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Trading using Garch Volatility Forecast

January 5, 2012
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Trading using Garch Volatility Forecast

Quantum Financier wrote an interesting article Regime Switching System Using Volatility Forecast. The article presents an elegant algorithm to switch between mean-reversion and trend-following strategies based on the market volatility. Two model are examined: one using the historical volatility and another using the Garch(1,1) Volatility Forecast. The mean-reversion strategy is modeled with RSI(2): Long when

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Example 7.17 in Introduction to Monte Carlo methods with R

January 4, 2012
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Example 7.17 in Introduction to Monte Carlo methods with R

I received the following email about Introducing Monte Carlo Methods with R a few days ago: Hallo Dr. Robert, I  am studying your fine book for myself. There´s a little problem in examples 7.17 and 8.1: in the R code a function “gu” is used and a reference given to ex. 5.17, but I cann´t

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2012, Turing year

January 3, 2012
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2012, Turing year

Buying the special issue of La Recherche on “La révolution des mathématiques”, I discovered that this is the Alan Turing Year in celebration of the 100th anniversary of Turing‘s birth. The math department at the University of Leeds has a webpage on all the events connected with this celebration. From all over the World. (There

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Introduction to Conditional Random Fields

January 2, 2012
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Introduction to Conditional Random Fields

Imagine you have a sequence of snapshots from a day in Justin Bieber’s life, and you want to label each image with the activity it represents (eating, sleeping, driving, etc.). How can you do this? One way is to ignore the sequential nature of the snapshots, and build a per-image classifier. For example, given a month’s worth of...

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Uncertainty in markov chains: fun with snakes and ladders

December 31, 2011
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Uncertainty in markov chains: fun with snakes and ladders

I love board games. Over the holidays, I came across this interesting post over at Arthur Charpentier’s Freakonometrics blog about the classic game of snakes and ladders. The post is a nice little demonstration of how the game can be formulated completely as a Markov chain, and can be analysed simply using the mathematics of

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Over on F1DataJunkie, 2011 Season Review Doodles…

December 30, 2011
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Over on F1DataJunkie, 2011 Season Review Doodles…

Things have been a little quiet, post wise here, of late, in part because of the holiday season… but I have been posting notes on a couple of charts in progress over on the F1DataJunkie blog. Here are links to the posts in chronological order – they capture the evolution of the chart design(s) to

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Le Monde puzzle [#754]

December 25, 2011
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Le Monde puzzle [#754]

The pre-X’mas puzzle in Le Monde weekend edition is about “magical numbers” having as digits all digits between 0 and n (at least once) and being multiple of all digits between 1 and (n+1). Easy, isn’t it?! I thought so while driving down to the Alps on Saturday and (on Monday early morning) I tried

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Happy Holidays and Best Wishes for 2012

December 22, 2011
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Happy Holidays and Best Wishes for 2012

This is just a quick note to wish you and your family a very healthy and happy holidays and wonderful New Year! I hope you enjoyed reading my blog and thank you for your comments and emails. Here is a short R code that implements an interesting idea from the Charting the Santa Claus Rally

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Quel lancer de dé faire à Serpents et Échelles ?

December 21, 2011
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Quel lancer de dé faire à Serpents et Échelles ?

Hier soir, j’évoquais l’utilisation des chaînes de Markov au jeu Serpents et Échelles. Comme me le faisait remarquer Jean-Philippe, de manière assez étrange, les enfants sont toujours beaucoup plus content après avoir fait un 6 qu’après avoir fait un 1. Mais est-ce réellement la valeur optimale que le dé doit prendre ? Ça dépend bien sûr de la position....

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Basics on Markov Chain (for parents)

December 20, 2011
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Basics on Markov Chain (for parents)

Markov chains is a very interesting and powerful tool. Especially for parents. Because if you think about it quickly, most of the games our kids are playing at are Markovian. For instance, snakes and ladders… It is extremely easy to write down the transition matrix, one just need to define all snakes and ladders. For the one above, we...

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