HiI am wondering if there is a standardized(something that is already being used in the industry) quantitative method to compute the capacity of a Managed futures trading program. Alternatively, if u could point me to a paper that'll be great as well.Thanks

<t>Hi Alan,Thanks for ur post. I am using process which simulates returns with the proportional increments of constant drift, constant volatility stochastic processes. I am using the portsim function in matlab. However, like you rightly pointed out I haven't given you what kind of autocorrelation ch...

<t>Hi GroupCan any one point me to some papers that discuss methods for MonteCarlo simulation of market prices ?For example if there are methods out there which will simulate the S&P prices and the new series will retain the auto-correlation characteristics of S&P.One step further if given a...

<t>Hi GroupCan any one point me to some papers that discuss methods for MonteCarlo simulation of market prices ?For example if there are methods out there which will simulate the S&P prices and the new series will retain the auto-correlation characteristics of S&P.One step further if given a...

<t>Hi GroupCan any one point me to some papers that discuss methods for MonteCarlo simulation of market prices ?For example if there are methods out there which will simulate the S&P prices and the new series will retain the auto-correlation characteristics of S&P.One step further if given a...

HiJust wondering if any one had an idea what was the approximate fee for RiskManager software from Riskmetrics or any other similar products.Thanks

yes, i used the R/S method....no matter how i generate the random series.... i am not able to arrive at 0.5.....thats y i am looking for a way to generate a time series that gives me a HE=0.5

<t>Thank you for offering ur insights. Here is the scenario I ran.I estimated HE for a sample of 5000 random data points a 1000 times. The distribution of the estimated hurst Exponent works out to be between 0.54-0.56.... I am using the algorithm recommended by Ed Peters in his book Chaos and Order ...

<t>Hi AaronI had used to to verify some of my code. However, I am finding difficult to generate a time series of HE=0.5. Even the random numbers generated out of matlab seem to be around 0.56.Thats y i am looking forward to a methodology where I can generate a synthetic time series given a hurst exp...

I am relatively new to creating a term structure model and would like to apply a cubic or quartic spline. I know there are several threads regarding this on this site however I was wondering if anybody had any experience applying Matlab to this problem. Thanks.

HiI was wondering if there was way to generate a synthetic timeseries given the Hurst Exponent.eg: Could I generate a timeseries for HE=0.5.Any pointers or papers in this regard would be of great help.Thanks

Hi GroupI was wondering if any of u could point me to some paper containing how the MLM Index is exactly constructed with all its assumptions.Any help will be of great helpthanks

Hi GroupI was wondering if any of u could point me to some paper containing how the MLM Index is exactly constructed with all its assumptions.Any help will be of great helpthanks

<t>Hi,This is Fuzzy C-means clustering related question.I was wondering if any one had some suggestions/mechanism on coming up with (1) the ideal degree of fuziness(2) defining the the threshold for the membership value in order to determine the existence of a particular object in a given cluster.An...

<t>Hi,This is Fuzzy C-means clustering related question.I was wondering if any one had some suggestions/mechanism on coming up with (1) the ideal degree of fuziness(2) defining the the threshold for the membership value in order to determine the existence of a particular object in a given cluster.An...