June 2010
1 post
February 2010
1 post
January 2010
4 posts
approaching voidbase v0.1 .... →
December 2009
2 posts
voidbase: progress report
This week in void involves wraping up the full stack of sequence generators (both standard distribution data and time series), first edition of simple shell-based console for manipulating queues and separating queue-hooks into a more general framework. First pending addition to the console should be simple script language for defining some basic hooks without having to develop custom classes (for...
November 2009
4 posts
rnd::read
http://www.cato.org/pubs/pas/pa-283.html (Cato insitutute’s Thomas F. Siems on financial derivatives, 1997)
Interesting read. “The freedom to manage risk effectively must not be taken away” . Like this one. Has a real “manifesto” thing to it. Hopefully, that’s not the only argument there is, since, if observed in real context of options markets as...
October 2009
21 posts
mysql as queue store - a simple benchmark
We notice that, in given example, maintaining the queue in sql costs about 10x in performance as opposed to using in-memory blocking array (and no persistence), which is a quite satisfactory result. Additionally - this makes the sql inserts take around 0.5 ms on given platform, which makes is quite usable for a lot of real-life scenarios. We should now proceed with benchmarking this in...
mysql as queue store - a simple benchmark
Simple benchmark of using mysql as a queue datastream storage (queue size is 1000 entries of 4k size). The idea is testing relative performance of single sql table (ab)used as a queue (by tracking size and incremental trimming) versus the “referent” performance of using java ArrayBlockingQueue. The machine in case is (8Gb RAM / Quad Core AMD Phenom(tm) II X4 945 Processor) with...
Caching event streams...
A major question when dealing with data streams is the issue of caching the stream content. For example - let the Q_i(t)={q_1,q_2…q_n} represent the stream of events q_1..q_n, stored in fixed size queue Q_i , of size d at given moment t. The order of events entering the queue is nondeterministic. We can assume that the frequency of queue updates follows a Pareto distribution - meaning that...
A paradigm for development of...
In building loosely coupled distributed systems, basic operations can be classified as (a) request routing ; (b) request forwarding ; (c) cross-system request adaptation ; (d) service execution. The question is how to provide a convenient layer for performing all of the above hidden behind single REST paradigm - a single point of entry forwarding to network of distributed services,...
An interesting approach to determining the validity of forecast obtained using simultaneous equations model (in the case of overidentified model), might be assuming that random exogenous variable is endogenous and using the system to obtain it’s equilibrium value. We further regress the obtained forecasted values on actual values, and use goodness of fit of such model in order to assess the...
Phase shift theory of economic behavior
An omen to a end of this day is a phase shift theory of economic behavior, beginning from partial adjustment hypothesis, but representing lagged variables as a discrete set of models depending both on current phase and a part set of phase transitions.
Estimating partial adjustment coefficient. In practice, often a function. Midroad will be a fixed set of phase-transitioned coefficients - intepreted via dummy regression model ?
Partial adjustment yields AR(1) processes. However, constant underestimation in bullish markets is the problem
Watch
Option Engine: A Grid-Enabled Software Package to... →
Analytical modelling of irrational exuberance
Expectation modelling on Greenspan’s irrational exuberance , adaptive hypothesis falure, still linearly modellable , loglinear model of irrationality , phase shift - inverse model with variable exponent
