Recent Questions  Quantitative Finance Stack Exchange
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[...] Does anyone know any events where using logistic regression to estimate probability of default has led to a bank, financial institution, government or [...]
[...] One way of estimating PDs is logistic regression. It seems to me from what I've read online that it is due to being easy to implement. Has [...]
[...] if we are supposed or under what conditions we are allowed to to use probability implied by logistic regression, by some other implied thing or by historical data? [...]
[...] There are scores of posts on obtaining historical data for many of the big exchanges, but for some reason there is a gap in sourcing historical data [...]
[...] I am trying to gather historical data for experimental reasons (intellectual curiosity) and am having trouble understanding how [...]
[...] fairly limited abilities as I'm just starting. I've already coded my algorithm using historical data downloaded from yahoo but I was hoping to expand on it and use it with some sort of [...]
[...] far wavelets are not necessarily considered useful for forecasting, but can have value where historical data is concerned. Any additional insight would be much appreciated. [...]
[...] , argmin w'Sw subject to w'I = 1 which represents weights sum up to 1 and S is the estimated covariance matrix. In this framework, portfolio weights are constrained by lower and upper bounds such as: [...]
[...] Suppose I have a stock selection universe of 100 stocks. I have estimated the covariance matrix of this 100 stocks. I would like to create an evenly weighted basket of 5 stocks which has [...]
[...] , argmin w'Sw subject to w'I = 1 which represents weights sum up to 1 and S is the estimated covariance matrix. In this framework, portfolio weights are constrained by lower and upper bounds such as: [...]
[...] by the amount invested in each), and $\sigma^2=\phi'\Sigma\phi$ where $\Sigma$ is the covariance matrix of the $n$ risky assets. So, to find the expected utility of this function, I use the [...]
[...] Looking for recommendations on places to get market data for options. I'm looking at NYSE and NASDAQ only. My current solution is my broker, Tradeking. [...]
[...] My question is about forming market data which is received from the LPs. Some tools work with these parameters: min spread, max spread, [...]
Is there a way to calculate the price of a binary option (i.e., an option that pays out 1 dollar when the stock price hits $x$ amount) using market ca [...]
[...] : (Duh: Calculus I, II, III, Linear Algebra, Elementary Probability), ODE, PDE, Statistics, Time Series, More Time Series, More Statistics (oh my!), Discrete Mathematics, Numerical Analysis, Real [...]
At this moment, i need to do the analysis of rouble/us dollars exchange rate and the stock market index in Russia, I prefer to do that in a multivaria [...]
[...] future prices of timber (say one variable, the stumpage price of sawtimber). I tested the time series with Augmented DickeyFuller test and found the data series as nonstationary which means the [...]
[...] am thinking about investigating how important having a "good" optimizer is for portfolio optimization / asset allocation problems in the presence of, Multiple asset classes + multiple risk [...]
I am working through this paper, http://www.nber.org/papers/w8922.pdf I want to implement the portfolio weight constraints see page 67. Here is the [...]
I am working through this paper, http://www.nber.org/papers/w8922.pdf I want to implement the portfolio weight constraints see page 67. Here is the [...]
Spinoff from here. (Edit) Main question: What do I do about a parameter whose suggested values range quite vastly? (Edit) Backstory: I am given dat [...]
Spinoff from here. Richard referred to me an article that tells me how to get parameters of a translated gamma distribution to which I should consid [...]
[...] for the amount of losses and an (a,b,0) distribution for frequency of losses, how can I use Monte Carlo simulations to get a distribution for aggregate losses? The papers and books I see online seem [...]
[...] Does anyone know any events where using logistic regression to estimate probability of default has led to a bank, financial institution, government or [...]
[...] One way of estimating PDs is logistic regression. It seems to me from what I've read online that it is due to being easy to implement. Has [...]
[...] if we are supposed or under what conditions we are allowed to to use probability implied by logistic regression, by some other implied thing or by historical data? [...]
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