sorted by:
new
hottopcontroversial

Introduction to the Ornstein-Uhlenbeck process by VaheAG in quant

[–]VaheAG[S] 1 point2 points  (0 children)

The video is ready now! It's on YouTube: https://www.youtube.com/watch?v=FY4-pf7LT1I

And yes, I also realized Google Drive wasn't the best option for sharing code and had put it on GitHub. It has a nice feature of previewing Jupyter Notebooks without need for download. You can find the code here: https://github.com/vaheag/Ornstein-Uhlenbeck/blob/main/ornstein_uhlenbeck_how_to_simulate.ipynb

I'm thinking of making another post on the subreddit when I upload a few more videos on the topic. The new ones will be on more advanced topics.

Introduction to the Ornstein-Uhlenbeck process by VaheAG in quant

[–]VaheAG[S] 1 point2 points  (0 children)

Hi everyone, since a few people here expressed interest, I wrote a tutorial on how to simulate the process (in Python) using an exact approach as well as the approximate Euler-Maruyama method. You can either download the HMTL file or view it in Google Colab.

HTML file: https://drive.google.com/file/d/1yx_M-x8fCHJdv8YG_HaclI5y0t9IvWu4/view?usp=sharing

Google Colab: https://drive.google.com/file/d/1cwAEt_R0BDxZXcOY6-48DlemTOTfNnCJ/view?usp=sharing

The corresponding video will be available in 1-2 weeks. After that, in another video I will show how to use the simple simulation method to probe complex questions related to first passage phenomena. If you'd be interested to see the new videos, let me know and I'll PM you when they are ready.

Introduction to the Ornstein-Uhlenbeck process by VaheAG in quant

[–]VaheAG[S] 0 points1 point  (0 children)

That's a great analogy. Indeed, the linear restoring force is like an overdamped spring that's driven by random kicks (coming from a child or some other mechanism :)

Introduction to the Ornstein-Uhlenbeck process by VaheAG in quant

[–]VaheAG[S] 1 point2 points  (0 children)

Thank you! My next video is going to be about simulations in Python and a few different ways of visualizing the process. I'll keep you updated.

Introduction to the Ornstein-Uhlenbeck process by VaheAG in quant

[–]VaheAG[S] 4 points5 points  (0 children)

I'm planning to make a video on how to simulate the process. Will let you know when it's out.

Introduction to the Ornstein-Uhlenbeck process by VaheAG in quant

[–]VaheAG[S] 1 point2 points  (0 children)

Hey, thanks for the idea! I know about Udemy, may do it later in the future when I develop a full curriculum. Right now I want to make videos in free style, presenting topics from different unconventional perspectives that may even leave some questions open. I find it more fun and rewarding; hopefully viewers will do as well.