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by EdisonCruise
May 28th, 2019, 1:32 am
Forum: Numerical Methods Forum
Topic: How to calibrate an exponential distribution with scale?
Replies: 6
Views: 2753

Re: How to calibrate an exponential distribution with scale?

Thank you for your reminding. I confused something here. \(\lambda(\delta)=Aexp(-\kappa\delta) \) is not a pdf. This  model  is from the paper "High-frequency trading in a limit order book "by MARCO AVELLANEDA and SASHA STOIKOV.  \(\lambda(\delta)=Aexp(-\kappa\delta) \) is acutally the exponential a...
by EdisonCruise
May 27th, 2019, 3:46 am
Forum: Numerical Methods Forum
Topic: How to calibrate an exponential distribution with scale?
Replies: 6
Views: 2753

How to calibrate an exponential distribution with scale?

I want to fit an exponential arrival rate from my data with below model, a more detail is given in my next post: $$\lambda(\delta)=Aexp(-\kappa\delta) $$ MATLAB can fit an exponential distribution with the following pdf: $$Y(\delta)=\frac{1}\mu exp(-\frac{\delta}\mu) $$ But is there any way to conve...
by EdisonCruise
May 7th, 2019, 2:12 am
Forum: Numerical Methods Forum
Topic: Why the minimum is taken here when its derivative > 0?
Replies: 2
Views: 2597

Why the minimum is taken here when its derivative > 0?

Below are sentensce taken from a paper. "In fact, we are going to prove that $$\forall t\in[0,T],\forall q\in\{-Q,...,Q\},\nu_q(t)\ge e^{-(\alpha Q^2-\eta)(T-t)} $$ If this was not true then there would exist \(\epsilon \gt0\) such that: $$\min_{t,q}e^{-2\eta(T-t)}(v_q(t)-e^{-(\alpha*Q^2-\eta)(T-t)}...
by EdisonCruise
January 15th, 2018, 6:37 am
Forum: Numerical Methods Forum
Topic: What makes autoregression different from multiple linear regression?
Replies: 2
Views: 1058

Re: What makes autoregression different from multiple linear regression?

Thank you Alan. But when I use matlab to estimate its VAR model, besides the coefficients in the linear equations, matlab also estimates the covariance matrix as unknowns. In multiple linear regression, there is no covariance matrix or autocorrelation to estimate, because samples are assumed to be i...
by EdisonCruise
January 10th, 2018, 4:12 pm
Forum: Numerical Methods Forum
Topic: What makes autoregression different from multiple linear regression?
Replies: 2
Views: 1058

What makes autoregression different from multiple linear regression?

For an AR(2) process Yt=a1*Yt-1+a2*Yt-2+b, is it different from Y=a1*X1+a2*X2+b, where X1 and X2 can be replaced by Yt-1 and Yt-2 respectively? As I know, the estimation of both models can use least square method and some book state’ We can therefore state that in the case of VAR processes, the LS e...
by EdisonCruise
May 24th, 2017, 8:33 am
Forum: Trading Forum
Topic: How to trade open price in practice as in my backtest?
Replies: 10
Views: 1226

Re: How to trade open price in practice as in my backtest?

Thank you. I am new in this area. Do you have any recommeded paper or book on this topic? 
by EdisonCruise
May 23rd, 2017, 9:40 am
Forum: Trading Forum
Topic: How to trade open price in practice as in my backtest?
Replies: 10
Views: 1226

Re: How to trade open price in practice as in my backtest?

Thank you all for your replies. My strategy is that first to forecast the up or down of a stock in the coming 5 days. If up, I buy, otherwise short. After 5 days, I close my position. In my back test, I just use the open price to open and close my position. 5 days should be a relatively long period....
by EdisonCruise
May 22nd, 2017, 6:43 am
Forum: Trading Forum
Topic: How to trade open price in practice as in my backtest?
Replies: 10
Views: 1226

Re: How to trade open price in practice as in my backtest?

Thank you. But which price should I use in back test? Should I use the first 5 minute price averaged by volume?
by EdisonCruise
May 21st, 2017, 6:14 am
Forum: Trading Forum
Topic: How to trade open price in practice as in my backtest?
Replies: 10
Views: 1226

How to trade open price in practice as in my backtest?

I have developed a strategy by trading open price. However, how should I make order in practice to make the return of my strategy as close as in backtest? There are some ways I can think of: 1) Send limit order with limit price in call auction period before market open. This way seems to able to get...
by EdisonCruise
July 11th, 2016, 3:13 am
Forum: Numerical Methods Forum
Topic: Is Bayesian Logistic Regression useful in predicting financial price change?
Replies: 0
Views: 461

Is Bayesian Logistic Regression useful in predicting financial price change?

I am developing a factor model to predict price change. Bayesian Logistic Regression seems more advanced than the traditional Logistic Regression. However, as in this matlab example http://cn.mathworks.com/help/stats/examples/bayesian-analysis-for-a-logistic-regression-model.html Each feature vector...
by EdisonCruise
April 14th, 2016, 12:33 am
Forum: Numerical Methods Forum
Topic: How to calibrate a linear regression model to forecast asset return?
Replies: 5
Views: 1610

How to calibrate a linear regression model to forecast asset return?

Thank you Alan. What I can do is only suggestion one.Developing my model based on recent literatures and hope it works.
by EdisonCruise
April 13th, 2016, 12:25 am
Forum: Numerical Methods Forum
Topic: How to calibrate a linear regression model to forecast asset return?
Replies: 5
Views: 1610

How to calibrate a linear regression model to forecast asset return?

May be that's right, but as I know, factor model is still popular.
by EdisonCruise
April 12th, 2016, 2:54 am
Forum: Numerical Methods Forum
Topic: How to calibrate a linear regression model to forecast asset return?
Replies: 5
Views: 1610

How to calibrate a linear regression model to forecast asset return?

<t>I want to calibrate a mulitvariate linear regression model for forecasting asset return. Now I am doing the following procedure. Subjectively picking up observable factors, like interest rate, fx rate, equity index. Download the data from 2007 to 2016. Select a rolling window, with size 1 year, 2...
by EdisonCruise
April 6th, 2016, 7:30 am
Forum: Numerical Methods Forum
Topic: Is there any open-source robust optimization software for portfolio selection?
Replies: 1
Views: 1445

Is there any open-source robust optimization software for portfolio selection?

<t>I am a beginner in robust optimization. I want to get a robust portfolio with a Worst-Case Conditional Value-at-Risk method. This requires a minimization of loss considering various scenarios with parametric uncertainty. Finally this leads to a problem like min_x(max_U(g(x,U))), where x is the po...
by EdisonCruise
March 27th, 2016, 4:50 am
Forum: Trading Forum
Topic: Does mean-variance allocation make sense in practice?
Replies: 6
Views: 2036

Does mean-variance allocation make sense in practice?

<t>Thank you all for your suggestions.Alan, I have tried adding constrains to the mean-variance strategy. If there are n ETF, then each ETF's weight is in the range [0,1/n] if forecasted return is positive, or [-1/n,0] if forecasted return is negative. The after minimization, the weight of each ETF ...
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