Comments (4)
Hi @MMABK
Thank you for the question. What you asked is very useful, and I think I will add additional information in the notebook in order to clarify this choice.
What I did is not rigorous and a wrong practice (looking ahead bias).
My intention was just to provide an example of a good filter, and therefore I selected the variances such that the plots look good. This, of course, is cheating :)
However, the heuristic argument (three-sigma rule) I used, is reasonable and correct, and actually there was no reason to adjust the parameters by looking at the plots.
The method you suggest has the same problem (looking ahead bias).
The test set cannot be used for parameter estimation. This is something I have to explain better in the notebook.
But you can use the training set!!
The problem is that the error you obtain in this way depends on the time window (for a big time window you get a very small variance), and thus you have to be careful when you select the window.
In the next days I will make some changes and then I will explain them here.
from financial-models-numerical-methods.
Dear @cantaro86
Thank you for the answer! I am looking forward to see the update.
Best,
Vladimir
from financial-models-numerical-methods.
Hey @MMABK
I updated the notebook. There are no big changes, but I think now it is a bit clearer.
As far as I know, there is no "standard" method to design a filter (estimate the parameters).
I proposed a few methods, and one of them is the method you suggested above, where variances are computed for the rolling values.
Introducing a validation set can be the best choice in this case. You can calculate the variance of the rolling values in the training set and run the filter in the validation set. If you obtain unreasonable values, you can repeat the estimation in the training set with a different rolling window.
Please, let me know if now it is clear, and if you have any suggestions for improvements, or corrections. Otherwise we can close this issue.
Nicola
from financial-models-numerical-methods.
Dear @cantaro86
Thank you, it is clearer now.
from financial-models-numerical-methods.
Related Issues (14)
- Required packages in a requirements.txt? HOT 2
- ERROR: Failed building wheel for qdldl HOT 4
- Heston pricing model confusion HOT 1
- CalledProcessError: Command '['cmake', '--version']' returned non-zero exit status 1. HOT 2
- installation fails in python 3.11 HOT 3
- hey, the notebooks are great, any notebooks about option implied volatility? HOT 2
- Loops over columns vs loops over rows
- Adding Backtesting code HOT 5
- Missing functions.Kalman filter HOT 3
- Installing on Windows 10 HOT 1
- cython problem HOT 9
- NoteBook 1.4 HOT 1
- Quant
Recommend Projects
-
React
A declarative, efficient, and flexible JavaScript library for building user interfaces.
-
Vue.js
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
-
Typescript
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
-
TensorFlow
An Open Source Machine Learning Framework for Everyone
-
Django
The Web framework for perfectionists with deadlines.
-
Laravel
A PHP framework for web artisans
-
D3
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
-
Recommend Topics
-
javascript
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
-
web
Some thing interesting about web. New door for the world.
-
server
A server is a program made to process requests and deliver data to clients.
-
Machine learning
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
-
Visualization
Some thing interesting about visualization, use data art
-
Game
Some thing interesting about game, make everyone happy.
Recommend Org
-
Facebook
We are working to build community through open source technology. NB: members must have two-factor auth.
-
Microsoft
Open source projects and samples from Microsoft.
-
Google
Google ❤️ Open Source for everyone.
-
Alibaba
Alibaba Open Source for everyone
-
D3
Data-Driven Documents codes.
-
Tencent
China tencent open source team.
from financial-models-numerical-methods.