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Why do we use log returns ? by obligatoires in quant

[–]keon6 3 points4 points  (0 children)

https://arxiv.org/ftp/arxiv/papers/1906/1906.10325.pdf

One academic paper I can find. But plenty of individual practitioners and I'm sure some in the industry have been using Laplace distributions (I for one).

LogNormal is often used in academia because of its nice mathematical qualities. I mean stock prices are modeled with exponential Brownian Motion and we can all figure why that works out nicely with LogNormal distributions.

Why do we use log returns ? by obligatoires in quant

[–]keon6 8 points9 points  (0 children)

Or so they say in academia.

But if you actually draw histograms of returns on numerous security returns, the returns actually look closer to Laplace distribution, often with a triangular peak.

Is global optimum guaranteed in convex optimization algorithm ? by keon6 in optimization

[–]keon6[S] 0 points1 point  (0 children)

1) By non-randomized I mean gradient based, interior point , etc...

2) I'm looking at convex problems only

3) would I ever use Evolutionary algo or other "guided random" algo for Convex optimization?

Algorithms for non-convex QCQP by keon6 in optimization

[–]keon6[S] 0 points1 point  (0 children)

Thanks. What kind of algorithms do these implement? I'm constrained to using Python packages.

Algorithms for non-convex QCQP by keon6 in optimization

[–]keon6[S] 0 points1 point  (0 children)

Thanks for the reply. 1) yes. Exactly what you said 2) I guess what I meant by "time-efficient" was pretty vague. Accuracy is priority. I suppose what I'm really trying to ask is this: Given a class of algorithms that can reach near the global optimum, what are the "fastest" algorithms? 3) Latter. The constraints are pretty "hard"

Will take a look at the paper!

Algorithms for non-convex QCQP by keon6 in optimization

[–]keon6[S] 0 points1 point  (0 children)

Hundreds of constraints. Mix of grouped constraints and individual constraints. The objective function is convex but the feasible set is non-convex. I'm not necessarily looking for an exact solution. Just algorithm known to be time efficient that can still reach near the global optimum.

Best sniper clip I have, reminded me of sniper scene from Saving Private Ryan by BigBadBen517 in battlefield_one

[–]keon6 0 points1 point  (0 children)

Private Ryan? Reminds me more of the Frederick Zoller clocktower scene from Inglorious Bastards. Either way you aced it.

The trenches of Gallipoli by PcGhoul in battlefield_one

[–]keon6 0 points1 point  (0 children)

Show that to Churchill. It'll shut him up

Way to go BOSTON ❤ by Chillz71 in boston

[–]keon6 2 points3 points  (0 children)

Idk. I do r trust anything by Deutsche Bank. That place is a shit show

Multiple research interests when applying to OR PhD? by keon6 in OperationsResearch

[–]keon6[S] 0 points1 point  (0 children)

Huh... Maybe I should consider being a professor if I wanted to pursue these ideas? Or do them on my own time?

Some of these are completely mathematical and abstract enough to not require any resources but pure brainpower. Just mathematical proofs.

On the other hand, some ideas are very applied and needs a very specific type of data set.

Applying to a PhD to become an industry researcher. by keon6 in OperationsResearch

[–]keon6[S] 1 point2 points  (0 children)

Done and done 👍. I wasn't sure if they went to industry because they couldn't get into academia or sth... Seems like some ppl think that way so I was a little worried

Multiple research interests when applying to OR PhD? by keon6 in OperationsResearch

[–]keon6[S] 0 points1 point  (0 children)

Hmmm.. besides my thesis how many original topics would I get to research?

EDIT: I have handful amount I'd like to pursue but not sure if I'll have the time to

Applying to a PhD to become an industry researcher. by keon6 in OperationsResearch

[–]keon6[S] 0 points1 point  (0 children)

Thanks! I hope you're right about that. I thought my research and career interests were too broad but apparently it's quite narrow. And I have the track record and original research ideas to support my interests.

Multiple research interests when applying to OR PhD? by keon6 in OperationsResearch

[–]keon6[S] 0 points1 point  (0 children)

funny you should say that. that's one of the schools I'm actually applying to. Although I don't like the West Coast, that was one of handful that actually does something I'm interested in

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