added link from comments
Mar
13
suggested suggested edit on Which greeks do you need to hedge if you want to implement an implied-volatility security?
Mar
12
comment Volatility tools / web sites?
iVolatility and OptionMetrics are arguably the most widely used. I don't know much about the greeks calculations as I assume most people have proprietary tools to make calculations themselves. OM provides 1st order greeks AFAIK.
Mar
6
comment Approaches to check/validate the output of an optimization algorithm
All in all the simple fact is that if you don't know the optimal solution, you can't verify it against anything. Just come up with algorithm which works good on average and stick with it.
Mar
6
comment Approaches to check/validate the output of an optimization algorithm
I don't think quants are (or should) approach this any differently from stats / math researchers. There is a lot of research exploring this topic and each optimization method has different properties. The problem is if you use several runs of an algorithm, you are kind of creating a new optimization algorithm, right? Then why wouldn't you just use it in the first place? And you get into a circular thinking...
Mar
3
revised Algorithmical replication of a profit and loss function using different options
added 30 characters in body
Mar
3
comment Algorithmical replication of a profit and loss function using different options
@gg Yes, I mean you need either underlying or both puts and calls. Edited...
Feb
28
comment Algorithmical replication of a profit and loss function using different options
Since link-only answers are discouraged, I'd suggest you add some important points from paper, especially considering that links tend to go dead in time.
Feb
28
comment Algorithmical replication of a profit and loss function using different options
@gg You do need puts. If left tail of PnL has slope different from 0, it can't be replicated by only calls & cash. Otherwise, yes, the number of instruments I suggest is more than needed, however I'd be careful about claiming how much is enough, this is a topic for a short research which is probably hard to fit in this Q&A format.
Feb
28
revised Algorithmical replication of a profit and loss function using different options
added 723 characters in body
Feb
28
answered Algorithmical replication of a profit and loss function using different options
Feb
27
revised How to hedge a forward contract
added 31 characters in body
Feb
27
comment How to hedge a forward contract
@Mariska Yes, you can enter in a same deal with another person in reverse. You have to assume though that you can find someone else who is ready to enter in such a deal. Future can do, sure, but you'd need to know the price of it, if it's over 4000 you are in arbitrage, otherwise you are at loss.
Feb
26
comment How to hedge a forward contract
@Mariska Maybe this is me misunderstanding the question, let's see what other people come up with. But my understanding here is that you basically just have signed a contract to pay 4000 in the future for something which costs 3600 now. To me it obviously looks like a rip off :)