SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by Alan
January 9th, 2020, 8:48 pm
Forum: Brainteaser Forum
Topic: Boundary Conditions for the Schroedinger PDE at the infinities
Replies: 9
Views: 741

Re: Boundary Conditions for the Schroedinger PDE at the infinities

Yeah, I have no objection to examples of ABC that included potentials, such as the Bachelor thesis you just posted. My objection was to the original linked paper, which apparently included no such examples -- hence, a "not even wrong"-type paper IMO.  Brainteaser: reproduce all the V=0 examples in t...
by Alan
January 9th, 2020, 8:08 pm
Forum: Book And Research Paper Forum
Topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
Replies: 33
Views: 2840

Re: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution


I found daveangel's comments on the subject interesting, especially around the relative performance of funds open and closed to outsider investors.

From Bloomberg: The Unsolved Mystery of the Medallion Fund’s Success
by Alan
January 8th, 2020, 8:09 pm
Forum: Brainteaser Forum
Topic: Boundary Conditions for the Schroedinger PDE at the infinities
Replies: 9
Views: 741

Re: Boundary Conditions for the Schroedinger PDE at the infinities

The paper is using an ABSORBING boundary condition [(7) for the static domain]. if not, he will have reflexions and noisy pattern in figure 1 for example. Yeah, but if V=0 everywhere, what is the point of introducing a boundary??  Can't the problem just be solved on the infinite space? Or, maybe I ...
by Alan
January 8th, 2020, 5:30 pm
Forum: Brainteaser Forum
Topic: Boundary Conditions for the Schroedinger PDE at the infinities
Replies: 9
Views: 741

Re: Boundary Conditions for the Schroedinger PDE at the infinities

I looked briefly at the link and, in my opinion, that's a very poorly written paper. You can't tell if V has non-trivial x-dependence, is a constant, or is zero. Beyond that, for some problems, introducing an artificial boundary may be silly. The author seems to end up taking V=0, which seems to fal...
by Alan
January 6th, 2020, 3:48 pm
Forum: Technical Forum
Topic: SABR for Equity modelling
Replies: 9
Views: 620

Re: SABR for Equity modelling

Yes, I was going to suggest you work on the double expansion for what you need. That can be automated to very high order. In general, the "exact" terms [$]a_i(X,\sigma_0)[$] are very difficult to find analytically, while in contrast the double expansion terms can be found analytically with a good co...
by Alan
January 6th, 2020, 2:28 pm
Forum: Technical Forum
Topic: SABR for Equity modelling
Replies: 9
Views: 620

Re: SABR for Equity modelling

Let's take the lognormal SABR model as an example. So, let's put in a drift, as that seems to be your issue:  [$]dS_t = r S_t dt + \sigma_t S_t dB_t[$],  [$]d\sigma_t = \sigma_t dW_t[$], [$]dB_t dW_t = \rho \, dt[$].  Now suppose I gave you three terms of the small-T power series expansion for the B...
by Alan
January 5th, 2020, 6:50 pm
Forum: Politics Forum
Topic: Politicized science
Replies: 24
Views: 1021

Re: Politicized science

Le Globe is still there. any more  schenanigans  going on over in those parts? That kind of stuff is indeed what I was hinting at. Outside tagoma's (previous) dwelling was a yuge grey flat-roof warehouse facing Monte Blanc. Smugg;ing tunnels? Tags has never given closure on this issue. All good bor...
by Alan
January 5th, 2020, 6:09 pm
Forum: Book And Research Paper Forum
Topic: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
Replies: 33
Views: 2840

Re: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

So, I haven't read the book, but  here  they argue one takeaway is that Renaissance team had no previous financial knowledge, hence avoiding potential pitfalls. What do you guys think of this "no prior business knowledge turned into an strength" argument?  It makes for good dramatic reading, but no...
by Alan
January 4th, 2020, 5:26 am
Forum: Brainteaser Forum
Topic: Boundary Conditions for the Schroedinger PDE at the infinities
Replies: 9
Views: 741

Re: Boundary Conditions for the Schroedinger PDE at the infinities

Well, generally it's not true. You need to start the particle in a state where it's true and have conditions (at infinity) on the potential V that can keep the particle from escaping to [$]\infty[$].  Assuming all that (i.e., there are only bound state solutions), then for each such solution: [$]|\p...
by Alan
January 3rd, 2020, 4:59 pm
Forum: Politics Forum
Topic: Politicized science
Replies: 24
Views: 1021

Re: Politicized science

I saw Willis Lamb speaking there! The Great Old Ones... How cool! It made me google his obituary, which said "His fondest life memories were two -- his years at New College, Oxford University, and his summer trips to the Lindau Nobel Laureate Meetings, a gathering of Nobel laureates and talented yo...
by Alan
January 3rd, 2020, 3:34 am
Forum: Student Forum
Topic: Realised Volatility v Calculated Daily Volatility
Replies: 2
Views: 278

Re: Realised Volatility v Calculated Daily Volatility

pankajchitlangia: if annualized volatility is 19.105% then daily volatility should be 1% assuming daily volatility is same across. >> This is true only in an ideal world in which (1) stock prices follow geometric Brownian motion (GBM) with a constant volatility, and (2) realized volatility is measur...
by Alan
January 2nd, 2020, 9:55 pm
Forum: Politics Forum
Topic: Politicized science
Replies: 24
Views: 1021

Re: Politicized science

Re "is it really the Higgs", the article mentioned predicted decay modes.  And a little googling turned up  Scientists now know the fate of most Higgs bosons produced in Large Hadron Collider My impression is that it's a duck behaving like a duck. Agree that's it's a cushy life -- well, all academic...
by Alan
January 2nd, 2020, 6:58 pm
Forum: Politics Forum
Topic: Tilting at windmills
Replies: 44
Views: 1754

Re: Tilting at windmills

Amazing blade

(but pretty amazing driving skills!)
Wow! They really lucked out on the fence height. I wonder if, after delivery, the truck had to back out.
by Alan
January 2nd, 2020, 6:47 pm
Forum: Politics Forum
Topic: Politicized science
Replies: 24
Views: 1021

Politicized science

From the Economist: nice update on what to build and where for the next big particle collider. Small amount of politics, but otherwise, didn't know where to put it.

Finding new physics will require a new particle collider
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