Serving the Quantitative Finance Community

Search found 10919 matches

by katastrofa
February 8th, 2024, 9:21 pm
Forum: Off Topic
Topic: Grammar Time!
Replies: 1844
Views: 286174

Re: Grammar Time!

by katastrofa
February 8th, 2024, 9:05 pm
Forum: Brainteaser Forum
Topic: two heads
Replies: 24
Views: 205312

Re: two heads

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)...
by katastrofa
February 7th, 2024, 11:06 pm
Forum: Brainteaser Forum
Topic: two heads
Replies: 24
Views: 205312

Re: two heads

Perhaps using the transition matrix would be the clearest way.
by katastrofa
February 5th, 2024, 9:54 pm
Forum: Off Topic
Topic: RIP thread
Replies: 441
Views: 113565

Re: RIP thread

RIP Nora the Piano Cat, 19
by katastrofa
February 5th, 2024, 4:33 pm
Forum: General Forum
Topic: Probability that initial value of a discretely-observed 1D Brownian motion is a minimum or a maximum
Replies: 5
Views: 606

Re: Probability that initial value of a discretely-observed 1D Brownian motion is a minimum or a maximum

Isn't it a product of CDFs for x1, x1+x2, ...?
Image
So there should be a factor 1/2^n and (1 + erf[sum of x's / sqrt(2)]. Erf is bounded from -1 to 1 and the sums of x's tend to 0.
by katastrofa
February 3rd, 2024, 12:40 am
Forum: Off Topic
Topic: norway
Replies: 911
Views: 180799

Re: norway

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...
by katastrofa
February 2nd, 2024, 4:48 pm
Forum: Student Forum
Topic: why we can't use linear regression to predict share prices?
Replies: 16
Views: 1099

Re: why we can't use linear regression to predict share prices?

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 ...
by katastrofa
February 1st, 2024, 10:33 pm
Forum: Off Topic
Topic: All about Cats
Replies: 1031
Views: 152867

Re: All about Cats

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...
by katastrofa
February 1st, 2024, 7:49 pm
Forum: Student Forum
Topic: why we can't use linear regression to predict share prices?
Replies: 16
Views: 1099

Re: why we can't use linear regression to predict share prices?

Do i understand correctly that you see that today's price is similar to yesterday's close price? No way! ;-)
by katastrofa
February 1st, 2024, 3:52 pm
Forum: Student Forum
Topic: Drift of futures prices, Risk Neutral word
Replies: 5
Views: 622

Re: Drift of futures prices, Risk Neutral word

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...
by katastrofa
January 30th, 2024, 11:07 pm
Forum: Brainteaser Forum
Topic: Moving sofa problem
Replies: 13
Views: 1591

Re: Moving sofa problem

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...
by katastrofa
January 30th, 2024, 9:53 pm
Forum: Student Forum
Topic: Do i need to know everything in time series to work in Quant?
Replies: 13
Views: 1629

Re: Do i need to know everything in time series to work in Quant?

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...
by katastrofa
January 29th, 2024, 3:26 pm
Forum: Student Forum
Topic: Do i need to know everything in time series to work in Quant?
Replies: 13
Views: 1629

Re: Do i need to know everything in time series to work in Quant?

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...
by katastrofa
January 29th, 2024, 9:18 am
Forum: Brainteaser Forum
Topic: Moving sofa problem
Replies: 13
Views: 1591

Re: Moving sofa problem

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.
by katastrofa
January 25th, 2024, 6:32 pm
Forum: Off Topic
Topic: Best martial art style
Replies: 215
Views: 43701

Re: Best martial art style

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.