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by mtsm
April 14th, 2018, 9:14 pm
Forum: Programming and Software Forum
Topic: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python
Replies: 7
Views: 866

Re: Fitting a YieldCurve in QuantLib: QuantLibXL vs. QuantLib-Python

Python https://letyourmoneygrow.com/2018/04/14/quantlib-python-twisting-a-snake-to-fit-a-yieldcurve/ Excel https://letyourmoneygrow.com/2018/02/10/quantlibxl-curvy-way-fit-yield-curve/ I, myself, prefer Python. The only problem: I have not, so far, found a way to attach Python [IDE] process to Visu...
by mtsm
March 13th, 2018, 12:54 am
Forum: General Forum
Topic: Quantitative methods in magic
Replies: 14
Views: 1699

Re: Quantitative methods in magic

Applications of maths and computers in magic are still undervalued. To start with https://arxiv.org/abs/1709.03803
Why do you think it's so bad? do you mean the execution of the authors is bad or do you mean the whole approach is just idiotic?
by mtsm
January 25th, 2018, 10:53 pm
Forum: General Forum
Topic: Forgotten Book Name and Author for bond math
Replies: 2
Views: 952

Re: Forgotten Book Name and Author for bond math

The Handbook of Global Fixed Income Calculations
by mtsm
December 7th, 2017, 2:28 am
Forum: Trading Forum
Topic: Is Bitcoin volatility a "BUY" or "SELL"?
Replies: 14
Views: 3864

Re: Is Bitcoin volatility a "BUY" or "SELL"?

Are you talking about options on deribit? I don't think it is a very significant product as yet. It's a very immature product on a small exchange. Look at the open interest for these contracts. I assume you are talking about the Dec-29 expiry. Not sure the implied vol is very meaningful and it's pro...
by mtsm
November 30th, 2017, 5:54 pm
Forum: Trading Forum
Topic: Bitcoin close to $ 10,000 as far as it will go?
Replies: 4
Views: 781

Re: Bitcoin close to $ 10,000 as far as it will go?

While your analysis is interesting in its own right, I do not believe that the rise of BTC is related to "reduced hype surrounding the US Dollar". That's bogus. The scenario you paint is also bogus.

Cuch, please STFU and exit this thread immediately. Thanks.
by mtsm
November 15th, 2017, 4:14 pm
Forum: General Forum
Topic: Is it over?
Replies: 87
Views: 55075

Re: Is it over?

There is a reason for this. I tried to make this point in the DL thread I created specially for cuchulainn, so he could turn it to shit. I am not advocating machine learning/deep learning per se, but I honestly believe and have some very practical experience with this, that parametric quant finance ...
by mtsm
November 7th, 2017, 2:20 pm
Forum: Technical Forum
Topic: DL and PDEs
Replies: 168
Views: 25204

Re: DL and PDEs

I practically created this thread for you.  I don't think that it is known what it does best and what not. I could imagine that for very high-dimensional problems the universal function approximation properties of neural nets could well be useful in various areas outside of computer vision.  Your ca...
by mtsm
November 6th, 2017, 8:46 pm
Forum: Technical Forum
Topic: DL and PDEs
Replies: 168
Views: 25204

DL and PDEs

Did you guys discuss this here already?
https://arxiv.org/pdf/1706.04702.pdf
by mtsm
November 2nd, 2017, 1:20 pm
Forum: Events Board
Topic: Machine Learning/Neural Networks - Thijs Van Den Berg And Paul Wilmott - 30 Nov 2017 - London
Replies: 21
Views: 10432

Re: Machine Learning/Neural Networks - Thijs Van Den Berg And Paul Wilmott - 30 Nov 2017 - London

What did you cover? Was it 101 stuff or did you cover some applied finance research?
by mtsm
July 19th, 2017, 1:17 pm
Forum: Book And Research Paper Forum
Topic: Advanced Books on Lattice Techniques
Replies: 9
Views: 1520

Re: Advanced Books on Lattice Techniques

You are not asking the right question. Lattice methods are poor men's pdes.  Admittedly lattice methods played a huge rule in quantitative finance, as they brought Black-Scholes theory to ... poor men. And I am not saying they aren't being used, they are.  But beyond this, look no further, look for ...
by mtsm
May 25th, 2017, 1:53 am
Forum: General Forum
Topic: Pricing Options on Fixed Income ETFs
Replies: 13
Views: 1826

Re: Pricing Options on Fixed Income ETFs

I'll chime in with a comment and a question. First of all from a modeling perspective, I agree with martinghoul, whether it's a european or american option, there isn't anything special about it. From the moment on you pick a process for the underlying, a bond ETF in the case at hand, and a payoff, ...
by mtsm
May 24th, 2017, 12:19 am
Forum: Trading Forum
Topic: How to trade open price in practice as in my backtest?
Replies: 10
Views: 1228

Re: How to trade open price in practice as in my backtest?

There is nothing wrong with the basic idea you describe. Lots of institutional players do this kind of stuff. However the way you think about it is probably a bit amateurish. We already said that you cannot realistically think about the opening market the way you do. Not possible. Also, you need to ...
by mtsm
May 23rd, 2017, 2:16 am
Forum: Trading Forum
Topic: How to trade open price in practice as in my backtest?
Replies: 10
Views: 1228

Re: How to trade open price in practice as in my backtest?

Thank you. But which price should I use in back test? Should I use the first 5 minute price averaged by volume? Yes something like this is commonly done, but more likely with a much much larger time interval. What I was saying is that if your strategy/backtest relies explicitly on open, it is of du...
by mtsm
May 22nd, 2017, 4:35 am
Forum: Trading Forum
Topic: How to trade open price in practice as in my backtest?
Replies: 10
Views: 1228

Re: How to trade open price in practice as in my backtest?

You can't and your back test should not do that either, it's bogus. You need to be more conservative. 
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