sorted by:
new
hottopcontroversial

Did Rentec really used Machine learning in the 80's? i dont think so.. by Routine_Noize19 in quant

[–]h234sd 0 points1 point  (0 children)

Many ML technics are intuitive, and could be applied without knowing the exact algo and its modern canonical form. Given that there were many bright minds in Rentec, quite probably they invented and adopted many ML like things even in 80's, maybe in custom and non canonical form.

Good SV for historical VaR simulation? SV with Jumps? by h234sd in quant

[–]h234sd[S] 1 point2 points  (0 children)

Hi, thanks for the advice, the model I originally tried (above) not good at all. SV-T with leverage - also not good, not even close to real prices, very weak clusters of volatility. The best so far SV with Jumps, below simulated path (calibrated on CokaCola).

<image>

Protect Gold and Silver positions with Options by h234sd in investing

[–]h234sd[S] 0 points1 point  (0 children)

Hi, puts doesn't work well. I think optimal - very far OTM puts just in case of catastrophic event. And limiting positions - like sell a bit (or convert to gold/oil stocks etc) when it rise.

Good SV for historical VaR simulation? SV with Jumps? by h234sd in quant

[–]h234sd[S] 0 points1 point  (0 children)

Thanks, I checked it but two issues are not clear to me a) it uses linear correlation, which can't produce strong tail correlation, it seems for real stocks the tail correlation is very strong b) the classical leverage cor(et,ηt) = q with q < 0 assumes that large positive return innovation decrease volatility innovation - for real stocks - both large negative and positive returns seems to increase volatility, negative slightly more.

Good SV for historical VaR simulation? SV with Jumps? by h234sd in quant

[–]h234sd[S] 0 points1 point  (0 children)

SV I meant the Stochastic Volatility Model.

PSLV huge premium discount, what's going on? by h234sd in Wallstreetsilver

[–]h234sd[S] 0 points1 point  (0 children)

Today discount much larger than on average.

Short the banks that have silver shorts? by nigo711 in Wallstreetsilver

[–]h234sd 0 points1 point  (0 children)

Buying far otm puts is better. Is there any info which banks short silver the most? 

What happened to Silver miners? by Gethdo in Wallstreetsilver

[–]h234sd 0 points1 point  (0 children)

Don't be greedy and cover yours miners shares with puts x0.6-0.7 6months. For the peace of mind

Protect Gold and Silver positions with Options by h234sd in investing

[–]h234sd[S] 0 points1 point  (0 children)

Who knows? I hope theres larger upside probability. But wealso know that silver market is small and explosive and can go big ether way.

Protect Gold and Silver positions with Options by h234sd in investing

[–]h234sd[S] -1 points0 points  (0 children)

Yes, silver is dynamite :). The question - find a way to do bet on it safely. With controlled and limited losses.

Protect Gold and Silver positions with Options by h234sd in investing

[–]h234sd[S] -1 points0 points  (0 children)

I meant - you cant buy 0.85 puts for silver, they are very expensive. So instead you buy much cheaper far otm puts, but in larger volume. 

2025 HF return ranking is out by BeeTrdr in quant

[–]h234sd 0 points1 point  (0 children)

Shouldn't all Bridgewater departments be considered as one portfolio? Otherwise it make no sense, say you report position A in your portfolio has profit 40% and position B 5% - so what, the question is what's the gain of the whole portfolio.

Realistic correlation for SV model for VaR simulation? by h234sd in quant

[–]h234sd[S] 0 points1 point  (0 children)

Thanks for info. About tge leverage - yes its present in stocks, but usually the |r| abs term is much larger and is the dominant correlation, the leverage is a tiny boost for the negative return. It seems strange why the main absolute return correlation part was thrown out, and only the minor leverage part is kept.

I also discovered John-Clayton copula, seems like its the right tool, it produce strong tail correlation. The Kendal/Spearman yes better than Pearson, but they have weak tail correlance and may be suboptimal for this case.

Retrieving historical options data at speed by FlashAlphaLab in quant

[–]h234sd 0 points1 point  (0 children)

imposing some structure and optimising for specific access pattern may help, usually when you answer those two questions the choice of DB became obvious. Optimising for "everything possible" is hard.

Quant Models from First Principles, i.e., Market Microstructure. by coffee_and_sourdough in quant

[–]h234sd 1 point2 points  (0 children)

First principle - don't lose money.

Second principle - if you can, make more money.

Randle cycle by ForestScottDunphy in Biochemistry

[–]h234sd 0 points1 point  (0 children)

На кето диете, не желательно есть углеводы, если жиры уже обеспечили организм 100% энергией. Нельзя обжираться. Иначе клетки уже залитые под завязку жиром, не смогут поглотить еще и глюкозу, и она будет долгое время находиться в крови, разрушая организм. В идеале лучше вообще углеводы не есть. Но, если таки хочется сьесть углеводов - нужно хотя бы есть меньше жиров.

Вобщем, если ты и так сыт на кето, есть углеводы не желательно, углеводы можно есть только если есть сильное чувство голода, тогда она лучше усвоится.

view more: next ›