Questions tagged [modeling]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0
votes
0answers
54 views

Multi-Variate linear modeling: how to calculate mathematically vs brute force genetic optimization

I have a hand full of daily economic data. I am currently using a brute force approach. Genetic optimization is only used when k is very large. This method is beautiful to me, but isn't valuable ...
0
votes
0answers
68 views

What is the whole list of assumption that Ho Lee model was under?

What is the whole list of assumption that Ho Lee model was under? Please briefly describe how was each assumption match the real world finance/economics applications so that it shows how the model ...
0
votes
0answers
93 views

Vol specifications under Heath Jarrow Morton framework

What are some of the common forward vol specifications under HJM framework used in the industry. I guess most common would be 2 and 3 factor models, but any pointers to more details would be very ...
0
votes
0answers
461 views

Examples for the option model validation

When implementing a code for the new model, even if it provides sensible price, it is still a good idea to compare it against some benchmarks, even in the special case of constant volatility Black-...
-1
votes
1answer
47 views

How to interpret the accuracy result of the forecaste?

I'm trying to forecast the vacancy rate of multifamily rental property. I have the data from 1992 until today. I'm trying to fit a model with the serie without the last 2 observations. I only need ...
-1
votes
1answer
263 views

Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?

As I understand it this model derived from data for US companies. Is it valid to apply the model as is to UK companies or does it require any modifications? Description of the model: http://www....
-2
votes
1answer
2k views

Is it more common to hedge a mortgage bond portfolio with other bonds as opposed to Interest Rate Swaps? [closed]

Is it possible to get interest rate swaps on mortgages? If not, why not? Are there models that describe this? Any direction would be great.
-2
votes
2answers
239 views

Is it a problem that there are so few stocks in the generalized Black Scholes market? [duplicate]

In the standard Black Scholes market there is only one stock. In the generealized market there can be a finite amount, but my impression is that there are few stocks in the market. The real world ...
-2
votes
1answer
69 views

Should stock return series be modeled with a parametric distribution, or an autoregressive function? [closed]

If I have prior knowledg that a stock return series follows a parametric distribution, such as a Student t-distribution with 4 degrees of freedom, without actively looking for prior knowledge of ...
-3
votes
1answer
1k views

Tutorial for working with tick data? [closed]

Can you recommend a good tutorial for working with tick data for the purpose of algorithmic trading? Is the data normally stored in a database and only bits are read into memory at a time? Is there ...
-5
votes
1answer
64 views

Which expression of $S_t$ to use under the Black-Scholes model?

I am currently looking at example exam questions relating to the evolution of a stock price under the Black-Scholes model. However, I am confused by seemingly inconsistent expressions used for the ...

1 2 3 4
5