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We like to use GJR models, and found them, after testing them
ourselves, superior to EGARCH in our applications. We tested
numerous asymmetric models. Some GARCH tricks we use here are to fit
extreme value distributions to the residuals, or other-than-normal
distros. But the tricks I referred to in that writing are related
to implementing some stuff from an article by Jarrow and Rudd (1982).
The tricks, really, are implementation tricks. It is one thing to
write down or mention all manner of higher formula and concepts,
another to implement it in practise so that ordinary people can use
it in decision making. This is what we do, we are not a team of
engineers working 30 hour shifts to expand the frontiers of theory.
To implement practical solutions also cause you to loose sleep and so
on, and requires many tricks to make things work in practice.
Anyhow, friend, please do not be offending due to my lack of
credentials, nor by the colour selection on my website. And, if
I may suggest something to you - get some sleep, 30 hours in the
office won't make you an academic, it will make you an insomniac
(unless my command of English is failing me....)
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://tsatsaeod.ferra4models.com
http://www.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "KUREKCI" <kurekci@xxxx> wrote:
> I didnot expect any reply, nor I cannot find any question of yours
to reply.
>
> I didnot mean to offend you being less academic. we don't do such
things : )
> I just wanted to say that the terminology you are referring to, at your
> level, would not serve your purpose. "coupled with some tricks" if
you can
> do any useful "trick" with GARCH model, for example such as making it an
> EGARCH model [Roll(1984)], you would already take place in the
literature
> like Hasbrouck(1995), Gonzalo, Granger(1995). And I suppose latest
"useful"
> twitch to GARCH was by Chordia, Roll, Subrahmanyam (2002), I visited the
> last author 3 months ago, he is teaching at UCLA Andersen school of
> business. So it is not an easy job to do "tricks" with these models. Or
> simply, name any papers of yours published in an academic journal, I
will
> study and do my best to well criticisize that then.
>
> As you list your credentials, I would just give some statistics about my
> program. I am working on average 100hours/week in the office and
read about
> 1000pages/week, includes about 8 papers/week, and didnt leave my
office for
> the last 30 hours. Believe me you are not academic, I wonder if you
have any
> idea about the academia, but definitely you sound academic to an average
> person, which the average person can easily compensate reading 3-5 stats
> books. but personally I wouldnt invest on that...
>
> Let me not talk about skewness and kurtosis, those were in stats 101 I
> suppose : ) I never mention that I am better than anyone, that would be
> embarrassing considering the great guys in the business. And I
kindly advice
> you that, as well, not do it. It would be much better if you ever
don't use
> the word "academic" in your talk.
>
> the thing about the website design and content is that, it is just
not align
> with the image you are creating here. Jose's point in imagining a
team of
> engineers more sounds like the image you draw to us. if you gonna
invest in
> this, you better redesign your web site at least. it doesnt look like a
> corporate structure or ... Asset Management. buddy. No way...
>
> your enemies would flatter you, while your friends would give you a
bleeding
> nose..
>
> good luck..
>
>
> -----Original Message-----
> From: MG Ferreira [mailto:quant@x...]
> Sent: Friday, March 04, 2005 12:24 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Re: some criticism: sad but true...
>
>
>
> I'll give your message to the people responsible for the web design,
> but I must say I don't understand this message? Must I not reply to
> messages unless I have a PhD plus more? How many people would then
> be able to participate here? I think, sans PhD, that I helped a guy
> who, according to him, spent a lot of time on this and could not code
> it. So I coded it, explained it, posted it, and am sure I, sans PhD,
> helped him quite a bit.
>
> Some people here say I am too academic, you think I am not academic
> enough? Please, if anything I said related to skewness or kurtosis
> is wrong, let me hear about it, and, really, it does not have much to
> do with the company's website. Funny thing, we've been using these
> formulas, together with some other stuff, for years, based on some
> very academic papers by some of the most academic of people out
> there.....coupled with some tricks we had to figure out to actually
> implement it..... Anyhow, I really look forward to your reply.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://tsatsaeod.ferra4models.com
> http://www.ferra4models.com
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "KUREKCI" <kurekci@xxxx> wrote:
> > dear ferreira,
> > I have just checked your website. even your website design does not
> support
> > the expectation you create in your messages...
> >
> > I must say I am a little disappointed. the statistical jargon you
> have been
> > using attracted my attention, and I can see that you are trying hard
> to use
> > your statistical knowledge in trading but I am sorry that as far as
> I can
> > notice the depth of knowledge you are referring to when making your
> > inferences is not deep enough support the reasoning.
> >
> > though, I still think making research and using statistics is very
> > interesting and maybe useful in technical analysis framework. and
> improve
> > the frontiers of the market. but what you are doing isnot an
> extensive use
> > of statistics. it would require post PhD level study to well implement
> > statistical knowledge in technical analysis. otherwise it would
> result in
> > total loss, if not a number of poor designs which not worth the
> investment
> > of effort.
> >
> > I understand that you have studied statistics more than an average
> person
> > but still if you spend some more time in the academia you would
> understand
> > that there is inconsistency between the tools you are using and
> results you
> > expect.
> >
> > I will not take more time of anybody and end with a passage that I
like,
> > simply from karate kid: if you don't know karate then your walking
> on the
> > right side of the road, if you know karate you are walking on the
> left side
> > of the road, but if you know the karate so-so then you are walking
> right in
> > the middle of the traffic. it is dangerous...
> >
> > regards,
> >
> >
> >
> >
> > -----Original Message-----
> > From: MG Ferreira [mailto:quant@x...]
> > Sent: Friday, March 04, 2005 10:08 AM
> > To: equismetastock@xxxxxxxxxxxxxxx
> > Subject: [EquisMetaStock Group] Skewness or biasedness and kurtosis
> >
> >
> >
> > Herewith code for the skewness and kurtosis of a series (somebody
> > requested this, so don't jump to conclusions - specifically, don't
> > test this as a trading model - caveat emptor - This is often useful
> > when trading options and we used these things to devise option
> > strategies, such as building indicators that tell you if you should
> > be buying/writing puts or calls, in or out the money etc - but -
> > don't be mislead by this statement as these are the basic building
> > blocks of such a system, not the system itself - and given upon
> > request...)
> >
> > It is a bit troublesome to do this in Metastock due to the way in
> > which its time series processor works. You have to manually add up
> > the history to get the exact version, but you can easily build a
> > good approximation. The exact version quickly causes Metastock to
> > give an error message, and we limit it to 20 days, which really is
> > too little for this indicator. We also give an approximate version
> > which is very easy to code and use, and here you can go much higher
> > than the 20 day limit of the exact system. The exact system also
> > shows how you can use boolean algebra in stead of lots of if
> > statements. Typically you should have a highish value for these,
> > say 50 and above.
> >
> > OK, so there are four formulas in total, exact and approximate ones
> > for the skewness or bias and the kurtosis. Note that we calculate,
> > as you should, these figures in the return series, not the series
> > itself.
> >
> > How do you interpret these? Just a brief summary.
> >
> > Skewness: If this is positive, then the market has a positive
> > news impact curve. Up movements are generally higher than down
> > movements. If this value is negative, then vice versa. Here is
> > an example of movements in a positive skew market:
> >
> > +2 -1 +5 -3 +3 -1 +3 -1 +2
> >
> > Note that, if the market rises, it generally rises more than if it
> > falls.
> >
> > Kurtosis: If this value is positive, it means the returns are
> > leptokurtic. A negative value indicates a platykurtic distribution.
> > Leptokurtic technically means there are more outliers than in a normal
> > distribution, in practise it is indicative of a risky market. The
> > higher this value, the more risky the market is, with 0 sort of
> > meaning it is a normal market. A low value means that you have a
> > low risk market. Here is an example of a leptokurtic market:
> >
> > +1 -1 +1 -1 +10 -1 +1 -1 +12 -2 +1 -1 +2 -1
> >
> > Note that the market's return is quite concentrated around zero but
> > every now and again you have a HUGE outlier - this is leptokurtosis.
> >
> > Code follows below, note it is in four sections.
> >
> > Regards
> > MG Ferreira
> > TsaTsa EOD Programmer and trading model builder
> > http://tsatsaeod.ferra4models.com
> > http://www.ferra4models.com
> >
> > ----------8<-----------------------------------------------------
> > {Bias Exact Metastock code
> > -------------------------
> > MG Ferreira
> > http://www.ferra4models.com
> > For personal use only}
> >
> > xx := INDICATOR;
> > ll := Input("Bias length:",1,20,20);
> > yy := ROC(xx,1,%);
> > mm := Mov(yy,ll,S);
> > ss := Power(yy-mm,3)+
> > Power((Ref(yy,-1)-mm)*(ll>1),3)+
> > Power((Ref(yy,-2)-mm)*(ll>2),3)+
> > Power((Ref(yy,-3)-mm)*(ll>3),3)+
> > Power((Ref(yy,-4)-mm)*(ll>4),3)+
> > Power((Ref(yy,-5)-mm)*(ll>5),3)+
> > Power((Ref(yy,-6)-mm)*(ll>6),3)+
> > Power((Ref(yy,-7)-mm)*(ll>7),3)+
> > Power((Ref(yy,-8)-mm)*(ll>8),3)+
> > Power((Ref(yy,-9)-mm)*(ll>9),3)+
> > Power((Ref(yy,-10)-mm)*(ll>10),3)+
> > Power((Ref(yy,-11)-mm)*(ll>11),3)+
> > Power((Ref(yy,-12)-mm)*(ll>12),3)+
> > Power((Ref(yy,-13)-mm)*(ll>13),3)+
> > Power((Ref(yy,-14)-mm)*(ll>14),3)+
> > Power((Ref(yy,-15)-mm)*(ll>15),3)+
> > Power((Ref(yy,-16)-mm)*(ll>16),3)+
> > Power((Ref(yy,-17)-mm)*(ll>17),3)+
> > Power((Ref(yy,-18)-mm)*(ll>18),3)+
> > Power((Ref(yy,-19)-mm)*(ll>19),3);
> > ll*ss/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),3)*(ll-1)*(ll-2))
> > ----------8<-----------------------------------------------------
> > {Bias Approx Metastock code
> > --------------------------
> > MG Ferreira
> > http://www.ferra4models.com
> > For personal use only}
> >
> > xx := INDICATOR;
> > ll := Input("Bias length:",1,9999,50);
> > yy := ROC(xx,1,%);
> > mm := Mov(yy,ll,S);
> > dd := yy-mm;
> >
>
ll*Sum(Power(dd,3),ll)/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),3)*(ll-1)*(ll-2))
> > ----------8<-----------------------------------------------------
> > {Kurtosis Exact Metastock code
> > -----------------------------
> > MG Ferreira
> > http://www.ferra4models.com
> > For personal use only}
> >
> > xx := INDICATOR;
> > ll := Input("Kurtosis length:",1,20,20);
> > yy := ROC(xx,1,%);
> > mm := Mov(yy,ll,S);
> > ss := Power(yy-mm,4)+
> > Power((Ref(yy,-1)-mm)*(ll>1),4)+
> > Power((Ref(yy,-2)-mm)*(ll>2),4)+
> > Power((Ref(yy,-3)-mm)*(ll>3),4)+
> > Power((Ref(yy,-4)-mm)*(ll>4),4)+
> > Power((Ref(yy,-5)-mm)*(ll>5),4)+
> > Power((Ref(yy,-6)-mm)*(ll>6),4)+
> > Power((Ref(yy,-7)-mm)*(ll>7),4)+
> > Power((Ref(yy,-8)-mm)*(ll>8),4)+
> > Power((Ref(yy,-9)-mm)*(ll>9),4)+
> > Power((Ref(yy,-10)-mm)*(ll>10),4)+
> > Power((Ref(yy,-11)-mm)*(ll>11),4)+
> > Power((Ref(yy,-12)-mm)*(ll>12),4)+
> > Power((Ref(yy,-13)-mm)*(ll>13),4)+
> > Power((Ref(yy,-14)-mm)*(ll>14),4)+
> > Power((Ref(yy,-15)-mm)*(ll>15),4)+
> > Power((Ref(yy,-16)-mm)*(ll>16),4)+
> > Power((Ref(yy,-17)-mm)*(ll>17),4)+
> > Power((Ref(yy,-18)-mm)*(ll>18),4)+
> > Power((Ref(yy,-19)-mm)*(ll>19),4);
> >
>
ll*(ll+1)*ss/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),4)*(ll-1)*(ll-2)*(ll-3))-3*
> > (ll-1)*(ll-1)/((ll-2)*(ll-3))
> > ----------8<-----------------------------------------------------
> > {Kurtosis Approx Metastock code
> > ------------------------------
> > MG Ferreira
> > http://www.ferra4models.com
> > For personal use only}
> >
> > xx := INDICATOR;
> > ll := Input("Kurtosis length:",1,9999,50);
> > yy := ROC(xx,1,%);
> > mm := Mov(yy,ll,S);
> > dd := yy - mm;
> >
>
ll*(ll+1)*Sum(Power(dd,4),ll)/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),4)*(ll-1)*
> > (ll-2)*(ll-3))-3*(ll-1)*(ll-1)/((ll-2)*(ll-3))
> > ----------8<-----------------------------------------------------
> >
> >
> >
> >
> >
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