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by katastrofa
March 12th, 2024, 8:21 pm
Forum: Student Forum
Topic: Delta Hedging P&L
Replies: 10
Views: 486

Re: Delta Hedging P&L

Looks really cool! I'm surprised the transaction costs didn't matter much. I'm wondering about dividends.

Hopefully some of the local finance volatility vandals will comment on your exercise ;-)
by katastrofa
March 12th, 2024, 4:05 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?

Bearish, you're ruining the reputation of charming and romantic Norwegian men. Or maybe it works with supermodels. How would I know? Luckily (or not), my only long legged competition are moose :-)
by katastrofa
March 11th, 2024, 9:46 pm
Forum: Off Topic
Topic: Stupid question of the day
Replies: 3181
Views: 400379

Re: Stupid question of the day

Image
by katastrofa
March 11th, 2024, 8:41 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?

And I'm sure there's some positive correlation (if not causation) between the success rate in the first and the second.
by katastrofa
March 11th, 2024, 8:39 pm
Forum: Student Forum
Topic: Delta Hedging P&L
Replies: 10
Views: 486

Re: Delta Hedging P&L

How do you handle the transaction costs (which are the higher the more frequent hedging, right?)? Secondly, isn't the volatility adjustment you use too simplistic? Disclaimer (before Bearish starts to laugh that I'm the fist to comment): all I know about trading i learnt "via osmosis" than...
by katastrofa
March 9th, 2024, 9:23 am
Forum: Off Topic
Topic: UK going to the dogs
Replies: 5150
Views: 584853

Re: UK going to the dogs

My Norwegian forest guardian cat!
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by katastrofa
March 7th, 2024, 9:07 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 499
Views: 140061

Re: Philosophy of Mathematics

"The essence of the present theory is that no probability, direct, prior, or posterior, is simply a frequency". Kolmogorov's measure theory applied to probability calculus is just a veil covering a much deeper problem. You folk de Finetti and Keynes wrestled with it.
by katastrofa
March 7th, 2024, 7:16 pm
Forum: Off Topic
Topic: Stupid question of the day
Replies: 3181
Views: 400379

Re: Stupid question of the day

I mean the 522 strangers watching, not tags.
by katastrofa
March 7th, 2024, 7:14 pm
Forum: Off Topic
Topic: Stupid question of the day
Replies: 3181
Views: 400379

Re: Stupid question of the day

"There are 522 users online" and only me and tags registered.
Doesn't it feel a bit creepy?
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by katastrofa
March 7th, 2024, 11:28 am
Forum: Off Topic
Topic: UK going to the dogs
Replies: 5150
Views: 584853

Re: UK going to the dogs

Been to London last weekend. Just as wonderful as always, or more. We even got free local food to try from some kind folk at the pub because we are so luvly katts :)
by katastrofa
March 6th, 2024, 4:58 pm
Forum: General Forum
Topic: Philosophy of Mathematics
Replies: 499
Views: 140061

Re: Philosophy of Mathematics

I prefer to attribute it to Cybenko ;-P Don't we all live in the world of gospels/models? MLers would tell you that indeed the theory doesn't give any useful hints about the size of the network or the learning algorithm. But at least it deals with deterministic functions. It's not half as wrong as c...
by katastrofa
March 5th, 2024, 5:03 pm
Forum: Off Topic
Topic: guess a country
Replies: 177
Views: 24810

Re: guess a country

?
by katastrofa
March 5th, 2024, 2:47 pm
Forum: Technical Forum
Topic: If you are bored with Deep Networks
Replies: 574
Views: 135733

Re: If you are bored with Deep Networks

We can thank NYT for promoting AI back in 1959(?) praising Rosenblatt's (flawed) NN model. AI is a story of unfilled promises since that time, like Scylla and Charybdis. Somewhere, in some server room, that 5 ton IBM machine will still be churning out insurance quotes and being billed per query. :)...