SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 9741 matches

by Alan
Today, 12:10 am
Forum: General Forum
Topic: What’s Ito’s lemma for Poisson process in this function?
Replies: 6
Views: 460

Re: What’s Ito’s lemma for Poisson process in this function?

Take the trivial case where [$]f(Y)=Y[$]. Making your replacement seems to require that 

[$]Y_t - Y_{t-} = E[Y_t - Y_{t-}][$]

But that's generally false. 
by Alan
Yesterday, 5:18 am
Forum: Off Topic
Topic: News from Outer Space
Replies: 1186
Views: 133532

Re: News from Outer Space

NASA Scientists Confirm Water Vapor on Europa

Image
Source: NASA/ESA/K. Retherford/SWRI (link)
by Alan
November 18th, 2019, 6:15 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3095
Views: 117521

Re: Trump -- the last 100 days

If you've been out of the stock market since, let's say, Trump was elected, I can see why you're so grumpy.  I think the stock market would take a hit if Trump were removed from office. But what would really rattle it would be various Warren and/or Sanders tax proposals getting serious consideration...
by Alan
November 18th, 2019, 3:22 pm
Forum: Numerical Methods Forum
Topic: Multi-state probabilities/models (MSM) and regression applied to venture capital and innovation
Replies: 29
Views: 666

Re: Multi-state probabilities/models (MSM) and regression applied to venture capital and innovation

@Alan "First, as other have pointed out, apparently MSM's are just different language for what are traditionally called "Continuous-time Markov Chains"." Multi-state models mentioned by the OP don't need to be Markov or continuous in time. I wrote that that was the case in medicine (addressed by OP...
by Alan
November 18th, 2019, 2:53 pm
Forum: General Forum
Topic: What’s Ito’s lemma for Poisson process in this function?
Replies: 6
Views: 460

Re: What’s Ito’s lemma for Poisson process in this function?

The second line looks wrong to me. The first line, which is correct, just adds and subtracts the same expression to an integral w.r.t. [$]dN_t[$]. The differential form of the first line would not contain an [$]E[\cdots][$]. Also, probably a typo on your part, the r.h.s. of the 2nd line should have ...
by Alan
November 17th, 2019, 7:57 pm
Forum: Numerical Methods Forum
Topic: Multi-state probabilities/models (MSM) and regression applied to venture capital and innovation
Replies: 29
Views: 666

Re: Multi-state probabilities/models (MSM) and regression applied to venture capital and innovation

There is also the popular terminology surrounding burn rates , etc. He makes no mention of this, but it is sort of inherently implied. For example, you receive some capital, and there is some future date at which you must complete your innovation otherwise you will have "burned through" all of your...
by Alan
November 16th, 2019, 7:33 pm
Forum: Technical Forum
Topic: Discrete Form of Ho Lee
Replies: 2
Views: 232

Re: Discrete Form of Ho Lee

Pretty vague. Starting from here , a discrete form might be: [$]r_t = r_{t-1} + \theta_t + \epsilon_t[$], where [$]\epsilon_t \sim N(0,\sigma^2)[$], where '[$]\sim[$]' means "is distributed as".  N(0,v) denotes an (independent) normal distribution at each step with mean-0 and variance [$]v[$]. Final...
by Alan
November 16th, 2019, 2:44 pm
Forum: General Forum
Topic: What’s Ito’s lemma for Poisson process in this function?
Replies: 6
Views: 460

Re: What’s Ito’s lemma for Poisson process in this function?

I don't know about formal. If a process [$]H_t[$] jumps by [$]\Delta H_t[$] when [$]N_t[$] increases by one, then Ito's differential is just [$]dH_t = \Delta H_t \, dN_t[$], which is the last one.  If the equivalence between [$]dH_t = \Delta H_t \, dN_t[$] and your last one is not clear, take [$]N_{...
by Alan
November 16th, 2019, 4:03 am
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3095
Views: 117521

Re: Trump -- the last 100 days

I think bearish is on to something here. Certainly Trump was just gently tickling Zelensky over the Biden/Burisma investigations and Zelensky, being a comedian himself, got a good laugh from it. I'm glad we settled that.  
by Alan
November 15th, 2019, 9:47 pm
Forum: Book And Research Paper Forum
Topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
Replies: 13
Views: 1008

Re: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution


  
Does Elwyn Berlekamp play a prominent role in the book?
Yes, according to the index. I am only on pg 86 and the next chapter starts with him.
by Alan
November 15th, 2019, 4:13 am
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3095
Views: 117521

Re: Trump -- the last 100 days

Can anybody name anything Trump ever did as president that was against the interest of Putin? Well, with about 3 secs of thought: 1.  U.S. State Department Approves Sale Of Second Batch Of Javelin Missiles To Ukraine 2.  2018 missile strikes against Syria 3.   U.S. Imposes New Sanctions on Russian ...
by Alan
November 14th, 2019, 10:53 pm
Forum: Book And Research Paper Forum
Topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
Replies: 13
Views: 1008

Re: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

there must be some more.... The first thing that came to my mind as a possible counter-example was Bernie Madoff. But then googling turned up: Funds sue Deutsche Bank over Bernard Madoff claims deal Getting back on topic, I am enjoying the book. I have already learned one secret to Simons' success ...
by Alan
November 14th, 2019, 10:39 pm
Forum: Numerical Methods Forum
Topic: 100 millions time faster than ODE methods
Replies: 13
Views: 332

Re: 100 millions time faster than ODE methods

Speaking of Waymo, which I was, they are right now doing an AMA over at reddit: link

oops -- it's over already and my question did not get answered! 
by Alan
November 14th, 2019, 5:00 pm
Forum: Numerical Methods Forum
Topic: 100 millions time faster than ODE methods
Replies: 13
Views: 332

Re: 100 millions time faster than ODE methods

It's like learning to play the violin. Ten thousand hours of practice, but then you can rattle through all four seasons in minutes. But 'ukulele is still better. That analogy may be better than you think. When your ten thousand hours does not help me -- and I still have to practice/train the damn t...
by Alan
November 14th, 2019, 3:51 pm
Forum: Numerical Methods Forum
Topic: 100 millions time faster than ODE methods
Replies: 13
Views: 332

Re: 100 millions time faster than ODE methods

Mc Ghee is outrunned, NNs compute today 100 millions times faster than ODE methods !!!
https://arxiv.org/pdf/1910.07291.pdf
 "Generating these (training) data required over 10 days of computer time".
GZIP: On