<r>Hi!My employer is interested in determining whether it can predict its own stock price movement from mining social media data to measure sentiment about, e.g., the company, its products, its competitors, and the overall industry. If this is successful, the next step would be to try to address the...

Hi Alan, thank you for responding!I think I can further reduce the double integral at the end of my final expression for Y as follows:Does that look right? Thanks!-- TMK --

Okay, let's see if I can continue where I left off:.Then.Plugging in X and simplifying gives:.Assuming my algebra is correct, is this the right answer, or does the stochasticity of X trip me up somehow?Thanks!-- TMK --

<t>Oops, it posted before I could write my request. Anyway, here goes:Suppose I have a fairly typical O-U process:, where W is standard Brownian Motion, and now I have a second process Y that depends on X in a similar fashion:. The solution for X is well-known:My question will be whether it is corre...

<t>Hi CrashedMint.This is a straightforward application of Ito's Lemma and basic facts about Brownian Motion. So I will assume certain things without giving the details, which you can fill in from a standard book about stochastic calculus (e.g., Steele or Shreve or Neftci or many others).The origina...

<t>Here's a simple straightforward question that I have some general ideas about, but I'm interested in the opinions of all you number jockeys. Suppose I'm converting a quantity from one system of units to another, e.g., milliseconds to years. I can either multiply my millisecond quantity by 3.17097...

<t>Hi, Brahim.Thank you for responding. I don't think my problem maps easily onto TSP, evidently I didn't present it very well. It's really more of a partition problem. Perhaps a concrete example would clarify. Suppose I have to travel four miles in two days. I could go all four miles on the first d...

<r>I graduated about a year ago from NYU's math-finance masters program, but I began it way back in 2001 as a part-time student. I think the acceptance rate back when I entered was towards the high end of the 20% - 40% range (else how would I have gotten in <E>;-)</E> , but as such programs have inc...

<t>Hi. I'm a user of genetic algorithms, but by no means an expert. My question is not directly related to finance, but I have found so many knowledgeable people here, I figured it was worth a shot to run this by you.I have a GA to solve the following problem: I want to travel a certain finite dista...

<t>Thank you, sanjay, this is very helpful. But I still think that this formula is not necessarily unique. I see that I neglected a constant term in the mean of y|x, it should be y|x = N(k1*x+b,k2). Then this gives us two equations with three parameters to solve: k1*m + b = m, (s1+s2)*k1^2 + k2 = s2...

<r>This is a pretty simple-minded question, but here goes.Suppose I have the following set up, where x and y are gaussian random variables, m, s1, s2 are constants (m is a mean, s1 and s2 are variances):x|y ~ N(y,s1)y ~ N(m,s2)From this, I can determine thatx ~ N(m,s1+s2)Now I would like to invert t...

<t>Hi, fashionmarina.Thank you so much for responding! I guess there's some ambiguity in how different people refer to the "Two Fund Theorem." I was using the terminology as it was defined in the book "Investment Science" by David Luenberger (1998, Oxford University Press, ISBN 0-19-510809-4). Luenb...

<t>Hi.Briefly speaking, the "Two Fund Theorem" states that all the portfolios on the Markowitz Efficient Frontier can be obtained as a one-parameter family of linear combinations of any two of them, i.e., p = s*p1 + (1-s)*p2 for some s. This works when the Markowitz mean-variance optimization is sub...