meta user
network profile
| bio | website | Nope |
|---|---|---|
| location | Paris, France | |
| age | 24 | |
| visits | member for | 2 years, 2 months |
| seen | Dec 20 '11 at 17:13 | |
| stats | profile views | 26 |
Graduated from the Msc. El Karoui of probabilities and finance and from the Msc. Laure Elie (promo 2011).
Looking for a full-time job opportunity in NY or London.
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Mar 7 |
awarded | Yearling |
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Mar 7 |
awarded | Yearling |
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Dec 8 |
comment |
Innovative ways of visualizing financial data Do you accept to extend your question also to "audio visualization"? |
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Dec 6 |
comment |
What is the precision of standard deviation estimates with small samples? Sorry @SRKX I have not responded to your question I thought you were interested by the rate of convergence of the CLT estimate. To be clear, you are interested by the standard error of your standard deviation..? |
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Dec 5 |
answered | What is the precision of standard deviation estimates with small samples? |
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Dec 5 |
comment |
Are there “live” uses of the Generalized Method of Moments or are they all academic? One of the most popular GMM method is the Maximum Likelihood methodology. For many models (ARCH/ GARCH/ ..) it leads to a closed-form function maximization while for the vast majority models (stochastic volatility models, ..) the maximized function is not computable analytically and need to be approached with filters. This approach - originated from robotic - was introduced recently by practitioners in the banking area. A good reference (but difficult) on this matter is the book 'Inference in Hidden Markov Models' of Cappé, Moulines and Rydén. |
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Dec 4 |
revised |
Are there “live” uses of the Generalized Method of Moments or are they all academic? added 79 characters in body |
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Dec 4 |
answered | Are there “live” uses of the Generalized Method of Moments or are they all academic? |
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Dec 4 |
comment |
How to reduce variance in a Cox-Ingersoll-Ross Monte Carlo simulation? Could u give more details on the considered payoff/& models ? |
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Nov 15 |
comment |
What programming languages are most commonly used in quantitative finance? The C# numerical library of reference is NAG nag.com it's well expensive but you pay for a solution you can rely on. I have also experimented NMATHS which I found not fitted for Quants. Last but not least, the free MATHS.NET library, professionaly developped, suited to cope with large data, very promising but today incomplete and not mature for large deployments. |
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Nov 3 |
awarded | Nice Question |
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Oct 4 |
comment |
How to build a regime-switching model which knows its own limits? The regime switching issue can be tackled by considering otherwise historic based estimator (that includes the last stock observations) : $ E(v_{t+1}|S_t,\dots,S_0)$. These estimates has proven very reactive to the market movement. |
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Oct 4 |
comment |
Can VIX be interpreted as a proxy for instantaneous volatility? VIX index (or V2X for the Eurostoxx50) cannot be used to estimate the instantaneous volatility. It is rather used for long-period comparison purpose. For example let's consider an article of 2003 of Polson and Stroud. A forecast for the Heston instant volatility is built from stock historic data. Then turning to real data, they compare VIX and the historic instant vol estimator on a 10Y period. The two curves have almost the same behavior. However, on a 1Y comparison one observes an excessive smoothness of the VIX and the lack of interactivity of this index compared to the instant estimator.. |
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Sep 11 |
awarded | Necromancer |
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Sep 8 |
comment |
What tradeoff is there to using an accurate estimate with a large confidence interval? Thank you very much sheegaon for your helpful answer. Actually, there is no error on the above graph, the confidence bounds are built with the aid of a CLT for weakly dependent processess so the convergence is very very slow |
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Aug 31 |
revised |
What tradeoff is there to using an accurate estimate with a large confidence interval? added 65 characters in body |
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Aug 31 |
asked | What tradeoff is there to using an accurate estimate with a large confidence interval? |
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Aug 15 |
awarded | Commentator |
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Aug 15 |
comment |
Is there a quantitative finance ranking system for universities? I agree with @Gortaur, it would be useful and also very interesting to share our thoughts on this topic. |
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Aug 11 |
awarded | Critic |
