# Questions tagged [error]

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### Single Model Accuracy Estimation

I'm working on a model to estimate CDS prices, and want to backtest it against a historical timeseries. What are some error/goodness of fit measures that I can use for this purpose outside of RMSE? I'...
196 views

### The error term of Hagan's approximation of Black's vol in SABR

Hagans approximation of Black's implied vol in SABR is very! difficult to understand fully. But I want to ask in here if anyone can tell me more about the error term. Consider the paper: http://web....
125 views

### Monte Carlo for Asian Pricing

I'm trying to verify the accuracy of my Monte Carlo method for pricing mean options. I came across this paper that supposedly gives an 'exact' solution for the arithmetic mean option (asian). It's a ...
283 views

### Good criteria to sort state-space $\beta_{t}$ according to Kalman filter output

Let's assume the usual state-space linear model without constant term for simplicity: $y_{t}=\beta_{t} X_{t}+\epsilon_{t}$ If we apply Gaussian Kalman filter to estimate $\beta_{t}$ we get $P_{t}$, ...
528 views

### Residuals Fama MacBeth Regression

I am still asking myself what the pricing error terms in the Fama-MacBeth regression are. Are they the intercept I regress across all assets in each month, once? Or are they the residuals of each ...
52 views

### Double sign for the error term in an ARMA-GARCH model

Why in an ARMA-GARCH model for a stationary series $r$ (without $c$ for simplicity) is $r_{forecast} = ARMA + \sqrt{GARCH} \cdot inn$ and not $r_{forecast} = ARMA \pm \sqrt{GARCH} \cdot inn$? The ...
172 views

### Error distribution assumption in a simple ARIMA model

why in an ARIMA-GARCH structure I have to assume an error distribution to run the estimation while in a simple ARIMA model it is not required? Thank you
164 views

### Error on Paul Wilmott Section 5.2?

I gave this a long and hard thought because Paul Wilmott is a respected quant and I don't want to criticize his book, but am I correct in concluding that this section contains lots of errors? These ...
31 views

532 views

### Quantlib: AmericanOption implied volatility / root not bracketed

When I apply the americanoptionimpliedvolatility function in the following format: ...
641 views

### Error in barrier option pricing Monte Carlo

I am currently trying to price an up-and-out call with Monte Carlo simulation. For an option with these parameters : Barrier: 65 $K$ = 50 $\sigma$ = 30% $R$ = 1% $T$ = 1Y $S_0$ = 50 With 10.000 ...
275 views

### In a Monte Carlo simulation, will a delta hedge control variate necessarily reduce the standard error more than an antithetic variate?

I have four Monte Carlo simulations and will list them in order of highest standard error to lowest. Plain MC MC with delta hedge control variate MC with antithetic variate MC with antithetic and ...
54 views

### A priori selection of acceptable backtesting errors (type I and II)

Is it possible to a priori select an acceptable values of type I and II errors in backtesting (f.e. in case of the unconditional coverage test)? Type I error is directly connected to the significance ...
51 views

### How to calculate the estimation error of portfolio variance using propagation results?

I am trying to find a conservative approximation for the propagated estimation error of a investment portfolio's variance (comprising two assets), given we know the estimation error for the variance ...
266 views

### R quantstrat backtest with dollar based position sizing

I am attempting to tweak a quantstrat based backtest but have run into an issue. The maxPos limits are share based, and I would rather use a fixed dollar amount instead. So I've tried generating a ...
201 views

### How to Handle Error in SEC Filings

Sometimes I see obvious errors in the 10-K or 10-Q filings that appear to go uncorrected in subsequent filings for the same period. For example, on June 9, 2014 Apple, Inc. did a 7-to-1 stock split. ...