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by Amin
March 19th, 2024, 1:42 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, with all of this high dimensional hermite series analysis of random variables, we can do a large number of very interesting things that were previously done by people using AI in a half-baked way. For example if you want to predict stocks the next day you can use data from past four days an...
by Amin
March 18th, 2024, 8:21 am
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, I was taking it easy today and started to paly with some past problems again. I was thinking that finding a hermite representation of a random variable from its moments when data is not given still remains rather elusive and works sometimes while does not work at other times. And I was able...
by Amin
March 17th, 2024, 7:31 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, I have not done anything for past two days and I was rather trying to take a light break after the research effort of so many months and staying up all night on many days trying to play with the models and making sense of mathematics. Many times, it was just haphazard while at other times I...
by Amin
March 15th, 2024, 10:34 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, I have been complaining about gas in my room for many many years. Usually when I used to complain, the gas would decrease but would increase again  after a  week or so. But now scumbags of American defense have stopped caring about any ambience of goodness that they used to have. They const...
by Amin
March 15th, 2024, 12:05 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, here is the corrected version in the form of a new matlab program file. I have replaced correlated part Ycorr that was earlier being calculated by correlations and previously calculated coefficients by a full fledged calculation by an appropriate regression on previous Zorthos (Orthogonal Z...
by Amin
March 15th, 2024, 11:35 am
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, I have been able to fix the variance problem and with 100000 paths, I get standardized variances accurate to three or four digits after one. I also think that there has to be a constraint on order of dimensions and variables in dimensions that explain most of the variance across other varia...
by Amin
March 15th, 2024, 8:00 am
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, it may be a few days before I release the final version. I really want to investigate the reasons about volatility mismatches since I noticed that the problem can be quite severe at times. I am working on it and trying to correct the problem now.
by Amin
March 14th, 2024, 5:35 am
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, as I had complained earlier, past ten days have been very difficult. I have not been able to work consistently for a longer time. They had added some mind control drugs in the antipsychjotic injections and every time, I start work in the morning, I start dozing off for a long time however f...
by Amin
March 13th, 2024, 10:22 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, here is the next interim version of new programs. I will post a final commented version in a day or two. In order to see plots between different variables, you have to specify dimensions/(variable number) in RV1 and RV2 with RV1 smaller than RV2. . . . function []= SVMonteCarloAndAssetCondi...
by Amin
March 13th, 2024, 9:31 am
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, I have been working on the program and after adding monte carlo numerical density plots, I can verify a good match between monte carlo and analytic 2D  plots coming from multidimensional density. I will keep working for a day or two and then post the new program after that. I may post anoth...
by Amin
March 12th, 2024, 7:07 am
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Very slightly modified version of first program to see both orientations of the graph. It is the second orientation in the program below that matches with volatility asset graphs we had seen in the earlier work on 2D densities. function []= SVMonteCarloAndAssetConditionalDensityHermitesMultiDimensio...
by Amin
March 12th, 2024, 6:26 am
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, this is an interim version fixing an error in yesterday's program. Plot in Yesterday's program did not cover the entire domain of second variable and had a truncated domain. This is fixed in this interim version. Now I will just follow with a final properly worked out version in a day or so...
by Amin
March 11th, 2024, 4:29 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, here is initial informal version of the new matlab program. I will release a re-worked, improved and commented version in a day or two. It may have errors. I am a bit tired (due to reaction from the antipsychotic injection with mind control drugs in it)  and could not check everything caref...
by Amin
March 11th, 2024, 12:42 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, I have been able to  make the plotting algorithm work that can take two arbitrary indices from high dimensions and then use their multidimensional hermite series coefficients to draw a two dimensional plot of the joint density. I verified, on the example I had posted earlier, that there is ...
by Amin
March 10th, 2024, 8:01 am
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 2261
Views: 438414

Re: Breakthrough in the theory of stochastic differential equations and their simulation

Friends, I continue to have problems in graphing/plotting of two dimensional densities slices out of higher dimensional hermite series densities. It would be simpler if we needed to plot parts of two dimensional densities based on two Zorthos (two orthogonal underlying Z's). But that would be differ...