About the SYMMYS - Advanced Risk and Portfolio Management Group
Research sharing, modeling questions, papers, code pointers
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Most Popular Discussions
Colin
formal methods in quant software?
Does anyone know whether 'formal methods' are used in designing financial software - whether internal VaR models, algo trading routines, ...
Pentium FDIV bug en.wikipedia.org
From Wikipedia, the free encyclopedia The Pentium FDIV bug was a bug in the Intel P5 Pentium floating point unit (FPU). Certain floating point division operations performed with these processors produced incorrect results....
Charles
PCA for alpha generation
I am curious if anyone has had success applying principal component analysis in the context of alpha generation (and not in the context ...
Guang
what causes a correlation matrix not to be positive definite
This is a practical question.
I constructed a correlation matrix with 5-year time series of 600 market invariances, such as compounded ...
Attilio
Filtering signals for portfolio construction
When processing signals for portfolio construction people do a lot of exponentially weighted smoothing and z-scoring.
Exponentially ...
Robert G.
quantile function of a half-normal mixture distribution
If X is a standard normal N(0,1), then |X| is a half-normal. I want to calculate the p-th percentile of an equal weighted mixture of |X| ...
Winfried G.
Volatility weighting and volatility targeting improves Sharpe Ratio
There is increasing interest in risk-controlled investment strategies, such as volatility weighting and volatility targeting. However, ...
papers.ssrn.com papers.ssrn.com
Guang
projection of non invariants
As far as I have read on the Prayer or the book Risk and Asset Allocation, the projection of distribution to the horizon is based on ...
