# Questions tagged [kernel]

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1 vote
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### How to fit KDE from existing probability density function values

I am working with options data, and I am using Breeden-Litzenberger formula to derive the risk-neutral terminal stock price PDF. After applying the formula, here is a scatter plot of strike price vs ...
335 views

### Are there any public implementations of realized kernels? (preferably in Python)

looking to implement a realized kernel model to forecast realized variance of around ~140 equities and indices in Python given order book data. I have read "Realised Kernels in Practice: Trades ...
97 views

### Is non-stationarity an issue during copula estimation?

In this paper (1), on page 14 (section 4), the author presents an empirical experiment on the computation of a copula through the use of kernels. To do so, he uses the following stochastic process (...
• 143
191 views

### Finding robust regions of multidimensional parameter combinations in trading strategies

Trading strategies often have many degrees of freedom. As a toy example let's say you have two moving averages (MA) which trigger a trade each time they cross each other: There are at least two ...
• 27.3k
1 vote
247 views

### Intraday Volatility using Realized Kernels

Since the papers about realized volatility calculate daily volatility out of intraday data, is it also possible to apply same methods to calculate e.g. 10 minutes volatility by smaller sampled data e....
• 61
232 views

### Markov Pricing kernel

I'm reading about Markov pricing kernels in the lecture notes of a course I'm following, but I have a big doubt on an application of Ito's lemma. The setting is the following: We define the pricing ...
• 472
559 views

### Data Selection for Empirical Pricing Kernel Estimation (Stochastic Discount Factor)

I want to estimate an empirical pricing kernel for an index. Hence, I need to estimate a physical and risk neutral density. For estimating the physical density, only the index data in an observed time ...
1 vote
415 views

### Pricing binary options with kernel density estimation

Suppose I have a large enough set of prices of an asset, from which I can extract the following function: $f:T\to\mathcal{D}$, where $T$ is a fixed finite set of time intervals (say, 1 minute, 2 ...
• 449
3k views

### How to use a realized kernel?

I've read that realized kernels are the thing to use for calculating daily volatility from high-frequency data. So I've got minute data, how do I actually use such a kernel? Will it give me minute-ly ...
• 2,022
244 views

### Estimating investor's utility from the trades data

Is it possible to infer investor's utility function from the set of decisions she is making? Let's assume for simplicity that the market consists of a single traded asset whose return distribution is ...
• 191