SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 39 matches

by 4rcher
November 19th, 2013, 9:30 am
Forum: Careers Forum
Topic: getting a job in systemic trading
Replies: 0
Views: 6188

getting a job in systemic trading

<t>Hi,I am currently doing a PhD in financial econometrics at a European university. I am going to finish next August and I am planning to apply for jobs in systemic trading, so I would like to ask for a profile evaluation. My research interest lies in nonlinear and non-Gaussian state space models a...
by 4rcher
September 7th, 2013, 2:12 pm
Forum: Careers Forum
Topic: Machine learning quants?
Replies: 9
Views: 10384

Machine learning quants?

Hi neuroguy,Can you mention some of these interesting data science issues relating to market 'tick' data? I would really appreciate it, because it is hard filter out some useful information from the internet (most of the material is either superficial or IT oriented).Thanks in advance!
by 4rcher
August 28th, 2013, 5:35 am
Forum: Student Forum
Topic: Asset pricing models: Merton-style bond pricing vs. CAPM
Replies: 20
Views: 8901

Asset pricing models: Merton-style bond pricing vs. CAPM

<r>Hi Alan,I don't know the answer to your questions but let me through in some relevant thoughts:- There are reduce form credit risk models which take into account additional information. These models usually look like [$]\lambda_{it}=exp(\beta c_{it} )[$] where [$]\lambda[$] is the default intensi...
by 4rcher
April 15th, 2013, 8:09 am
Forum: Trading Forum
Topic: Advances in High Frequency Strategies By Marcos M. López de Prado
Replies: 10
Views: 12874

Advances in High Frequency Strategies By Marcos M. López de Prado

nice follow up on the paper VPIN and the Flash Crash
by 4rcher
April 2nd, 2013, 5:25 pm
Forum: Student Forum
Topic: GARCH model with insignificant arch/garch terms
Replies: 5
Views: 8525

GARCH model with insignificant arch/garch terms

You should carry out a likelihood ratio test to check your hypothesis.
by 4rcher
March 3rd, 2013, 8:53 am
Forum: Economics Forum
Topic: Survival Analysis with time varying covariates
Replies: 1
Views: 8474

Survival Analysis with time varying covariates

check this paper
by 4rcher
February 28th, 2013, 12:41 pm
Forum: Student Forum
Topic: Question about an expectation
Replies: 3
Views: 8139

Question about an expectation

Thank you for the suggestions!It seems a quadratic specification would indeed help.
by 4rcher
February 27th, 2013, 9:38 am
Forum: Student Forum
Topic: Code for a Bayesian GARCH(1,1) volaitility model
Replies: 5
Views: 8453

Code for a Bayesian GARCH(1,1) volaitility model

check this package and the related paper
by 4rcher
February 23rd, 2013, 5:52 pm
Forum: Student Forum
Topic: Question about an expectation
Replies: 3
Views: 8139

Question about an expectation

<t>I have the following two OU processesandwhere W_1 and W_2 are independent Brownian motions.LetI am interested in the following expectationI derived the dynamics of f but (of course) the drift is a non-linear function of X_1 and X_2 so I can not use standard affine arguments to get a closed form e...
by 4rcher
January 17th, 2013, 7:13 am
Forum: Book And Research Paper Forum
Topic: Corporate Yield Spreads Default Risk or Liquidity New Evidence from the Credit Default Swap Market
Replies: 5
Views: 11846

Corporate Yield Spreads Default Risk or Liquidity New Evidence from the Credit Default Swap Market

<t>This is how I understand what they are doing:1, they pick starting parameters2, given the parameters they calculate \lambda_t and \gamma_t for all the 31 observations by minimizing the root mean squared errors at every observation date.3, they calculate the root-mean-squared error between the est...
by 4rcher
January 15th, 2013, 1:33 pm
Forum: Book And Research Paper Forum
Topic: Default Probability and Macroeconomic Fators
Replies: 5
Views: 9995

Default Probability and Macroeconomic Fators

Here are some academic papers:Frailty Correlated Default Multiperiod Corporate Default Prediction Latent Factor Intensity Model
by 4rcher
November 27th, 2012, 1:36 pm
Forum: Student Forum
Topic: Parameter uncertainty
Replies: 1
Views: 9243

Parameter uncertainty

Hi!Recently I have read some papers about the effect of parameter uncertainty on pricing. For exmaple.I was wondering if this has any practical relevance or this is again some academic dead end.Any idea?
by 4rcher
August 16th, 2012, 7:55 am
Forum: Careers Forum
Topic: Are MCMC methods useful in finace (Gibbs sampling and Metropolis-Hasting algo)
Replies: 8
Views: 14852

Are MCMC methods useful in finace (Gibbs sampling and Metropolis-Hasting algo)

The procedure in the Kim et al paper is fast and efficient I would say. You can also check their follow up paper.However I think the sequential Monte Carlo methods are more interesting eg this paper.
by 4rcher
July 21st, 2012, 4:50 pm
Forum: Student Forum
Topic: VaR calculation
Replies: 3
Views: 11886

VaR calculation

<t>I have a practical question regarding value at risk calculation. I would like to calculate the VaR as a quantile of the historical return series.1. If I have daily data that is no problem, and I found that in the industry they calculcate e.g. 10-day VaR by using the 1-day VaR multiplied by sqrt(1...
by 4rcher
September 9th, 2011, 5:57 pm
Forum: Student Forum
Topic: Multilevel Monte Carlo question
Replies: 1
Views: 18013

Multilevel Monte Carlo question

<t>Hi, I am reading "Multilevel Monte Carlo path simulation" by Mike Giles, and I don't get why this method helps in calculating non path dependent option prices (for example european call in one of the applications in the paper). He uses the following estimatorwhere \hat{P_l} is the f(S(T)) payoff ...
GZIP: On