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by Netwalker
August 12th, 2005, 6:14 am
Forum: Programming and Software Forum
Topic: Optimization-Eq. solving codes/libraries for C++
Replies: 2
Views: 139063

Optimization-Eq. solving codes/libraries for C++

Dear colleagues,Could you suggest one or several robust, fast and reliable C++ libraries for numerical optimization and equation solving. Free libraries are preferred, but really good commercial libraries are also of interest.RegardsNet
by Netwalker
March 8th, 2004, 1:02 pm
Forum: The Quantitative Finance FAQs Project
Topic: Where can I find free financial data?
Replies: 65
Views: 317393

Where can I find free financial data?

I am looking for somewhat specific financial datasets. I need prices sampled three times per trading day: open, middle day and close. May be someone can advice where such time series available for free.
by Netwalker
February 28th, 2004, 6:12 am
Forum: General Forum
Topic: Do you want Matlab Code / Manuals ?
Replies: 6
Views: 190926

Do you want Matlab Code / Manuals ?

<r>Follow this link to find an excellent Matlab GARCH toolbox:<URL url="http://www.kevinsheppard.com/research/ucsd_garch/ucsd_garch.htmMany"><LINK_TEXT text="www.kevinsheppard.com/research/ucsd_gar ... ch.htmMany">www.kevinsheppard.com/research/ucsd_garch/ucsd_garch.htmMany</LINK_TEXT></URL> thanks ...
by Netwalker
February 22nd, 2004, 8:51 pm
Forum: Technical Forum
Topic: Quanto adjustment !!!!!!!!
Replies: 7
Views: 190510

Quanto adjustment !!!!!!!!

<r>1) Barndorff-Nielsen et al. (2001) On Quantum statistical inference:<URL url="http://www.library.uu.nl/digiarchief/dip/dispute/2002-0301-121400/1204.pdf2"><LINK_TEXT text="http://www.library.uu.nl/digiarchief/di ... /1204.pdf2">http://www.library.uu.nl/digiarchief/dip/dispute/2002-0301-121400/120...
by Netwalker
February 17th, 2004, 1:47 pm
Forum: Student Forum
Topic: time series
Replies: 3
Views: 189158

time series

<t>Player, I am not quite sure why you refer to the AR process in the unit root testing context.If a time series contains a unit root, then an informational shock does not disappear over time and permanently affects the distributional parameters of the series. I would suggest using three steps for t...
by Netwalker
February 12th, 2004, 10:00 am
Forum: The Quantitative Finance FAQs Project
Topic: What are the differences between parametric and non-parametric methods?
Replies: 14
Views: 210300

What are the differences between parametric and non-parametric methods?

May be someone can explain what is semi-parametric. Probably it can define the border between purely parametric and nonparametric more precisely.
by Netwalker
February 11th, 2004, 12:31 pm
Forum: Technical Forum
Topic: REALIZED DAILY VOLATILITY
Replies: 4
Views: 189616

REALIZED DAILY VOLATILITY

by Netwalker
February 11th, 2004, 12:09 pm
Forum: Programming and Software Forum
Topic: MATLAB, Mathematica or VBA for MC?
Replies: 20
Views: 190838

MATLAB, Mathematica or VBA for MC?

One good thing about Matlab is that you can redesign the MC experiment in just a few seconds.
by Netwalker
February 6th, 2004, 2:18 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are the most popular probability distributions, and what are their uses in finance?
Replies: 25
Views: 199394

What are the most popular probability distributions, and what are their uses in finance?

<t>QuoteOriginally posted by: pburnsThe Efficient Market Hypothesis implies that returns are unpredictable -- it does not imply anything about their distribution. You would need to impose conditions on the information in order to deduce a distribution of the returns in an efficient market. If you lo...
by Netwalker
September 11th, 2003, 8:05 am
Forum: The Quantitative Finance FAQs Project
Topic: Subjects, please...
Replies: 430
Views: 336411

Subjects, please...

parametric vs. nonparametric methodsmeanings, differences, advantages/disadvantages, applications etc.
by Netwalker
September 10th, 2003, 8:07 am
Forum: Technical Forum
Topic: Statistical tests for skewness and kurtosis
Replies: 8
Views: 190075

Statistical tests for skewness and kurtosis

<t>quantieThe simulation (experimental) approach is useful with simple processes if one is too lazy to open a book and find appropriate information. It becomes of a substantial value with complex nonlinear processes. "…original question was on computing skewness and kurtosis of a sample."Are you tou...
by Netwalker
September 9th, 2003, 12:52 pm
Forum: Technical Forum
Topic: Statistical tests for skewness and kurtosis
Replies: 8
Views: 190075

Statistical tests for skewness and kurtosis

<t>QuoteOriginally posted by: quantienetwalker I don't seem to understand if you are trying to see if your sample X is normal you would look at the sample itself and compute the kurtosis/skewness. I don't see why you would generate M random samples from a normal distribution and then test those numb...
by Netwalker
September 9th, 2003, 9:14 am
Forum: Technical Forum
Topic: Statistical tests for skewness and kurtosis
Replies: 8
Views: 190075

Statistical tests for skewness and kurtosis

<t>QuoteOriginally posted by: sudhakar682hi,thanks for the reply. I heard that you can also test the significance of skewness/kurtosis using simulation method. Is it true? If so, how to do that?SudhakarSuppose you have a sample of random variables x(t) (t=1,…,N) and you believe that they are normall...
by Netwalker
September 4th, 2003, 10:33 am
Forum: The Quantitative Finance FAQs Project
Topic: How do GARCH processes work?
Replies: 56
Views: 268226

How do GARCH processes work?

<t>Why GARCH is a generalisation of ARCH?Lets take ARCH(1) process:1) h(t) = w + a*r^2(t-1)where h(t) is a conditional volatility at day t, r^2(t-1) is squared return at day t-1 and w and a are coefficients in the conditional variance equation.In words, we believe that variance h(t) depends of the m...
by Netwalker
September 1st, 2003, 12:40 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are the most popular probability distributions, and what are their uses in finance?
Replies: 25
Views: 199394

What are the most popular probability distributions, and what are their uses in finance?

<t>QuoteOriginally posted by: justintimeThe expected kurtosis is indeed slightly grater than 3. It looks like “overfitting”. The expected variance of z(t) series is hardly distinguishable from 1. That’s not the case in the real world.Any model is just an approximation of a real world phenomenon. Don...
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