SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by kartashove
August 19th, 2015, 8:08 am
Forum: The Quantitative Finance FAQs Project
Topic: Subjects, please...
Replies: 430
Views: 336191

Subjects, please...

<t>I would suggest a topic "R vs. Mathematica/Maple/Matlab". This would include info on the wide academic use of R, on the value and flexibility that R demonstrates when being integrated with other bank/hedge fund infrastructure - DBMSs, portal solutions, web , etc., and the rich open-source develop...
by kartashove
August 19th, 2015, 7:57 am
Forum: Programming and Software Forum
Topic: Postgres database - good extension that would help in market risk computations
Replies: 2
Views: 2497

Postgres database - good extension that would help in market risk computations

Guys, postgres is a good and developing DBMS. No experts on that software here?
by kartashove
August 19th, 2015, 7:50 am
Forum: Numerical Methods Forum
Topic: Is volatility forecastable? To any extent?
Replies: 10
Views: 4864

Is volatility forecastable? To any extent?

<t>Alan, my model is a Markov model, no auto-correlations. Just a slightly different symmetric independent distribution every day. And for the test that I am looking for, I couldn't find appropriate discussion on the forums. As well as on Math Overflow or quant stack exchange. Conservative probabili...
by kartashove
August 18th, 2015, 2:53 pm
Forum: Numerical Methods Forum
Topic: Is volatility forecastable? To any extent?
Replies: 10
Views: 4864

Is volatility forecastable? To any extent?

And one more question (probably related to the "fluke" one) - what if it was totally wrong first 50 days, and totally wrong in a different way the last 50 days, having a correct 100-day result? That means my model doesn't forecast anything!
by kartashove
August 18th, 2015, 8:50 am
Forum: Programming and Software Forum
Topic: Postgres database - good extension that would help in market risk computations
Replies: 2
Views: 2497

Postgres database - good extension that would help in market risk computations

Along with R, trying to adapt Postgres 9.4 database. I know it has numerous extensions. I am working on building a market risk tool, and it will have to run extensive computations on server side on Postgre. Any good extension that fit for general market risk computations out of the box?
by kartashove
August 18th, 2015, 8:46 am
Forum: Programming and Software Forum
Topic: Good R library for market risk computations?
Replies: 1
Views: 2773

Good R library for market risk computations?

Looking for a good R library for computations like Monte-Carlo, parametric VaR, CVaR, scenario modeling etc. Any good library that includes all of that?
by kartashove
August 18th, 2015, 8:42 am
Forum: General Forum
Topic: Good broad review of network modeling for quant finance?
Replies: 1
Views: 2513

Good broad review of network modeling for quant finance?

Posted again in the Books forum, couldn't find how to move the post?
by kartashove
August 18th, 2015, 8:40 am
Forum: Book And Research Paper Forum
Topic: Good broad review of network modeling for quant finance?
Replies: 0
Views: 4207

Good broad review of network modeling for quant finance?

Trying to find some good review of agent-based models for quantitative finance, covering opinion dynamics, correlated behavior, etc. Are there any articles or books that cover major advances in these areas?
by kartashove
August 18th, 2015, 8:15 am
Forum: General Forum
Topic: Good broad review of network modeling for quant finance?
Replies: 1
Views: 2513

Good broad review of network modeling for quant finance?

Trying to find some good review of agent-based models for quantitative finance, covering opinion dynamics, correlated behavior, etc. Are there any articles or books that cover major advances in these areas?
by kartashove
August 17th, 2015, 12:30 pm
Forum: Numerical Methods Forum
Topic: Is volatility forecastable? To any extent?
Replies: 10
Views: 4864

Is volatility forecastable? To any extent?

Well, I was looking for, as an example, something like measuring CDF value every time and looking at distro of the resulting values. Would smth like that help, theoretically?
by kartashove
August 17th, 2015, 12:28 pm
Forum: Economics Forum
Topic: Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?
Replies: 3
Views: 5097

Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?

Basel committee positions itself as a universal advisor to risk management in banks around the world. There has to be some argumentation why this wasn't introduced earlier. Before 2008. Before 2001 etc.
by kartashove
August 12th, 2015, 8:32 pm
Forum: Economics Forum
Topic: Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?
Replies: 3
Views: 5097

Why is Basel introducing expected shortfall measue as a major measure ONLY NOW?

In a 0.05-quantile there could be a dozen of deadly losses, each one of then can kill you, all safely hidden under a drill-down button on the report. Did it really take couple of decades to realize that? Or, there's some substantial reasons for it being neglected for so long?
by kartashove
August 12th, 2015, 8:25 pm
Forum: Numerical Methods Forum
Topic: Is volatility forecastable? To any extent?
Replies: 10
Views: 4864

Is volatility forecastable? To any extent?

<t>In a more general way: is there 1) a methodological approach to quantify the correctness of a model that produces a probability distribution for the, say, S&P 500 index return for the next trading day? and 2) a good modeling framework for such family of distributions? The most trivial answer ...
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