# Questions tagged [dynamic]

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### Construct DeFi yield curve

I was wondering if anyone knows how to construct a yield curve for cryptocurrencies (for yTokens like yDAI and yETH for example). It'd be best if yield curves could be dynamic (though I think it could ...
1 vote
85 views

### Interpreting parameters on Matlab from Patons code on time varying copulas

I ran Andrew pattons code(2006) for Markov switching time varying copulas with an example code given in the Matlab tool box. This is the equation for Markov switching time varying normal copulas I ...
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### Why is the dynamic mean-variance problem time-inconsistent?

A lot of the literature in dynamic mean-variance problem states that the dynamic mean-variance problem is time-inconsistent. Now I was not able to find an example of why the problem is time ...
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### Dynamic portfolio optimization with cumulative prospect theory

i'm new to this forum and i hope i can get some help or at least some guidance how to tackle the following problem: I'm tasked to write a VBA Macro that conducts an intertemporal portfolio ...
1 vote
584 views

### Markov Switching Vector Autoregressive (MSVAR) and Markov Switching Dynamic Stochastic General Equilibrium (MSDSGE) Models

I want to reproduce the results of Bianchi et al (2017) Escaping the Great Recession using R and/or Python. Authors in the ...
1 vote
151 views

### Are there stocks dynamic that cannot be represented by Generalized Black Scholes model?

The generalized Black Scholes Model refers to a stock dynamic that satisfy $$dS(t)=S(t)(\mu_t dt+ \sigma_t dW(t))$$ By martingale representation theorem, it seems that if there is a risk neutral ...
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1 vote
202 views

### Trading 3 stocks X Y Z where X cointegrated to Y, Y to Z, but no other cointegration is available

Suppose you have 3 stocks, say X Y Z. You also know that X is cointegrated to Y using some test (say ADF) and Y is cointegrated to Z. However, no transitivity, and no threesome cointegration ...
128 views

### Inverse Problems in Finance

Are there any canonical references for inverse problems in finance? For example, if I have a measure that evolves with Fokker-Planck dynamics, are there standard approaches used by the community to ...
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### Dynamical Behavior of Hurst Exponent

I feel that the dynamic of financial market is not really modeled by standard Brownian motion, but fractional Brownian motion or even multifractional Brownian motion. I have read some references on ...
1 vote
94 views

### Value function does not converge when applying the general value iteration adaptive dynamic programming [closed]

Recently,I am trying to control a marco traffic system with the general value iteration adaptive dynamic programming algorithm.However,the results do not reach my expectation. Here is the pseudo code:...
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252 views

### Sharpe ratio for dynamic portfolio

I want to test the performance of my strategy with different rebalancing period. I'm struggle with calculating the overall performance on backtest results and making final conclusions. For example, ...
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### Dynamic programming problem with dimension over 1000.

I am working on a dynamic programming problem with dimension over 1000. In this past, there exist methods like Smolyak algorithm and Adaptive sparse grid method to solve dynamic programming problem ...
266 views

### How would it be possible to use Dynamic Programming to search a space of investment strategies to find an optimum?

As my question states, the problem I am having is finding a sensible way to search a large space. Any help or insight that could be provided would be hugely appreciated. Currently I am trying to ...
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1 vote
31 views

### Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?

we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
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12k views

### Why dynamics of local volatility is wrong?

In Dupire's local volatility model, the volatility is is a deterministic function of the underlying price and time, chosen to match observed European option prices. To be more specific, given a ...
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### Do you have a good application example of Approximate Dynamic Programming?

Have you ever tackled a finance problem with Approximate Dynamic Programming? I have only used dynamic programming for simple examples like a optimal extraction in mining. Do you have canonical ...
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1 vote
284 views

### Simulate from time-dependent copula in MatLab using COPULARND

I would like to simulate from a t-copula with time-dependent correlation matrices. Say I have a series of 2000 correlation matrices (obtained from a copula-DCC model for data consisting of 2000 ...
3k views

### Non-linear Dynamical Systems and Quantitave Finance

The vast majority of what I have read about quantitave finance is to do with option pricing and time series analysis for forecasting. However the economy as a whole behaves as a dynamic system with ...
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