I got my Master in Financial Engineering. And in my opinion this content is of high quality and rare. Thank you for sharing such valuable knowledge on KZbin.
@deadduck8307 Жыл бұрын
my PhD is in stochastic processes, and yes, he does good work.
@Tyokok3 ай бұрын
All respect and appreciation!!!
@nolann23822 жыл бұрын
Although I'm not a quant, I watch your videos for fun. I'm a math student right now, but I hope to become a quant one day.
@Notwhoyouthink_232 жыл бұрын
This channel is precious. Thank you very much
@powerfuel297 Жыл бұрын
I implement the RFSV model last year, it also uses a similar OU process in there
@amitpashine1189 Жыл бұрын
really outstanding content. keep it up!
@ArunGupta-du2de9 ай бұрын
Excellent Tutorial! Had two conceptual questions: 1) Do you happen to know why the OU process the natural choice to incorporate volatility clustering (what is the connection between mean reversion in OU and the volatility autocorrelation found by Mandelbrot)? Would a simple AR(1) process for volatility work too? 2) Do I understand it right that OU addresses only the volatility clustering property, but not the heavy tails and excess volatility pptys of stock returns? Thanks for any feedback!
@malcolmharris73635 ай бұрын
Can I ask a serious question? How often are you actually correct with this model? Meaning, how close does the model actually come to accurately measuring realized volatility?
@marwinsteiner5817Ай бұрын
How could you simulate historical implied volatility?
@Alexander-pk1tu Жыл бұрын
Very cool video and project. I tried to replicate the notebook myself from your site. I am working on a project where I want to find SV under P so its what I am looking for. But shouldn't you use Cox-Ross Model for Volatility? I would like to see a follow-up video on this topic! On calculating these parameters on historical data
@ps32652 жыл бұрын
Thanks for the video!
@timmolendijkАй бұрын
Re #2:50: assuming that by `delta S_t` is meant `S_t+delta - S_t`, the given formula doesn't make sense to me: From `X_t = ln(S_t)` follows `r_t = ln(S_t+delta) - ln(S_t) = ln(S_t + (S_t+delta - S_t))` which cannot be right(??) E.g. With prices S_t=20 and S_t+delta=21, this would entail: `r_t = ln(21) - ln(20) = ln(20 + (21-20)) = ln(21)` 🤨🤨🤨 And then the code expresses something different entirely: `r_t = ln(S_t+delta / S_t)` which actually makes sense to me. What's up with that `ln(S_t + delta S_t)` in the formula though?!?
@bastig.94155 күн бұрын
Great explanation! Do you have any further textbook recommendations where these concepts are presented?
@gokhanozbay43492 жыл бұрын
İt's awesome lecture. Thanks a lot dude 👍
@QuantPy2 жыл бұрын
Cheers, feel free to suggest ideas for future videos anytime
@ar-47752 жыл бұрын
Why do we square the log returns instead of getting the absolute value?
@DashboardTrader5 ай бұрын
I had this same question. I think square of log returns refers to variance of log returns (ie it is a measure of volatility).
@jonathanbaxter5821 Жыл бұрын
If kappa is significantly different from zero then your daily log returns should be correlated.
@omegaplumbingАй бұрын
Past performance....you know the rest 😂
@KrishnenduSKar2 жыл бұрын
Thank you so much for the detailed explanations. Been trying to connect the worlds of Stochastic Process & Computer Science for quite some time. Contributions like these help people like us break barriers which seemed almost impossible (until now). Thanks again and keep up the great work !! Respect !! Go Feynman !! ✌🏽👍🏽🙏🏽
@Anyone.c2 жыл бұрын
I love your videos dude!!! You put in so much work and effort in them! thank you for this. Can you suggest any readings for deciding a stocks weight in a portfolio(maybe include this volatility aspect too). Thanks!
@kevinshao91483 ай бұрын
Hi, why you pick rolling days 40 for vol? why not calc vol from beginning? Thank you for advising!
@randomdude794042 жыл бұрын
Thanks for this video , in the past you created a video on statistical properties of the bars by the work of Marcoz Lopez De Prado (Advances In Financial Machine Learning) could you perhaps create a few more videos showing implementation of something like meta-labelling etc...
@michaelnovik2702 жыл бұрын
Pure gold. My respect.
@bluebull399 Жыл бұрын
This is super quant stuff. I'm a trader. Look, can you just put a flashing pop up on my screen that says "Buckle up, we're about to get volatile" Can a quant do that? They must be able to if a human brain can do it, right?
@alejandrovillalobos16782 жыл бұрын
that little bit of correlation is there because outliers
@alessandrolodi89512 жыл бұрын
This video is simply amazing
@Rndhld2 жыл бұрын
This is very good content! I am in the process of migrating from Excel to Python. How do you plot the text and algebra notation (at around 5 min. for instance) in your notebooks?
@lking8819 Жыл бұрын
He is using LaTEX typed into a markdown cell within Jupyter Notebook. Hope that helps!
@saremseitz57152 жыл бұрын
Really good - thank you!
@alejandrovillalobos16782 жыл бұрын
can you explain too me, please, why would you use OU proces to model variance, im not an expert, i just like math and coputer science, i'm been using, garch model to model and forecast variance
@daviddelvalle24585 ай бұрын
OU process is a mean-reverting process commonly used to model processes pulled back towards a central value (like interest rates or a dampened spring)
@2paccThug2 жыл бұрын
Can potentially use scoring algorithm to estimate MLE parameters. But great video.
@QuantPy2 жыл бұрын
Great suggestion, that would be an improvement. Next time I’ll use the fisher scoring algorithm if I’m doing MLE 👍
@larskuehn2157 Жыл бұрын
Dude, you pronounce all names totally wrong.
@QuantPy Жыл бұрын
Thanks, I also struggle in pronouncing peoples names as well - I prefer numbers
@harrystefans97972 жыл бұрын
Awesome Content dude! Love this channel a lot. Could you consider to make a video related to term structure models?