Questions tagged [kernel]
The kernel tag has no usage guidance.
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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 ...
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How do you synthesize a probability density function (pdf) from equally weighted price data?
What I'm working with:
I have a collection of prices that has very few to no repeating values (depending on the look back period) ie each price value is unique, some prices are clustered and some can ...
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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 ...
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1
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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 ...
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How to properly cross-validate when optimizing SVM classification?
I'm using SVM binary classification to predict movement of NASDAQ stock prices. My question is regarding cross-validation. I will divide the training data into V subsets. Training will be performed on ...
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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 (...
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1
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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 ...
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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 ...
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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 ...
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1
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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 ...
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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....
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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 ...
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