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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
1. Time Series.
A. Time series forecasting.
B. Updating a linear forecast.
C. Kalman filter I.
D. Kalman filter II.
E. Simultaneous equations.
a. Simple linear reduction.
b. Simultaneous equations bias.
c. Two stage least squares procedure for simultaneous equations.
d. General note of applicability.
2. Classical statistics.
3. Bayesian statistics.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

General note of applicability.

imultaneous equations are invented to model supply demand equilibrium of commodities market. As such, it may involve an attempt to ignore the presence of financial markets. Indeed, to properly account for influence of the forward positions in the supply-demand equilibrium one would need to know a total volume of all forward positions on the market as well as weighted by volume of trading average of the previous forward prices. These variables are never observable. Also, forward contracts (futures) are generally traded through exchange with high volume. Spot market is usually OTC with much lower volume. Hence, it is an attempt to ignore something that cannot be ignored.

If you find yourself using simultaneous equations then check your motivation.

Notation. Index. Contents.

Copyright 2007