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by Alan
Today, 12:47 am
Forum: Numerical Methods Forum
Topic: Smoothing splines (clamped spline)
Replies: 2
Views: 85

Re: Smoothing splines (clamped spline)

Hi Daniel, Thank you for the code. I haven't opened it yet. Let me know if I will find the solution to the following problem, which will answer your question. I want to find the piecewise cubic polynomial [$]g(t)[$] that solves the following problem: (*) minimize [$] \left( \sum_{i=1}^n \{ y_i - g(t...
by Alan
Yesterday, 7:15 pm
Forum: Numerical Methods Forum
Topic: Smoothing splines (clamped spline)
Replies: 2
Views: 85

Smoothing splines (clamped spline)

There are a zillion resources on splines, but I can't seem to find this.  I need an algorithm for a smoothing (cubic) spline where the endpoint derivatives are specified (the so-called 'clamped spline'). With no smoothing (so just ordinary interpolation), there are many treatments. With so-called 'n...
by Alan
July 15th, 2019, 4:18 pm
Forum: Off Topic
Topic: Stuff that Physics_(+ &)_mathematicS can explain
Replies: 24
Views: 4813

Re: Stuff that Physics_(+ &)_mathematicS can explain

Looks like she has an interesting book -- just ordered a copy.
by Alan
July 15th, 2019, 4:07 am
Forum: Off Topic
Topic: All about Cats
Replies: 801
Views: 41573

Re: All about Cats

Cleokatra
by Alan
July 12th, 2019, 10:56 pm
Forum: Technical Forum
Topic: Zassenhaus formula
Replies: 12
Views: 532

Re: Zassenhaus formula

Alan, you did an expansion to O(\tau^11) for Garch. That's using heat kernel expansion? And heat kernel expansion works for most SV models, it's a very general method? I've always thought, maybe mistakenly, that the difficult part of heat kernel expansion is finding the geodesic distance. @frolloos...
by Alan
July 12th, 2019, 3:47 am
Forum: Technical Forum
Topic: Zassenhaus formula
Replies: 12
Views: 532

Re: Zassenhaus formula

 then *maybe* a general perturbative solution could be found for any SV model. Now I think the general form of "[$] \cdots [$]" can be found or is actually known (see link above to ArXiv paper), but I am not sure what the "best" way is to cut-off or Taylor expand the "[$] \cdots [$]" part, i.e. to ...
by Alan
July 8th, 2019, 6:35 pm
Forum: Careers Forum
Topic: Looking for a partner for my Quant project
Replies: 59
Views: 1483

Re: Looking for a partner for my Quant project

10% to the person that does all the work? That's not going to work. I'm the one who does all the work here and makes the strategy. The strategy will be invested, not the program language. CloudQuant "We are looking for programmers to allocate capital" does not say. The programmer who will do this w...
by Alan
July 6th, 2019, 8:06 pm
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 2923
Views: 82387

Re: Trump -- the last 100 days

"The Continental Army suffered a bitter winter at Valley Forge, found glory across the waters of the Delaware and seized victory from Cornwallis of Yorktown.  Our Army manned the air, it ran the ramparts, it took over the airports, it did everything it had to do." - President Trump on the American ...
by Alan
July 1st, 2019, 3:41 am
Forum: Forum and Website Bugs and Suggestions
Topic: Youtube videos not embedding properly
Replies: 3
Views: 234

Youtube videos not embedding properly

This has been going on for a few days. Testing: Dsp_8Lm1eSk# Kind of looks like youtube changed something at their end, as the embed codes look different than before. If it's not a bug with them, maybe something needs changing at the forum end to compensate. {SIMPLETEXT}://www.youtube.com/watch?v={D...
by Alan
June 27th, 2019, 2:34 pm
Forum: Trading Forum
Topic: Rolling and expiry dates for emissions futures contracts
Replies: 3
Views: 301

Re: Rolling and expiry dates for emissions futures contracts

Kind of guessing, but it looks from your screen shot that this is a series that keeps a continuous record by rolling every 3 months into a (new) distant maturity contract. At the time of the screen shot, looks like the series reflects a Dec 2025 contract (MOZ5 25). You've got the complete list of wh...
by Alan
June 23rd, 2019, 5:49 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 786
Views: 65558

Re: End of bitcoin?

Good article in today's WSJ (paywall): Facebook’s Libra Is a License to Print Money (James Mackintosh). From the article: The reserve isn’t quite as great as it seems, though. Like a money-market fund Libra has no capital and no deposit insurance, so any drop in the value of the reserves should mean...
by Alan
June 21st, 2019, 11:54 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 786
Views: 65558

Re: End of bitcoin?

Interestingly, the backing by real assets to make it a stablecoin presents a regulatory issue: is Libra a security?   I will guess the SEC will answer 'yes' and the CFTC will not object because they really don't want to regulate it. But, since there is not the manipulation objection that seems to kn...
by Alan
June 17th, 2019, 3:13 am
Forum: Off Topic
Topic: Songs about cities
Replies: 255
Views: 23328

Re: Songs about cities

From the album:
It reminded us of Tamacun, the famous Mexican eccentric who is in Ixtapa where we lived for a while. Tamacun’s message is to teach kids to respect nature. He handles crocodiles, and tourists come to photograph him.
Tamacun/Ixtapa
by Alan
June 16th, 2019, 11:21 pm
Forum: Brainteaser Forum
Topic: Get 24 from 1, 3, 4 and 6
Replies: 29
Views: 1260

Re: Get 24 from 1, 3, 4 and 6

In Mathematica: StringJoin[ToString[1*6/3], ToString[4]] 24 I would have concerns about the run-time efficiency. Do the strings use hashing? answer = StringJoin[ToString[1*6/3], ToString[4]]; Hash[answer, "SHA256"] 87843000942654739416790862908851944946087349408853794374923081877917692795355 Hash["...
GZIP: On