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Paul
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Re: DL and PDEs

September 3rd, 2019, 7:02 pm

This could be a situation where less is more. I.e. keep quants and their models out of it. So don’t have a model that makes silly assumptions about what is stable.
 
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Cuchulainn
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Re: DL and PDEs

September 3rd, 2019, 8:01 pm

What will we replace them by?
"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

http://www.datasimfinancial.com
http://www.datasim.nl
 
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ISayMoo
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Re: DL and PDEs

September 4th, 2019, 11:08 pm

There are no models without assumptions!
 
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Paul
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Re: DL and PDEs

September 5th, 2019, 1:08 am

I think you’ve just assumed adjectives don’t matter!
 
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ISayMoo
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Re: DL and PDEs

September 5th, 2019, 7:16 am

What are the not silly assumptions about what is stable?
 
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Cuchulainn
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Re: DL and PDEs

September 5th, 2019, 10:32 am

I think you’ve just assumed adjectives don’t matter!
Even worse, adjectives are dangerous (remember? Brutus is an honest man).

They've a temper, some of them--particularly verbs: they're the proudest--adjectives you can do anything with, but not verbs--however I can manage the whole lot of them!

Adjectives should be banned. For example you don't hear people saying Fantastic France or Brilliant Germany. Or analytical solution of American options, fast calibration etc. 
Last edited by Cuchulainn on September 5th, 2019, 11:02 am, edited 1 time in total.
"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

http://www.datasimfinancial.com
http://www.datasim.nl
 
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Cuchulainn
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Re: DL and PDEs

September 5th, 2019, 10:57 am

what is stable.
Many to choose from: [$]A[$], [$]A_0[$], [$] L[$], [$]A(\alpha)[$]
"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

http://www.datasimfinancial.com
http://www.datasim.nl
 
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Paul
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Re: DL and PDEs

September 5th, 2019, 2:14 pm

What are the not silly assumptions about what is stable?
Good question. Maybe there aren’t any.

The best finance assumption of the 20th century is that portfolios (stocks or option plus stock) have nicer properties than single instruments. Work with that but don’t go to the extremes of Markowitz and BSM.
 
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ISayMoo
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Re: DL and PDEs

September 5th, 2019, 7:39 pm

BSM < BDSM.
 
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Paul
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Re: DL and PDEs

September 5th, 2019, 8:27 pm

Derman? I am shocked!
 
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ISayMoo
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Re: DL and PDEs

September 5th, 2019, 8:51 pm

Close but no CIGAR!
 
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Cuchulainn
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Re: DL and PDEs

September 9th, 2019, 12:29 pm

Tensorflow quant library

https://github.com/google/tf-quant-finance

Any one used it?
"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

http://www.datasimfinancial.com
http://www.datasim.nl
 
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FaridMoussaoui
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Re: DL and PDEs

September 9th, 2019, 7:06 pm

It is in development (I would say in its enfancy) and expected to use Quantlib
 
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Cuchulainn
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Re: DL and PDEs

September 9th, 2019, 7:47 pm

enfant terrible?
Yet another ADI implementation. Google must have lots of resources.
Why not just stick to QL?
"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

http://www.datasimfinancial.com
http://www.datasim.nl
 
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ISayMoo
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Re: DL and PDEs

September 9th, 2019, 8:47 pm

Looks like someone's 20% project.

I prefer things like this: https://deepmind.com/blog/article/using-machine-learning-to-accelerate-ecological-research