SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 80 matches

June 23rd, 2009, 6:01 am
Forum: Student Forum
Topic: factor selection in factor models
Replies: 3
Views: 37386

### factor selection in factor models

<t>Try the Bayesian Information Criterion ( BIC ) Edit: I should probably add this technique will have problems if presented with strongly co-linear factors (slight changes in data can change the outcome - any selection technique will have this problem). In which case you might want to consider revi...
May 25th, 2009, 9:15 am
Forum: Programming and Software Forum
Topic: How to combine C++ and C#?
Replies: 37
Views: 48506

### How to combine C++ and C#?

Thanks guys
May 23rd, 2009, 4:51 pm
Forum: Programming and Software Forum
Topic: How to combine C++ and C#?
Replies: 37
Views: 48506

### How to combine C++ and C#?

Is there a good book or web page that can be recommended for C++/CLI?Thanks
May 17th, 2009, 9:07 am
Forum: Programming and Software Forum
Topic: C++ PCA, eigen vectors and values
Replies: 26
Views: 49756

### C++ PCA, eigen vectors and values

Look up the power method if this is just for self education. That's very easy to implement and understand (although is slow when eigenvalues are close in numerical value). Will only have required you to have implemented matrix multiplication, addition and the L2 norm or a vector.
February 16th, 2009, 12:39 pm
Forum: Numerical Methods Forum
Topic: statistical test for examining parameters of nonlinear functions
Replies: 5
Views: 43056

### statistical test for examining parameters of nonlinear functions

<t>If you want confidence intervals around your parameter estimates you can also consider using bootstrapping to estimate a a reasonable number of models and use these to form a distribution for the parameters. You can then empirically form 95% (or whatever % you want) confidence intervals for your ...
February 9th, 2009, 8:43 am
Forum: Student Forum
Topic: Volatility Cone and Quanto Triangle 101 Overview
Replies: 1
Views: 44100

### Volatility Cone and Quanto Triangle 101 Overview

Volatility Cones are over-viewed in the book "Volatility Trading" by Euan Sinclair, I believe there are some examples in the Excel sheets included as well.
January 17th, 2009, 12:10 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Bookshop Category links not working
Replies: 0
Views: 44866

### Bookshop Category links not working

If I go to the bookshop and click on one of the categories (say mathematics) it comes back with an empty page. Could someone take a look please.
December 14th, 2008, 1:04 pm
Forum: Student Forum
Topic: math primer books for the cqf
Replies: 2
Views: 46632

### math primer books for the cqf

<t>There's a maths primer course that is included in the cqf course's cost. It runs in the month before the start of the course if you need to brush up your background knowledge. I'd check that out since it's directly tailored to the CQF itself and will be free if you're already set on doing the cou...
October 7th, 2008, 3:38 pm
Forum: Student Forum
Topic: Standard Deviation question
Replies: 7
Views: 48683

### Standard Deviation question

<t>Since you're dealing with the pdf rather than a sample (and a discrete one) I'd directly calculate the values of and . The first is simply the sum of each outcome multiplied by its probability and the second is the square of each outcome multiplied by it's probability. The standard deviation is t...
October 6th, 2008, 10:19 am
Forum: Student Forum
Topic: Standard Deviation question
Replies: 7
Views: 48683

### Standard Deviation question

<t>The Excel stdev is for estimating the population standard deviation from a sample drawn from that population (it adjusts for the bias caused from estimating the mean and std dev from the same data set i.e. divides by n - 1). You already know the entire pdf here so there's no bias as you are calcu...
October 3rd, 2008, 6:58 am
Forum: Book And Research Paper Forum
Topic: Amazon Reviews
Replies: 35
Views: 53155

### Amazon Reviews

<t>I wouldn't lose too much sleep over them. Personally if the books have the search inside option on them I ignore the reviews and use that to evaluate if a book is worth purchasing or not. I'd imagine most level headed people do the same on Amazon as it gives a much clearer guide to what's in the ...
September 13th, 2008, 4:56 pm
Forum: Technical Forum
Topic: Backfilling historical data
Replies: 3
Views: 50047

### Backfilling historical data

QuoteOriginally posted by: rks74uswhat does EM stand for? thnksExpectation-maximizationhttp://en.wikipedia.org/wiki/Expectation-maximization_algorithm
September 13th, 2008, 2:22 pm
Forum: Student Forum
Topic: Correlation Matrix
Replies: 13
Views: 190390

### Correlation Matrix

<r>QuoteOriginally posted by: ronmQuotehttp://<URL url="http://www.rebonato.com/CorrelationMatrix.pdf">www.rebonato.com/CorrelationMatrix.pdf</URL> This link is not working. Can you pls provide an updated link?Should be able to get it here:<URL url="http://www.quarchome.org/correlationmatrix.pdf">ht...
September 6th, 2008, 9:13 am
Forum: Student Forum
Topic: Why variance Term in Geometric Brownian Motion?
Replies: 1
Views: 49019

### Why variance Term in Geometric Brownian Motion?

<t>The integral is a stochastic integral since S is stochastic, so you can't apply the normal rules of integration for a stochastic function i.e. . If you integrate as you describe S is being treated as deterministic.That's where the problem with your approach lies and why you do not have the that I...
September 2nd, 2008, 12:04 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Forum search ...
Replies: 5
Views: 52319

### Forum search ...

Seems to be working now, thanks

GZIP: On