Recent content by alfredo

  1. ARIMA model to forecast a stock price

    see this link if it could help. Photo : arima1.JPG You can use also, Akaike information criterion and choose the arima(p,I,q) that minimize the AIC
  2. R: anderson-darling test

    thank you so much, google is good in deed, but search is an art in it self =D>
  3. R: anderson-darling test

    hi Doug reich i searched in google but all that i found was gof for normality, or to test the gof of a theorical distribution with an emperical distribution. Unfortunatly nothing about hypebolic distribution. thanks
  4. R: anderson-darling test

    Hello is there any function (or package) in R that performs the anderson-darling test (goodness of fit test) between two vectors data if they have the same distribution. thanks
  5. autocorrelation vs correlation

    hello peter big yes! that's what i mean. I'm interessted in the influence of autocorrelation (A) and /or (B) on correlation(A, B) or more generally dependency between A and B? the fact to think in frensh and then translate to english doesn't make things easy to explain lol merci
  6. autocorrelation vs correlation

    hi shlomi what i mean is , the impact of autocorelation in asset returns (the correlation of an asset return with itself or lagged serie) on the the cross-serial correlation of returns (i.e. the correlation between different asset returns). higher autocorrelation for an asset return means...
  7. autocorrelation vs correlation

    Hi everyone is there any paper on the impact of serial autocorrelation on the dependance or cross correlation? Intuitively, does higher autocorrelation in assets , this will make dependance higher between them? thanks
  8. How to make the marginals of a copula function in s-plus or R?

    There is two methods, the cml one in which you use the empirical distribution to find the parameters of the copula, or the IFM method where you find the distribution that fit best the data then you estimate the parametrers of the copula by maximum likelihood ltake a look at the copula package...
  9. Choose R or SAS

    Iit tooks me one week to learn the most basics of R, cause i learned matlab before. The advantage of R is that there is a huge community of staticien behind it. wich means that a lot of researcher when writing a paper they made their codes availibale for R. Then you have the last programmes...
  10. Archimedean copula

    Hi everyone, I'm traying to estimate families of multivariate Archimedean copulas (Clayton, Gumbel and Frank) from historical data. The first problem arise while estimating the kendall's tau or spearman's rho from the data needed for the simulation of the copula. I've read many papers on the...
  11. Accuracy of Monte-Carlo Simulation for Option Pricing

    results cal = 114.5269 calbs = 91.8954 :-k
  12. Accuracy of Monte-Carlo Simulation for Option Pricing

    Sorry i'm a beginner in Vba, here is a matlab code, i think it could help you find the mistake S0=100; K=100; r=0.06; sig=0.2; T=5; div=0; dt = 1/252; nudt = (r - div - 0.5 * sig ^ 2) * dt; sigsdt = sig * sqrt(dt) sim=10000; Si=zeros(1,sim); drifts=255*T for i=1:sim S=S0; for...
  13. Looking for derivatives book

    for beginner <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=047009382X&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe> For advanced...
  14. Master reading list for Quants, MFE (Financial Engineering) students

    There's two interesting books for risk management and VaR <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470013036&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0"...
  15. Excel: extract the values that meet a criteria

    VLOOKUP formula =VLOOKUP(B15,D2:Q12,2,FALSE) where B15 is a date maybe i should try vba :smt111 this could help thank you so much
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