Following Stochastic matrix - Wikipedia Stochastic/transition matrix of the Markov process is (where the consecutive columns and rows are states start, 1H, HH): P = ( 0.5 0.5 0; 0.5 0 0.5; 0 0 1) Transient matrix is T = (0.5 0.5; 0.5 0) From Markov chain theory, the fundamental matrix N = (Id - T)...
When there’s love and passion, the household cleans itself! Loosely related, just seen the movie Argylle. Fantastic! Almost as good as Kingsman. Again made me miss London and the English fashion. Cena (the all time wrestling champion) stars in it! How come it gets bad reviews while such crap as Bar...
I’m not a trader but I’m guessing L1 means the same as in my models - a one day lag. So what I’m basically saying, assuming I understood your question, is that it’s a common knowledge and sense that the price on a given day is similar to previous day’s adjusted close price. You’ve essentially shown ...
I signed up to the gym together with my favourite personal trainer. I even touched a few of those big metal machines trying to impress him. To my astonishment I easily lift the total load available on what I call "butt machines". No idea how my small frame can achieve it. Anyway I searched...
Concise but precise :-) I think it's the RN *pricing* (taking into account only the value of money - vide "very short term interest rate" - no risk premium) that leads to 0 drift. Not the assumption you highlighted. But better wait for the finance gurus like bearish to give you the right a...
Apropos AI capabilities, I was building a simple anomaly detection model for photos, aiming at a minimal data preparation. So I just tossed all the photos into an autoencoder and selected outliers based on the decoder error. It works quite well, except for one set of photos - from the loo (washbasin...
Re the original question, it's good to have a "high level" picture, which is supplied by this gem: A Guide to Econometrics -- Kennedy From the 4th edition: From_4th_edition20pct.jpg I actually wanted to become an econometrician and even studied a year at an economic uni in Poland, but nat...
Meh. You definitely need to know something well, and preferably something relevant. It doesn’t have to be time series statistics, nor numerical analysis; it could be the theory and practice of term structure modeling or how to hedge equity derivatives in a rough Heston model. For a little bit of ex...
Flattering myself too much, I probably thought in the direction of Grever solution (rounding the corners): The moving sofa problem — Dan Romik's home page (ucdavis.edu), but indeed I was wrong it allows for any extra convexity added at the backseat, it seems.
A girl I knew from helping homeless animals dead too. Not mentioning the name. Nobody seems to care. They'll wake up to the WW3 just as damfool as in 1939.