Search results

How can you have a "simpler" singular value decomposition 'like' technique? It's just a matrix decomposition...

You do realize that Martinghoul and I posted the exact same link, right?

<a href="http://lmgtfy.com/?q=calculation+of+the+vix">Here you go</a> First result.

No direct experience (no ps3 to play on), but from what I have read, most parallel algorithms drop down easily from a conceptual point of view, but not so from an implementation point of view. To get the true power from the CELL CPU, you need to get your hands dirty with issues like...

From my experience, Dynamic Mixture Models are typically used for some sort of unsupervised learning task. They are all fine and good, but you need some fundamental understanding of your problem domain so you can pick the best distributions to fit your problem (i.e. your mixture density)...

My point was more that there are two sides to any coin, and two sides to any argument. I was playing devil's advocate. You can come up with all sorts of evidence for both sides of the market. What you choose to believe is up to you. My point is only this: you will only know if you are...

Not all gains are monetary. I ported my monte-carlo simulations, without pretty basic knowledge, and got the new system to run in about 7% of the time of the old one. I am planning on moving my genetic algorithms over as well. I would also like to see if I can speed up my pairs analysis by...

On the other hand, we also went down from peak to trough about twice as fast as the 2000-2003 movement ... and a greater distance.

Its application to trading is fairly obvious, especially on the quantitative side. Performing matrix transformations, numerical integration, et cetera on thousands of securities can be done in parallel instead of in sequence. Let's say I am doing a monte-carlo pricing of some options...

Given that NVIDIA just announced Fermi, I don't think that NVIDIA is stopping their chipsets. Anyway, for those getting into CUDA, check out the Thrust project. It wraps CUDA with an STL like wrapper for C++-esque programming. Much easier to wrap your head around at first. I am hoping...

Updated. Thanks! TREE looks very interesting!

Meh, it does allow for <a href="http://www.atrevido.net/blog/2008/08/31/Statically+Typed+Duck+Typing+In+F.aspx">duck typing</a>, which allows you to get around some of the pains associated with strong statically typed languages...

Thanks. Page updated.

The best thing I did was to begin to classify indicators into types (trend following, reversion), time-frame (based on parameters), and what 'derivative' they are trying to capture. Moving averages may plot 'position', while MACD plots the velocity. Another derivative of the MACD may plot...

For someone who has studied the economy 'heavily', shouldn't you know that an increase in the money supply is <a href="http://en.wikipedia.org/wiki/Inflation_tax">effectively a tax</a>?

You are right, but the point still remains: it is a small enough risk, and the derivatives being traded are understood well enough, that the assumption of zero counter-party risk in their pricing isn't totally unreasonable. It is in OTC markets.

Which is a fine explanation for plain vanilla options, swaps, and futures that are traded at the exchange and therefore have no real counter-party default risk (all the players pay insurance to the central broker to cover counter-party defaults). With OTC, counter-party default is a big risk...

I agree with lolatency ... I have found Scala to be a nice middle ground between something like SML (or OCaml) and Ruby. Yes, it inherits heavily from Java, but really only the good stuff. I moved from C++ to Ruby because Ruby allowed me to prototype very, very quickly. Unfortunately, it...

A good point -- but it is still an incredible discount. Comparing small linux instances, it is about $870 versus $490 per year, and that is if you renew yearly. Even cheaper if you run it out three years ($2600 vs $1100). My point being, $1100 ain't a bad deal, especially since you don't have...

a) The part of the site they are talking about is for dealers anyway b) Anytime someone is talking about technology and says "malware systems and tracking cookies," you should probably discredit anything they've said and say in the future.