The market tag has no wiki summary.
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Market Exposure and Hedging
Normally the Market exposure associated with your stock/portfolio is your delta for that stock/ portfolio. Basic idea of hedging involved here is buying/selling respective futures depending upon ...
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How to prove that markets are incomplete under the Stochastic Volatility model?
Has anyone ever formally proved that Markets are incomplete under the stochastic volatility model?
I know that if there are more random sources than traded assets, then the market is incomplete but ...
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Is Bitcoin a trending or a ranging market at the moment? [migrated]
Is the Bitcoin market trending or ranging market at the moment? If so how can i determine whether a market is a trending or a ranging market.
Thanks. :)
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0answers
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What does it mean when someone says “FTSE closed at xxx today” [migrated]
I'm a complete "noob" in the field of finance/economics. However, I have been advised to learn the basics so I have sat down and started reading about various stuff.
Now, I always hear on the TV or ...
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1answer
231 views
Which prediction market model is efficient and simple to use?
For a college project I'm tasked with implementing prediction market. Which model of it I'd better choose?
I want something useful and simple enough for other people to quickly understand and use. ...
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134 views
End of Day Market Data (One Minute Interval) for Commercial Purpose [closed]
I am developing a website and looking to use end-of-day data to calculate technical indicators and display them on it.
Please provide any financial data vendor that provides above mentioned data for ...
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0answers
60 views
Individual/casual investors and the bias towards blue-chip stocks?
There's quite a bit of research (example, [1]) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
3
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1answer
187 views
mortgage prepayment model
I am trying to develop my own MBS prepayment model. I am confused by the terms SMM and CPR. Are they estimates/models in themselves or are they ACTUAL data for the MBS pool. where can I find actual ...
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7answers
737 views
Has spectrum analysis ever been used successfully to analyse historical price data?
Spectrum analysis is often used to analyse waveforms. A common configuration, for example, is to create a graph where X is time, Y is frequency, and the brightness of each position represents ...
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1answer
117 views
market completion under stochastic volatility model
Consider a stochastic volatility model. As there are two sources of risk and one asset only, this is an incomplete market. One can complete the market by considering a derivative V1 used to hedge the ...
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1answer
207 views
How to automate the margin requirements for Eurex markets?
I'm looking at automating the calculation of margin requirements for a portfolio of Eurex markets.
Eurex describe the margin calculations in this document. However, the only tool I can find is a ...
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6answers
3k views
Which approach dominates? Mathematical modeling or data mining?
According to my current understanding, there is a clear difference between data mining and mathematical modeling.
Data mining methods treat systems (e.g., financial markets) as a "black box". The ...
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7answers
650 views
Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
Are there ways to measure the risk aversion of a representative investor, based on publicly available market data? Public available data could include asset price, volume, and flow data, and may be ...
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1answer
292 views
Creating a financial market
Let's say I wanted to create my own financial market where people could buy with real money shares in a real physical product such as, for example, a rock band. If the value of the rock band goes up, ...
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1answer
136 views
accumulation/distribution and options to create excessive position to hit the tape with later
I am curious about possibilities and theory here. Basically a "problem" with trying to get large positions is that it would move the market in the direction that you are loading up on, therefore ...
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4answers
490 views
Do markets typically fall fast, and rise slowly
I'm wondering if there is some measurement or name to this notion, i.e.:
Markets typically fall fast, but rise slowly.
It seems like this is the case -- get some bad news out of Europe on the debt ...
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2answers
123 views
Buying one company or index against another, is this readily possible with options, with an accurate return (also Alpha Indexes)
There's a relatively new product in the market / on the Nasdaq called Alpha Indexes. It lets one own a company -- e.g. Apple, GE, Google, etc -- as the difference between how that company does (the ...
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3answers
268 views
Given markets usually fall fast and rise slowly, are there trading mechanisms to take advantage of this?
Per a previous question on this topic -- markets generally fall fast and rise slowly: what options strategies or other strategies can one use to take advantage of this common occurrence?
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1answer
384 views
What are the most common/popular exotics in the interest rate markets these days?
By "exotic" I mean anything that is not a plain vanilla swap, swaption, cap or floor. Also any IR hybrids if appropriate.
Possible examples would be:
CMS and CMS spread options
Multi-callable swaps
...
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3answers
298 views
Is there data on market participants at a particular moment?
I am looking for data on market participants at a particular moment (or some proxy/approximation). For example, how can I tell whether mostly big players and HFTs are dominating the market in ...
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6answers
1k views
Why does the VIX index have *any* correlation to the market?
It appears that the log 'returns' of the VIX index have a (negative) correlation to the log 'returns' of e.g. the S&P 500 index. The r-squared is on the order of 0.7. I thought VIX was supposed to ...
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4answers
643 views
Approximately what proportion of a stock’s volatility is explained by market movement?
Assume we decompose the daily (log) returns of a stock as beta times market movement plus an idiosyncratic part. If this is done ex-ante, what proportion of the variance is explained by the market ...
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2answers
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How to generalize the Vickrey auction for two-sided trading?
I want to try out the Vickrey auction for a project of mine, but I'm not sure that I understand it completely. The thing is that I have several consumers and several providers trading one resource ...
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3answers
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How would you test the hypothesis “There are no idiosyncratic returns available in the market”?
A commentary attributed to Matt Rothman had recently (in the past six months) been making the rounds of the internet echo chamber claimed "There are no idiosyncratic returns available in the market". ...
