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ryanmccrickerd / rough_bergomi

A Python implementation of the rough Bergomi model.
MIT License
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Can't reproduce Turbocharged demo #2

Closed hpompom closed 2 years ago

hpompom commented 2 years ago

I run the code of turbocharged demo, but I find I can not to reproduce the figure, and the mixed estimators have a very bad performance. Is there something wrong with the part I'm running?

image
ryanmccrickerd commented 2 years ago

Hi @hpompom The graph you show does not provide statistical evidence for the performance of these estimators - it’s merely a reflection of the numpy seed being used to generate the data behind that particular plot. The seed used in the demo file is the first one, 0, so is not set to make the mixed estimator look better or worse than others. If you have not changed this seed, then I guess the seed behaviour has changed with numpy version. In any case, if you would like to provide some statistical evidence of your claim (by e.g. running the type of analysis in our paper), then I will look into it. Best, Ryan