# All Questions

10 views

### How to Trade a Ratio?

I came across a ratio plotting of Corn And Soybeans contracts, notice it's in a historical low, an intuitive question came to my mind, how should I trade this ratio (or relationship)? It's unlike flat ...
29 views

### Index and alpha strategies research analyst

Just found some job offer: Index and alpha strategies research analyst However it seems that the offer is already closed. The thing is I would like to know what are these alpha/index strategies. Can ...
36 views

### Execution quality for illiquid securities

The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of ...
43 views

### Autocorrelation in the GARCH model residuals

I am estimating GARCH model for volatility calculation and as a data input I have used log first difference data (ln(a)-ln(b)). Usually I would check for autocorrelation in residuals(to check the ...
169 views

### Why linear interpolation not appropriate for volatility surface construction?

We know linear interpolation is not appropriate for constructing a surface, but why? In the book, "Foreign Exchange Option Pricing: A Practitioners Guide", the author writes: native linear ...
382 views

### Consistency of economic scenarios in nested stochastics simulation

I am interested in references on research regarding the consistency of economic scenarios in nested stochastics for risk measurement. Background: Pricing by Monte-Carlo: For pricing complex ...
135 views

### Is spoofing financially risky?

It's alleged that Navinder Singh Sarao contributed to the flash crash by placing huge, fake, order for S&P Minis. Mr. Singh Sarao then cancelled the huge orders before they were filled. The ...
90 views

### Issue with OLS Regression for Nelson Siegel Svensson parameters

I have been working on getting input parameters to the Non-Linear Optimization which gives the Nelson Siegel Svensson model parameters and am carrying out the OLS regression as described in this ...
182 views

### Time value of option not always leading to an increased option value

My understanding was that as you increase the time to expiry of an option, the value of the option increases. However, I have run a bunch of scenarios and have realized that if you assume a dividend ...
29 views

### How to compute returns and daily VaR of a currency position?

I have a Forex trading account with a base currency USD. I am holding a position in EUR/JPY and would like to estimate my daily VaR. If I compute the EUR/JPY returns using the historic prices this ...
190 views

### Testing for stock market herding over short periods

The literature has well established methods for testing stock market herding over a decent time window. Are there any ways that have appeared in the literature to test for stock market herding over ...
188 views

### Why does it take so many lines of code to price even the simplest of options with QuantLib

I have been looking at QuantLib I am trying to figure out why I need to write so much boilerplate code even when pricing the "simplest" of European Options using the analytical Black-Scholes formula ...
144 views

### How to calculate volatility on intraday data?

I have several weeks of minute-by-minute stock data (start and end prices, volume). Everything I've read so far leads me to believe there isn't a standard method for volatility, which is leaving me ...
38 views

### GARCH model why we take assumption that returns arei.i.d. random variable? [on hold]

In GARCH model why we take assumption that returns are i.i.d.?how can we explain it to a layman?
22 views

### When are ES E-mini future options issued?

Since options lose 2/3 of their time value in the second half of their lifespan, it makes sense to be aware of when an option was issued. What are ways of figuring out when ES futures options have ...
44 views

I was speaking with a friend of mine about what techniques are used for quantitative investment management, and he told me that, when assuming active positions on the market, even in high-frequency ...
46 views

### convert three months interbank rate into monthly rate

I have a time series of the three month interbank rate each month and I suppose that the rate is has yearly frequency. I need these interbank rates to be on a monthly basis because I want to us these ...
59 views

### What are the advantages of financial modelling in R? [on hold]

Recently I've found out that quantitative department in my company uses mostly R software for modeling in general. What is the advantage of modeling financial data in R instead of Excel, or some ...
192 views

### Exercise 2.2 from the book “The concept and practice of Mathematical Finance”

I am a newbie. Please help me understand how to resolve the exercise 2.2 from the book "The concept and practice of Mathematical Finance". The solution from the book says that our super-replicating ...
14 views

### Which is best chart for intraday trading & how to use it? [on hold]

I have new learner & want to make trading as my full time work. I read some articles on charts, that helps to buy or sell shares. Pls tell me, how to read charts & buy or sell shares using ...
23 views

### 12-month rate calculation for Problem 4.23 in Hull's Options, Futures, and Other Derivatives

From Hull's Options, Futures, and Other Derivatives, 8th ed., problem 4.23: Excerpt from Problem 4.23 The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0 ... ...
20 views

### Rollapply: what does by.column do? [on hold]

I have read the description of by.column for rollapply in the manual but i couldn't understand how to use it. see below: x=matrix(1:60,nrow=10) ...
17 views

I want to download the annual dividends(regular,special and repurchaces) for all stocks at Nasdaq for 5 years. Does anyone know where can I find it? Thank you
1k views

### Historical volatility from close prices (Haug pg 166)

I have implemented a function for calculating historical volatility using close the close method as described by Haug on page 166. When I implemented the formula given by Haug, it resulted in some ...
34 views

### Initial holdings of bonds with delta hedging (Black Scholes model)

Consider the Black Scholes model so $$dS_t = \mu S_t dt + \sigma S_t dW_t, \;\;\; dB_t = rB_t dt$$ I want to delta hedge an European call option with strike price $K$ and strike time $T$. It is known ...
56 views

### Stressed Value at Risk vs Value at Risk

Just read some materials about SVaR. Is there only holding period that changes in comparison to VaR methodology?
54 views

### What is the variance risk premium?

Can someone provide an intuitive understanding of the variance risk premium? I am very confused by this definition and cannot interpret my time series analysis.
26 views

### What are some options to execute ML algos against with live data using C#, F# or Python for a retail trader?

I'm a retail algorithmic trader. I've written some algorithms that parse intraday movements and make decisions. I still execute trades manually but eventually I need the ability to execute trades on ...
79 views

I'm trying to find the optimal portfolio of options and stock which minimizes the standard deviation of the portfolio returns but also taking into consideration the bid and ask prices of the assets. ...
64 views

### Extracting Default probability from a single CDS

I have to find the CDS's default probability using the simplest Poisson Process (intensity constant). I'm wondering how to get this estimate if I have only a CDS with maturity 5years. If I had ...
34 views

### How to calculate conversion parity for convertible bond?

Can someone explain how can I calculate the parity of this convertible bond? I know the formula is Current price of common stock x Conversion Ratio, but it doesn't seem to be right in this ...
68 views

### Conversion of SPY prices to ES prices

I have a system that I use intraday that works great on SPY. Due to the extra leverage available plus other benefits I am thinking about trading the system using ES. Is there a conversion factor ...
66 views

93 views

### How do I show that there is no tangency portfolio?

Question: Suppose that the risk-free return is equal to the expected return of the global minimum variance portfolio. Show that there is no tangency portfolio. A hint for the question states: Show ...
25 views

### Test for difference in security returns before and after financial regulation

I'm going to study the effect of corporate credit rating changes (Moody's) on stock prices before and after a specific financial regulation. So far i have used an event study where i have divided the ...
26 views

### calculate annualised tracking errors

I have 36 months of relative returns. I need to calculate the annualised tracking error. So using 36 months of returns is it simply like below, ...