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by deskquant
November 28th, 2010, 5:53 pm
Forum: Trading Forum
Topic: parameter fitting problem - please help!
Replies: 12
Views: 23301

parameter fitting problem - please help!

interesting, thanks for the paper Alan.thanks a lot guys, I think this kills it. I will post once I get through all of it.
by deskquant
November 28th, 2010, 5:10 pm
Forum: Trading Forum
Topic: parameter fitting problem - please help!
Replies: 12
Views: 23301

parameter fitting problem - please help!

<t>Oh, its just that I am not sure if just setting the first derivative to zero wrt the parameters kappa, theta, sigma1, for lets say the MLE estimation for the OU process is enough. How can we be sure that it indeed is the global maxima that we are looking for.Also if the above works, we can basica...
by deskquant
November 28th, 2010, 2:37 am
Forum: Trading Forum
Topic: parameter fitting problem - please help!
Replies: 12
Views: 23301

parameter fitting problem - please help!

ok another question Alan, I was reading more abt the OU fitting, seems people seem to use the MLE. I did not quite understand that coz the form of the function is definitely not convex.
by deskquant
November 28th, 2010, 2:05 am
Forum: Trading Forum
Topic: parameter fitting problem - please help!
Replies: 12
Views: 23301

parameter fitting problem - please help!

gotcha!, thanks Alan, will ask once I complete more steps.
by deskquant
November 27th, 2010, 6:28 pm
Forum: Trading Forum
Topic: parameter fitting problem - please help!
Replies: 12
Views: 23301

parameter fitting problem - please help!

<t>Thanks a lot for the note Alan, so in nutshell basically we can regress both the equations to estimate the parameters. For the alpha equation also we can do a linear regression. Presumably alpha is the expected value or the mean of all the deltaY's i.e E(Yt-Yt-1)Also for sig1, u mean estimation f...
by deskquant
November 26th, 2010, 8:45 pm
Forum: Trading Forum
Topic: parameter fitting problem - please help!
Replies: 12
Views: 23301

parameter fitting problem - please help!

<t>Hi All,Did not really get any response on the student forum, so posting here.I am trying to fit the following model I have time series for X and Y, the two epsilons are correlated brownians, with some correlation rho.Please help, I am thinking MLE but the form of the equations would make the para...
by deskquant
November 25th, 2010, 7:29 pm
Forum: Student Forum
Topic: parameter fitting question.
Replies: 0
Views: 21461

parameter fitting question.

<t>Hi All,I am trying to fit the following model I have time series for X and Y, the two epsilons are correlated brownians, with some correlation rho.Please help, I am thinking MLE but the form of the equations would make the parameter estimation non convex. Parameters to be estimatedtheta, kappa, s...
by deskquant
November 21st, 2010, 5:13 pm
Forum: Trading Forum
Topic: commodity structural models
Replies: 3
Views: 24817

commodity structural models

by deskquant
November 21st, 2010, 1:53 pm
Forum: Trading Forum
Topic: commodity structural models
Replies: 3
Views: 24817

commodity structural models

by deskquant
October 29th, 2010, 12:05 am
Forum: Trading Forum
Topic: crude oil term structure modeling.
Replies: 9
Views: 29506

crude oil term structure modeling.

<t>Hi, I am interested in getting to know some commonly used term structure models used in the industry. In general I found two parallel approaches, work by Schwartz et al that focuses on stochastic modeling of the relevant factors, and some papers on PCA modeling. Did not fnd something that tries t...
by deskquant
October 24th, 2010, 10:09 pm
Forum: Student Forum
Topic: optimization problem-need help.
Replies: 11
Views: 22919

optimization problem-need help.

Hmm gotcha, thanks again for your help Alan. It feels great to be in a position to discuss things with stalwarts like yourselves
by deskquant
October 24th, 2010, 9:54 pm
Forum: Student Forum
Topic: optimization problem-need help.
Replies: 11
Views: 22919

optimization problem-need help.

Oh I hear you, I guess you did say that it has atleast one zero eigen value. Ok. I guess we're good if all eigen values are strictly positive, >0.Is there a way to generalize the solution characteristics depending on M?
by deskquant
October 24th, 2010, 9:52 pm
Forum: Student Forum
Topic: optimization problem-need help.
Replies: 11
Views: 22919

optimization problem-need help.

Sorry I guess I did not quite follow that. I just thought that for any psd matrix Mz'Mz >=0for any vector z
by deskquant
October 24th, 2010, 9:44 pm
Forum: Student Forum
Topic: optimization problem-need help.
Replies: 11
Views: 22919

optimization problem-need help.

Thanks for the note again Alan. Isn't it the case that if M is positive sd, then we are in a good shape, coz then the problem is strictly convex.
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