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by quantie
December 10th, 2017, 3:52 am
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 798
Views: 102884

Re: End of bitcoin?

The LPPL Sornette stuff shows we are a couple of weeks away from a critical time in bitcoin..but the confidence interval of this estimate is wide This is definitely getting close I ran the model again shows further evidence of a crash shortly. Critical time is less than 10days at multiple time hori...
by quantie
December 3rd, 2017, 4:39 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 798
Views: 102884

Re: End of bitcoin?

The LPPL Sornette stuff shows we are a couple of weeks away from a critical time in bitcoin..but the confidence interval of this estimate is wide
This is definitely getting close
by quantie
December 3rd, 2017, 2:38 pm
Forum: Technical Forum
Topic: FX option pricing in practice
Replies: 5
Views: 2157

Re: FX option pricing in practice

You start with where the market is based on broker quotes and in periods of relative calm all you do is adjust around that based on your flow...it gets more interesting when you go in to events for example
by quantie
November 18th, 2008, 11:53 pm
Forum: Student Forum
Topic: currency in pricing
Replies: 7
Views: 46906

currency in pricing

<t>ok looks like you are pricing a hybrid to keep things simple it is easy to quote everything in "USD" terms if you have got US stocks in your mix. Recall IBM is really IBM$ (ibm stock price in $ terms). This avoids having to do a quanto/drift adjustment if you are pricing with MC. So EURUSD is the...
by quantie
November 18th, 2008, 11:48 pm
Forum: Technical Forum
Topic: financial data storage/analysis using CERN's "root" software
Replies: 10
Views: 49960

financial data storage/analysis using CERN's "root" software

long years ago smartquant when it was open-source used CINT and ROOT framework. I am not sure if it still does but it is worth checking.
by quantie
April 22nd, 2007, 10:53 pm
Forum: General Forum
Topic: FX basket barrier option
Replies: 6
Views: 74601

FX basket barrier option

max(y*x%,basket return) - is y a participation rate?
by quantie
February 10th, 2007, 1:08 am
Forum: Numerical Methods Forum
Topic: automated regression model selection
Replies: 11
Views: 84045

automated regression model selection

<t>QuoteOriginally posted by: PanniniI'm trying to data mine for an optimal basket of securities to hedge another security, given a very large number of possible baskets. So I'm looking for a fast, parsimonious, multiple linear regression model selection algorithim that can reduce dimensionality in ...
by quantie
January 5th, 2007, 10:56 pm
Forum: Book And Research Paper Forum
Topic: New Book on Foreign Exchange by Tim Weithers
Replies: 3
Views: 100856

New Book on Foreign Exchange by Tim Weithers

<t>QuoteOriginally posted by: jfuquaTim seems to have left UBS several months ago. Does anyone know where he went to and his email ? I sent him email just before he left UBS but did not get a response and the UofC MathFin program people do not seem to know. Thanks.May I also suggest another new booo...
by quantie
October 25th, 2006, 11:25 am
Forum: Technical Forum
Topic: Differential Evolution for Heston
Replies: 19
Views: 100718

Differential Evolution for Heston

I had posted some "R" code here some time ago that could be suitably modified to use from vba.
by quantie
October 21st, 2006, 7:35 pm
Forum: Numerical Methods Forum
Topic: How can we gauge the effectiveness of a commodity price or fx hedge?
Replies: 7
Views: 91738

How can we gauge the effectiveness of a commodity price or fx hedge?

<t>well under FAS133/IAS39 the regression is one of atleast three ways of showing hedge effectiveness. You can see these two references1 and 2 and also the JPM Heat framework lays out some of the issues in this.Actually one can show that the minimum variance hedge ratio is simply the cov(fx,metal)/v...
by quantie
October 21st, 2006, 7:26 pm
Forum: Student Forum
Topic: Ideas for data mining in finance
Replies: 7
Views: 90453

Ideas for data mining in finance

You may find this ppt interesting.
by quantie
October 19th, 2006, 12:55 pm
Forum: Programming and Software Forum
Topic: Can't get my gamma right via MC simulation
Replies: 7
Views: 91384

Can't get my gamma right via MC simulation

well the best way to do gamma with MC is to combine the likelihood ratio method with the pathwise method.. so take the derivative under the density (LRM) and then use pathwise. (derivative wrt payoff)
by quantie
September 21st, 2006, 10:59 pm
Forum: Numerical Methods Forum
Topic: Matrix Inversion
Replies: 17
Views: 98107

Matrix Inversion

It appears Strassen inversion is slightly faster but a little harder to implement. Anyone has the scoop on what is the fastest matrix inversion out http://www.f.kth.se/~f95-eeh/exjobb/background.html
by quantie
September 8th, 2006, 9:55 pm
Forum: Numerical Methods Forum
Topic: C++ complex< > in xll or dll
Replies: 11
Views: 94450

C++ complex< > in xll or dll

I would also give Differential evolution a shot.
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