@clusteringmiu
You did a great work to make me understand stochastic calculus as an undergrad. Thanks for the excellent teaching!
@KrishnenduSKar
Thank you so much for the detailed explanations. Been trying to connect the worlds of Stochastic Process & Computer Science for quite some time. Contributions like these help people like us break barriers which seemed almost impossible (until now). Thanks again and keep up the great work !! Respect !! Go Feynman !! ✌🏽👍🏽🙏🏽
@nolann2382
Although I'm not a quant, I watch your videos for fun. I'm a math student right now, but I hope to become a quant one day.
@Notwhoyouthink_23
This channel is precious. Thank you very much
@amitpashine1189
really outstanding content. keep it up!
@Tyokok
All respect and appreciation!!!
@powerfuel297
I implement the RFSV model last year, it also uses a similar OU process in there
@michaelnovik270
Pure gold. My respect.
@Anyone.c
I love your videos dude!!! You put in so much work and effort in them! thank you for this. Can you suggest any readings for deciding a stocks weight in a portfolio(maybe include this volatility aspect too). Thanks!
@alessandrolodi8951
This video is simply amazing
@ArunGupta-du2de
Excellent Tutorial! Had two conceptual questions: 1) Do you happen to know why the OU process the natural choice to incorporate volatility clustering (what is the connection between mean reversion in OU and the volatility autocorrelation found by Mandelbrot)? Would a simple AR(1) process for volatility work too? 2) Do I understand it right that OU addresses only the volatility clustering property, but not the heavy tails and excess volatility pptys of stock returns? Thanks for any feedback!
@randomdude79404
Thanks for this video , in the past you created a video on statistical properties of the bars by the work of Marcoz Lopez De Prado (Advances In Financial Machine Learning) could you perhaps create a few more videos showing implementation of something like meta-labelling etc...
@ps3265
Thanks for the video!
@saremseitz5715
Really good - thank you!
@bastig.9415
Great explanation! Do you have any further textbook recommendations where these concepts are presented?
@kevinshao9148
Hi, why you pick rolling days 40 for vol? why not calc vol from beginning? Thank you for advising!
@Alexander-pk1tu
Very cool video and project. I tried to replicate the notebook myself from your site. I am working on a project where I want to find SV under P so its what I am looking for. But shouldn't you use Cox-Ross Model for Volatility? I would like to see a follow-up video on this topic! On calculating these parameters on historical data
@gokhanozbay4349
İt's awesome lecture. Thanks a lot dude 👍
@alejandrovillalobos1678
that little bit of correlation is there because outliers
@dangkhoatrannguyen6734