Tag Archives: calculations

Deutsche Bank Forex trading strategy questions for clarification on math symbols and calculations

Deutsche Bank Forex trading strategy questions for clarification on math symbols and calculations

This is a first of a series of questions to people out there

Most questions are to clarify what the symbols/variables/functions mean. This will more specific questions.

Pg 6 theory (2)

Is the the whole optimization set of calculations?
What does v represent? Closest I got lower case upsilon.
E is an estimation or an expected function?
P is probability function?

Pg 7 theory (3)

What does s represent?
Is the G represent the GIRSANOV algo function?

Pg  8 theory (4)

Is the F a Fourier transform ?
Is the L a Levy process?
Is the pi Greek symbol linked back to the posterior probability process found on pg 6?
Where does the omega Greek symbol during Brownian motion process?

Pg 9 theory(5)

What does the inf{… Is this a function or set?

Pg 13 from thesis to trading model (3)

Under figure 3, is the top chart an inverse switch lileliHood measure? If do how does one calculate this? on same chart, what do these stars represen? How does one calculate original to the new change point?

 

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Here is a CBOE video explaining alternatives to VIX for volatility calculations

Here is a CBOE video explaining alternatives to VIX for volatility calculations

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Who uses cloud computing for their R calculations?

Who uses cloud computing for their R calculations? I have been using R lately but my calculations take lots of time. Any suggestions?
—–
Before you do anything fancy, it might pay to look at your code for time-consuming spots. Circles 2, 3 and 4 of ‘The R Inferno’ might be of help in this regard. http://www.burns-stat.com/pages/Tutor/R_inferno.pdf
—-
You might look into Rhipe http://bit.ly/kQ2u3y. It does work (after you clean up the code for other inefficiencies).
—–
I agree with optimizing your code to run faster. However, if you still need more power, Microsoft offers their cloud service (Azure), which may help. Check it out here:
http://www.microsoft.com/windowsazure/hpc/
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The group “Scorecard Modeling” may interest you
http://www.linkedin.com/groups?gid=3928652
—–
You might try,
http://www.rparallel.org/
and
http://cran.r-project.org/web/views/HighPerformanceComputing.htm

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Who uses cloud computing for their R calculations? I have been using R lately but my calculations take lots of time. Any suggestions?

Who uses cloud computing for their R calculations? I have been using R lately but my calculations take lots of time. Any suggestions?

Before you do anything fancy, it might pay to look at your code for time-consuming spots. Circles 2, 3 and 4 of ‘The R Inferno’ might be of help in this regard.

–http://www.burns-stat.com/pages/Tutor/R_inferno.pdf
You might look into Rhipe http://bit.ly/kQ2u3y. It does work (after you clean up the code for other inefficiencies).
—-
I agree with optimizing your code to run faster. However, if you still need more power, Microsoft offers their cloud service (Azure), which may help. Check it out here:
http://www.microsoft.com/windowsazure/hpc/

Thanks for the suggestions! I will look into it.

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Would you 22GB Nvida Tesla GPU server for heavy Value at Risk VaR calculations?

From a Linked In group:

An Nvidia Tesla 2050, according to a web search, is about $2500, so $5000 for the GPUs. That leaves $5000 for a server to host them with that 22GB of RAM. That may indeed be low, but I haven’t priced a server in a while so I’m not sure. But it does seem a bit optimistic.

http://www.velocitymicro.com/wizard.php?sr=0&iid=187

it comes out at around $11K.

One use could be for VaR calculations, you don’t need it all the time just for the run

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