Thoughts on LSPM from R/Finance 2010

Posted on April 18, 2010 by Joshua Ulrich in R bloggers | 0 Comments

[This article was first published on FOSS Trading, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)

Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

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.