For questions citing or requesting references to academic and/or professional research.

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0
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1answer
52 views

List of dates at which the NYSE was closed from 2005 to 2014?

I'm doing research on historical price movements on the New York Stock Exchange. Because the NYSE is closed on weekends, on holidays, and sometimes because of special events, special care needs to be ...
0
votes
2answers
87 views

Is there a trustworthy ranking of quantitative finance degrees?

I'm interested to know if there is a trustworthy ranking of master's degree in quantitative finance. I'm specifically interested in some recruiter's perspective or experience, if available. I ask ...
3
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2answers
419 views

Successfull applications of Chaos Theory in Quant Finance

Do successful applications of chaos theory to quant finance exist ? While still in the university I remember some people mentioning how chaos theory and fractals could be applied in a finance ...
0
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0answers
61 views

Sampling and/or asymptotic distribution of a function

Assume we have the following function: $$f(p) = \frac{1}{(1-p)d}\ln\left(\frac{1}{T}\sum_{t=1}^{T}\left[\frac{1+X_t}{1+Y_t} \right]^{1-p} \right)$$ where $d$ is a constant $T$ is a constant $X_t$ ...
2
votes
0answers
60 views

Triangular Arbitrage formula [closed]

i have 3 currencies AUD, USD and EU I am trying to work out the mathematical formula to work out if there is a spread/arbitrage opportunity as well as the maximum amount that can be conducted ( for ...
3
votes
1answer
136 views

what was the quant role in the 2008 crash?

this is a complex topic that interests me, have researched myself, & is debated heavily in the media and there is lots of writing, even entire books/documentaries. maybe somewhat surprisingly, ...
1
vote
1answer
73 views

Is it illegal for a publicly traded company to publish inaccurate financial data?

If you are the book keeper for a publicly traded company and you misrepresent the financial earnings of the company (even if by accident) for an earnings quarter, is this illegal?
5
votes
0answers
118 views

Proving the asymptotic distribution of Manipulation-Proof Performance Measure (MPPM) (Paper by Goetzmann et al.)

In Goetzmann et al.'s (2007) paper, the authors derive a "Manipulation-Proof Performance Measure" (MPPM), which is a performance measure that is impervious to performance manipulation by fund ...
1
vote
1answer
118 views

Fixed Income free research available online

As from the title, I would like to know where it is possible to find free research focused on fixed income markets' themes and topics, such as interest rates, credit risk related fundamentals, new ...
0
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1answer
115 views

Physical Option Implied Distribuition

So I got risk neutral probabilities from stock option prices. How can I then map them to a physical measure?
7
votes
1answer
639 views

academic papers about market making

I am looking for academic articles which model the p&L of market makers. I have read the Ho-Stoll (1984) article. Is there any recent article on this subject?
1
vote
1answer
165 views

reinsurance pricing equivalent to option pricing

Is it true that pricing a reinsurance contact is equivalent to pricing an option. Basically a reinsurance just cuts off the risk exposure of the insured institution to a threshold say $K$. So if we ...
0
votes
0answers
241 views

Fluid dynamics for order book depth modelling

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc). ...
2
votes
0answers
227 views

Market risk stress testing?

I am doing a research for a paper for market risk stress testing. In fact I found some information on the web about this important topic such as: Stress Testing from Art to Science Stress Testing ...
2
votes
2answers
724 views

How can you convert the CUSIP of a bond issue to the CUSIP of the company's stock/

As part of a research project I ran a query on the Mergent FISD database using the WRDS website. The output included the CUSIPs of numerous bond issues (>10000). I am using this data to run event ...
0
votes
1answer
100 views

Analyst Forecasts for monthly unemployment rate

Are there any resources that tabulate past analyst forecasts for the monthly unemployment rate along with the dispersion of the forecasts
5
votes
3answers
1k views

Papers about risk managment in algorithmic trading systems?

I am currently doing my research for my master thesis, which will clearly focus on the question of risk managment in algorithmic trading systems. I have done research about this topic and found some ...
2
votes
0answers
126 views

Event studies using revenue data vs. measuring abnormal returns

This may be a silly question, but does there exist a methodology for examining the impact of "events" on companies that are not publicly traded? I suppose it would look at abnormal revenues rather ...
10
votes
4answers
769 views

Resources for finding scholarly research on topics in quantitative finance?

A friend and I have taken up an interest in quantitative finance, and we're pretty much starting from scratch—neither of us have backgrounds in finance, but rather electrical engineering and ...
6
votes
1answer
349 views

Toy models of asset returns

When making simple agent-based models of banking systems to look at global properties (say systemic risk) one of the basic decisions you have to make is how to model returns on external (to the ...
4
votes
0answers
311 views

Asymmetric Volatility Modeling (Interpretation)

I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
12
votes
7answers
2k views

What are the best Journals & Conferences in Quantitative Finance?

What are some of the most prominent journals, conferences and publishing venues in Quantitative Finance research? Where can I find information more information about them? (e.g. impact factor and ...
3
votes
0answers
260 views

Monty Hall Model

Given a fixed time period,say 3 days, the stock/market can go up,down or stay sideways. A hedge fund can long, short or use rangebound(options strategy) to bet for that 3 days closing level. Hedge ...
6
votes
2answers
457 views

Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?

When a researcher in economics or finance wants to apply a linear regression model but suspects a non-linear relationship between one of the regressors and the dependent variable, it is typical to ...
3
votes
0answers
77 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 ...
-1
votes
1answer
528 views

Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property

What constitutes "stealing" when it comes to publicly posted financial data? I think there are three instances of this that we can individually vet: a.) you physically broke into a location or ...
5
votes
2answers
168 views

Economic contagion to individual stocks (ideas for analysis)

I'm doing my undergraduate thesis on firm-level contagion. Specifically I look at a measure of performance over a financial crisis (e.g. raw stock returns), then run cross-sectional regressions with ...
0
votes
1answer
425 views

S&P 500 P/E percentile

I am researching the past five year return for the securities in the top and bottom 10 percentile of the S&P 500 on date 5 years ago. I used Bloomberg to get this data. When I searched for the ...
3
votes
1answer
313 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 ...
1
vote
1answer
330 views

Does Ito/Malliavin calculus have any applications helpful for direction based trading?

I'm an aspiring computer scientist who want to move into algorithmic trading at some point. At the moment I'm mostly focusing on courses in machine learning/data analysis etc. but I've noticed that ...
1
vote
1answer
650 views

FIX Heartbeat message not sent

I am using FIX4.3 and QuickFIX/n v1.0.0 for its implementation. I came across a situation where i had subscribed for Market Data and was successfully receiving Snapshot message then suddenly all ...
3
votes
1answer
501 views

How to develop journeymanship and mastery in the field Quantitative Finance?

I've read the FAQ and I know that this question may be considered off-topic by the standards set forth but I think a topic such as this is a valid exception. Questions like this one have been ...
4
votes
1answer
308 views

What is the relative performance of hard-to-borrow securities?

Is there any research on the equity return performance of hard-to-borrow securities? Many shops will simply screen for hard-to-borrow and eliminate these names from their short book. Anecdotally, ...
10
votes
6answers
8k views

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

I am looking to convince someone that an annualized Sharpe Ratio of 7 is 'extremely high' for a low frequency (daily rebalancing, say) long-short technical strategy on U.S. equities. I was hoping for ...
1
vote
1answer
288 views

What are the pros and cons of applying for a patent on a financial model or trading system?

I've never understood the purpose of patents in the financial industry. What would be the pros and cons of applying for a patent on some financial model or trading system? What would be the ...
6
votes
1answer
191 views

Estimate price movement per unit of volume for daily data

I'm working on backtesting a number of stock trading strategies and need to estimate how much the execution price will likely deviate from the historical close price for that asset using daily data; ...
3
votes
3answers
405 views

Why should there be an equity risk premium?

After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks. I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
6
votes
2answers
237 views

Reseach on when people/institutions sell?

I am curious to know if there have been studies on when selling occurs and if any useful patterns exist. I am particularly interested in the behavior of sellers when they are under water on their ...
2
votes
0answers
83 views

Good Environment, Social, and Governance Indicators to correlate with financial performance of PE

I am trying to see if there is a correlation between the Environment, Social, and Governance (ESG) performance and the financial performance of Private Equity (PE) funds. Are there any suggestions ...
3
votes
1answer
344 views

Cross Bid and Ask prices for Forex trading

I am using ITCH protocol to get the Market Data information for Forex and trying to implement LOB on it and what i have noticed is that Bid and Ask prices are crossing very often. Should that be ...
3
votes
1answer
535 views

What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?

There are many disciplines that have contributed to how one model's risk and return. Physics introduced Brownian motion and RMT. Machine learning has helped to solve complex portfolio construction ...
2
votes
2answers
933 views

Resequencing of MsgSeqNum in FIX 4.2

I am trying to achieve the following functionality using QuickFIX for FIX 4.2 Send a couple of orders and make sure they’re filled. Then disconnect. Change the incoming (from Broker) sequence number ...
2
votes
0answers
330 views

What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?

Given a bond and a stock issued by the same issuer, what is the appropriate ratio of bond-to-stock one should hold in order to minimize the specific risk to that issuer? Equivalently, what is the ...
8
votes
1answer
597 views

Quantitative before/after or financial engineering studies of a bid or ask tax?

Has anyone in the quantitative finance or financial engineering community studied the effects of a bid or ask tax with actual or simulated data? If so, what were the quantitative results or ...
7
votes
3answers
724 views

What is the impact of high-frequency trading on market depth, liquidity, and volatility?

On the surface, bid-ask spreads are far more narrow than even several years ago. However, during periods of financial stress liquidity seems to vanish. Also, the increasing amount of fragmentation ...
2
votes
1answer
1k views

Home/hobbyist quant trading - possible to profitable or just an intellectual hobby? [closed]

I've been researching algorithmic (non discretionary) trading at the several-day to month timescale, i.e. not HFT. I am not interested in voodoo i.e. no technical analysis, I am looking for solid ...
8
votes
1answer
407 views

Any research paper on stop loss?

Has there been any rigorous study on stop loss ? When to apply it? Has it been shown to work through proper statistical backtests? I am interested in Equities, preferably European stocks.
5
votes
1answer
141 views

Are there quantitative models which can guide one's choice of target risk?

Note: This question was written for the weekly topic challenge. Many asset allocation funds presume the investor knows his target risk level, typically on some spectrum from conservative (mostly G7 ...
4
votes
3answers
970 views

What are some of the major quantitative approaches to tactical asset allocation?

Note: This question was written for the weekly topic challenge. Many of you who deal with asset allocation will probably already be familiar with Mebane Faber's Timing Model, based on one of SSRN's ...
8
votes
0answers
295 views

performance of historical VaR parameters

An historical VaR measure is parameterized in terms of the confidence level and also number of periods. Specifically, the $\alpha$% T-period VaR is defined as the portfolio loss x in market value over ...