SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by tagoma
October 6th, 2020, 8:54 pm
Forum: Off Topic
Topic: RIP thread
Replies: 152
Views: 22318

Re: RIP thread

RIP Edward Van Halen.
And fuck cancer.
by tagoma
September 29th, 2020, 11:32 am
Forum: Off Topic
Topic: is twitter for mentally ill people?
Replies: 231
Views: 42492

Re: is twitter for mentally ill people?

the whole thread

by tagoma
September 29th, 2020, 11:22 am
Forum: Careers Forum
Topic: Stranded in non related job. Advice welcome.
Replies: 3
Views: 416

Re: Stranded in non related job. Advice welcome.

I can comment on current changes/restructucring of quantitative divisions at (some) oil majors if useful to you. (for now I am not sure what you mean with "energy" [oil? power?], "trading desk" of what type of companies?
Thanks!
by tagoma
September 24th, 2020, 7:56 pm
Forum: Book And Research Paper Forum
Topic: Invalid actions in RL-based trading setups
Replies: 1
Views: 421

Re: Invalid actions in RL-based trading setups

FWIW I'm still working on it. The practical solutions I came through pretty much resolve around masking parts of the environment at specific steps (e,g, there are some bits in google's tf-agents code), hence involving the observation space, while I would rather need the possibility to constraint the...
by tagoma
September 22nd, 2020, 8:12 pm
Forum: Book And Research Paper Forum
Topic: Frequently Asked Questions in Quantitative Finance III?
Replies: 3
Views: 391

Frequently Asked Questions in Quantitative Finance III?

The same question was asked some time ago for Paul Wilmott on Quantitative Finance, 2nd Edition and answer was that there is no chance a 3rd Edition will be published in the foreseeable future, if I remember well. But ...). I was looking at FAQQF2 on some online book store, with the plan of maybe bu...
by tagoma
September 22nd, 2020, 7:42 pm
Forum: Numerical Methods Forum
Topic: 100 millions time faster than ODE methods
Replies: 25
Views: 5325

Re: 100 millions time faster than ODE methods

Thank you for your comments Cuch.
I long to have a look at this piece of research.
Sincerely,
tag
by tagoma
September 21st, 2020, 10:20 pm
Forum: Numerical Methods Forum
Topic: 100 millions time faster than ODE methods
Replies: 25
Views: 5325

Re: 100 millions time faster than ODE methods

https://i.imgur.com/aVPP60n.jpg This is a trailer from a recent very good thesis on Heston and Rough Heston. Instead of ANN being [$]10^4[$] faster, in this case it is [$][8,17][$] times slower. Thesis public domain soon.. Was the very purpose of this research to compare the speed of "traditional" ...
by tagoma
September 13th, 2020, 2:31 pm
Forum: Book And Research Paper Forum
Topic: Weather Derivatives
Replies: 15
Views: 151556

Re: Weather Derivatives

https://www.escholar.manchester.ac.uk/api/datastream?publicationPid=uk-ac-man-scw:161717&datastreamId=FULL-TEXT.PDF ? Merci Cuch. Presentation/estimates on the weather market risk at the beginning of Chapter 2 are quite what I am looking for. Unfortunately, references provided are quite old (2004, ...
by tagoma
September 11th, 2020, 5:21 pm
Forum: Book And Research Paper Forum
Topic: Weather Derivatives
Replies: 15
Views: 151556

Re: Weather Derivatives

Hi Friends. Can you kindly point to some online resources on weather risk management - hedging with derivatives vs insurance company services. I would like to know the main points about it, e.g. how much money involved (I am under the impression that the use of weather derivatives is low as compared...
by tagoma
August 26th, 2020, 12:50 pm
Forum: Programming and Software Forum
Topic: Beware the Null Process
Replies: 5
Views: 681

Re: Beware the Null Process

it is working again now (from here, too)
by tagoma
August 25th, 2020, 10:25 am
Forum: Programming and Software Forum
Topic: Python tricks
Replies: 310
Views: 63086

Re: Python tricks

There have been quite a lot of developments in recent python versions. Is there a proper construct that would be like a class with no (or very basic) methods, and only (mainly) with attributes ( anemic construct?). In C++, I would go for struct, I think (adding drama here; drama sells, right?). My ...
by tagoma
August 25th, 2020, 10:04 am
Forum: Programming and Software Forum
Topic: Python tricks
Replies: 310
Views: 63086

Re: Python tricks

Classes in  Python are not prize-winning TBH. By a struct do you mean all data is public by default like in C++? Plan B: Put Order in a module having attributes, def statements and bind functions. Thank you Cuchulainn. Yes, you guessed it right. I would like all data is public e.g. the Book class w...
by tagoma
August 24th, 2020, 10:15 pm
Forum: Programming and Software Forum
Topic: Python tricks
Replies: 310
Views: 63086

Re: Python tricks

There have been quite a lot of developments in recent python versions. Is there a proper construct that would be like a class with no (or very basic) methods, and only (mainly) with attributes ( anemic construct?). In C++, I would go for struct, I think (adding drama here; drama sells, right?). My u...
by tagoma
August 23rd, 2020, 9:20 pm
Forum: Programming and Software Forum
Topic: Beware the Null Process
Replies: 5
Views: 681

Re: Beware the Null Process

Cold case.

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GZIP: On