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by ACD
June 23rd, 2009, 6:01 am
Forum: Student Forum
Topic: factor selection in factor models
Replies: 3
Views: 37321

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...
by ACD
May 25th, 2009, 9:15 am
Forum: Programming and Software Forum
Topic: How to combine C++ and C#?
Replies: 37
Views: 48237

How to combine C++ and C#?

Thanks guys
by ACD
May 23rd, 2009, 4:51 pm
Forum: Programming and Software Forum
Topic: How to combine C++ and C#?
Replies: 37
Views: 48237

How to combine C++ and C#?

Is there a good book or web page that can be recommended for C++/CLI?Thanks
by ACD
May 17th, 2009, 9:07 am
Forum: Programming and Software Forum
Topic: C++ PCA, eigen vectors and values
Replies: 26
Views: 49536

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.
by ACD
February 16th, 2009, 12:39 pm
Forum: Numerical Methods Forum
Topic: statistical test for examining parameters of nonlinear functions
Replies: 5
Views: 42974

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 ...
by ACD
February 9th, 2009, 8:43 am
Forum: Student Forum
Topic: Volatility Cone and Quanto Triangle 101 Overview
Replies: 1
Views: 44061

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.
by ACD
January 17th, 2009, 12:10 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Bookshop Category links not working
Replies: 0
Views: 44828

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.
by ACD
December 14th, 2008, 1:04 pm
Forum: Student Forum
Topic: math primer books for the cqf
Replies: 2
Views: 46568

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...
by ACD
October 7th, 2008, 3:38 pm
Forum: Student Forum
Topic: Standard Deviation question
Replies: 7
Views: 48569

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...
by ACD
October 6th, 2008, 10:19 am
Forum: Student Forum
Topic: Standard Deviation question
Replies: 7
Views: 48569

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...
by ACD
October 3rd, 2008, 6:58 am
Forum: Book And Research Paper Forum
Topic: Amazon Reviews
Replies: 35
Views: 52907

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 ...
by ACD
September 13th, 2008, 4:56 pm
Forum: Technical Forum
Topic: Backfilling historical data
Replies: 3
Views: 49979

Backfilling historical data

QuoteOriginally posted by: rks74uswhat does EM stand for? thnksExpectation-maximizationhttp://en.wikipedia.org/wiki/Expectation-maximization_algorithm
by ACD
September 13th, 2008, 2:22 pm
Forum: Student Forum
Topic: Correlation Matrix
Replies: 13
Views: 190252

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...
by ACD
September 6th, 2008, 9:13 am
Forum: Student Forum
Topic: Why variance Term in Geometric Brownian Motion?
Replies: 1
Views: 48971

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...
by ACD
September 2nd, 2008, 12:04 pm
Forum: Forum and Website Bugs and Suggestions
Topic: Forum search ...
Replies: 5
Views: 52232

Forum search ...

Seems to be working now, thanks
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