SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 225 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 15
by FaridMoussaoui
Today, 1:15 pm
Forum: Programming and Software Forum
Topic: Open binary file format
Replies: 3
Views: 71

Re: Open binary file format

I can't answer about the performance. But hdf5 is not a database. You can use a database as you want "random" access. One of the DBs used by HFT traders is QuasarDB: https://www.quasardb.net/product It is not open source but there is a free "community edition". QuasarDB is a high performance, distri...
by FaridMoussaoui
November 8th, 2018, 6:30 pm
Forum: Programming and Software Forum
Topic: Julia in finance
Replies: 3
Views: 119

Re: Julia in finance

Have a look here: https://juliacomputing.com and specifically: https://juliacomputing.com/domains/finance.html

There is an example of using julia for fast AD: https://wilmott.com/automatic-for-the-greeks/
by FaridMoussaoui
November 6th, 2018, 2:57 pm
Forum: Numerical Methods Forum
Topic: Proof that Newey West standard error estimator is positive semi defnite
Replies: 4
Views: 234

Re: Proof that Newey West standard error estimator is positive semi defnite

Well, no proof was given there, it just said, have a look to McLeod paper.

Here a screenshot of that proof:

Image
by FaridMoussaoui
November 5th, 2018, 3:13 pm
Forum: Numerical Methods Forum
Topic: Proof that Newey West standard error estimator is positive semi defnite
Replies: 4
Views: 234

Re: Proof that Newey West standard error estimator is positive semi defnite

Is that theorem 1 ( [$] \hat{S_{T}} [$] is positive semi-definite)?  
by FaridMoussaoui
November 1st, 2018, 5:03 pm
Forum: Numerical Methods Forum
Topic: Who understands Black Scholes Boundary Conditions, really
Replies: 183
Views: 183102

Re: Who understands Black Scholes Boundary Conditions, really

So they use a Dirichlet BC at x = 0 and they do not use any BC at the far field boundary. and they wrote "Instead, we reduce grid points by one in every time step" ??????? Here a screenshot of that part of the paper: https://www.mfquant.net/wp-content/uploads/2018/11/Screenshot_20181101_175751.png
by FaridMoussaoui
July 27th, 2018, 1:08 pm
Forum: Numerical Methods Forum
Topic: Calculate the derivative of exp(A) over A
Replies: 54
Views: 1737

Re: Calculate the derivative of exp(A) over A

Never understood why paying for a scientic paper (between $10-$30 and it's a pdf file!!!).
When I don't find the paper online (for free), I ask the author.

Sci-Hub is a breath of fresh air for a LOT of scientists around the world who can't afford the predatory prices (and practice) of the editors.
by FaridMoussaoui
July 27th, 2018, 12:46 pm
Forum: Numerical Methods Forum
Topic: Calculate the derivative of exp(A) over A
Replies: 54
Views: 1737

Re: Calculate the derivative of exp(A) over A

"Numerical algorithms based on the theory of complex variable" , Lyness, 1967 (paywall) How to get the article for free (as the author get $0 anyway): get the DOI reference from the paywall web page.  go to https://twitter.com/sci_hub click on the link on the left hand side. It is now: https://sci-...
by FaridMoussaoui
July 26th, 2018, 11:26 pm
Forum: Trading Forum
Topic: Jump models in practice
Replies: 27
Views: 1316

Re: Jump models in practice

Yes, it was more severe than INTC and MSFT in 2000 (resp $90 bn, $80 bn loss).
by FaridMoussaoui
July 12th, 2018, 6:18 pm
Forum: Numerical Methods Forum
Topic: Calculate the derivative of exp(A) over A
Replies: 54
Views: 1737

Re: Calculate the derivative of exp(A) over A

something like [$] \frac{d^2 f}{dz_i d\overline{z}_j} [$] for a function [$] f(z_1, z_2, ..., z_n) [$]
by FaridMoussaoui
July 12th, 2018, 4:01 pm
Forum: Numerical Methods Forum
Topic: Calculate the derivative of exp(A) over A
Replies: 54
Views: 1737

Re: Calculate the derivative of exp(A) over A

The Hessian of a complex function?
by FaridMoussaoui
July 10th, 2018, 1:27 pm
Forum: Numerical Methods Forum
Topic: Calculate the derivative of exp(A) over A
Replies: 54
Views: 1737

Re: Calculate the derivative of exp(A) over A

Simple question which stumps me: I  have a complex square matrix H. There are some nice methods for calculating exp(H). What about calculating the derivative of exp(H) over elements of H? To be precise: let M = exp(H). I want to calculate dM_{jk} / dH_{mn} numerically, accurately and (relatively) q...
by FaridMoussaoui
July 10th, 2018, 1:25 pm
Forum: Numerical Methods Forum
Topic: Calculate the derivative of exp(A) over A
Replies: 54
Views: 1737

Re: Calculate the derivative of exp(A) over A

One more question, as Lt Colombo says: can you recommend a good algorithm to compute the exponential of a complex matrix? Al-Mohy, A. H. and N. J. Higham, “A new scaling and squaring algorithm for the matrix exponential,” SIAM J. Matrix Anal. Appl., 31(3) (2009), pp. 970–989. use your favourite sea...
by FaridMoussaoui
May 14th, 2018, 10:12 am
Forum: Programming and Software Forum
Topic: C++ quiz - Maths and acccuracy
Replies: 520
Views: 30180

Re: C++ quiz - Maths and acccuracy

I stay with universal languages, e.g C++/Fortran
by FaridMoussaoui
May 14th, 2018, 9:46 am
Forum: Programming and Software Forum
Topic: C++ quiz - Maths and acccuracy
Replies: 520
Views: 30180

Re: C++ quiz - Maths and acccuracy

For the AD method for greeks, have to look to Mike Giles work.
  • 1
  • 2
  • 3
  • 4
  • 5
  • 15
GZIP: On