Numerical Analysis

T

TSGannGalt

OK...

For newbies like me, this is what I mean:
http://en.wikipedia.org/wiki/Numerical_analysis

So let's talk about anything within it...

Optimization.
Inter(Extra)polation / Regression Analysis.
Nonlinear Programming.
Stochastic Programming.

Etc.
Etc.

Of course, considering this being a ATS forum, maybe it can extend to the utilizing them using AIs.

Oh... and I use both QuantLib and IMSL lib in my tester...

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Quote from TSGannGalt:

How about starting with this:

Someone teach me what an ARCH is...

Ple------ase!!!!!
More...

Autoregressive conditional heteroscedacity. It's sort of like AR models, but for variance.

ARMA models => residuals/error terms are weak stationary -- i.e., same mean and variance. ARCH model improves on this by allowing the variance to be conditioned on other variables.

ARCH/GARCH is useful for modeling the evolution of volatility (sigma). There's other applications, like widening stops, conditioning mean-scaling laws based on the volatility, etc.

Useful for options pricing too, since in Black-Scholes-Merton you are assuming a fixed volatility when you price the option at time t. So if you are going to make a bet on a call moving in a particular direction at a future time-step, you can forecast the volatility with a n-step ahead prediction operator based on an ARCH/GARCH model.

It seems as if we both have similar interests. We should discuss strategies and ideas. I could use some assistance going independent as it is. :-) Seems like you are already there.
 
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