Thoughts on LSPM from R/Finance 2010

April 18, 2010

(This article was first published on FOSS Trading, and kindly contributed to R-bloggers)

I just got back from R/Finance 2010 in Chicago. If you couldn’t make it this year, I strongly encourage you to attend next year. I will post a more comprehensive review of the event in the next couple days, but I wanted to share some of my notes specific to LSPM.

  • How sensitive are optimal-f values to the method used to construct the joint probability table?
  • Is there an optimizer better suited for this problem (e.g. CMA-ES, or adaptive differential evolution)?
  • How accurate are the estimates of the probability of drawdown, ruin, profit, etc.?
  • What could be learned from ruin theory (see the actuar package)?

These notes are mostly from many great conversations I had with other attendees, rather than thoughts I had while listening to the presentations. That is not a criticism of the presentations, but an illustration of the quality of the other conference-goers.

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