Questions tagged [parameter]
The parameter tag has no usage guidance.
16
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How to tune Kalman filter's parameter?
I plan to use Kalman filter to estimate saving account amount.
However, I'm a bit lost at how to tune the filter's parameters.
Taking as the example from the Wikipedia page, basically there are ...
- 2,231
4
votes
2
answers
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Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?
So I have been trying to implement a simple Heston calibration using crude MC with 10k scenarios and 1000 time steps and the best I could get is 3x of the observed implied volatility.
I suspect it ...
- 803
4
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1
answer
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How should we select efficiently orders parameters in time series modelling?
A common way to select orders parameters (ex: to choose the number of AR terms to be included in the model ) in time series modelling is to rely on some Information Criteria (AIC, BIC, Hannan Quinn..)...
- 2,572
2
votes
1
answer
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From parameter risk (sensitivities) to market risk (sensitivities)
In models where the underlying is not modeled directly - such as in the HJM framework or short rate models - how does one then compute the Greeks, i.e. sensitivites wrt. market variables.
As an ...
- 548
2
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1
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How are the call and put slopes in the SVI-JW parametrization derived?
In the SVI-JW parametrization, we have
$$
w(k; a, b, \rho, m, \sigma) = a + b \left [ \rho(k-m) + \sqrt{(k-m)^{2} + \sigma^{2}} \right ]
$$
Which gives us
$$
\begin{align*}
\sigma_{BS}(k) &= \frac{...
- 109
2
votes
1
answer
277
views
Cornish Fisher VaR Parameters Calibration
I am trying to calculate Cornish-Fisher (modified VaR), but I am in a trouble because when I am reading some articles, some authors calculate the Cornish-Fisher expansion taking parameters S and K, as ...
- 23
2
votes
1
answer
1k
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Vasicek Model Parameters Estimation
I'm currently trying to estimate the market price of risk (lambda) in the Vasicek Model, and am running into difficulties.
Using the Excel Solver tool and the Maximum Likelihood Estimation method ...
- 21
2
votes
2
answers
231
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How important is p-value in a logistic regression based strategy?
I have never really given thought to this, but training some strategies I'm testing today I noticed that my model returns an acceptable annualized return/drawdown/etc, but the model parameters are not ...
user20664
2
votes
0
answers
138
views
Expressing Volatility Smile as One Number
Is there an accepted way in academia / industry to express the volatility smile as one number? (Not the full vol surface, but just the smile for a given option maturity: i.e. the implied vol as a ...
- 6,098
2
votes
0
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34
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How to derive Parameter Derivative within an FFT integral
I have the following function (Carr-Madan) of which I am trying to take the derivative wrt $\theta$:
$c(k)=\int_0^\infty \frac{e^{-iuk}}{\alpha^2 + \alpha - u^2 + i(2\alpha+1)u} e^{\phi_T(u-(\alpha+1)...
- 21
1
vote
1
answer
622
views
Blackbox Optimization + Bootstrapping = Parameter Selection?
Most automated trading systems have a number of embedded parameters such as the lookback periods, entry and exit thresholds, etc. This is like the moving average crossover system or any of the systems ...
- 87
1
vote
0
answers
47
views
Likelihood increases on increasing variance of measurement error in kalman filter
I tried to fit a local trend model to daily data of a currency. I used the "dlm" package and tried to estimate the parameters V (measurement noise) and W (the process noise) via maximum likelihood.
...
- 173
0
votes
1
answer
83
views
Can I dynamically change hyper-parameters of a model?
Question
Can I apply different hyper-parameters for different training sets?
I can see the point of using the shared parameters but I cannot see the point of using shared hyper-parameters. The ...
- 550
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0
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516
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What should degrees of freedom $\nu$ be set to when modeling financial returns that follow the t-distribution?
The closer the t-distribution degrees of freedom ($\nu$) is to 0, the more heavy are the tails, whereas high degrees of freedom recovers the normal distribution.
In finance, what value is usually used ...
- 3,000
0
votes
0
answers
557
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Interpolation of SVI Implied Volatility in parameter space
I am currently working with a slice-wise SVI parametrisation of the implied volatility surface.
$\sigma^2(x,t) = a_t + b_t (\rho_t (x - m_t) + \sqrt{(x - m_t)^2 + \theta^2})$
Does anyone have ...
- 133
0
votes
1
answer
4k
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MLE error in R: initial value in 'vmmin' is not finite
I am trying to fit an ARIMA(1,1)-GARCH(1,1) model. I changed the starting values a lot but still its returning the same error.
Below is my code which contains two functions ...
- 173