# All Questions

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### From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?

I have read about something like Kelly criterion for long term expectation maximization assuming a fixed starting bankroll. But if one can assume unlimited leverage, and one has a signal for a price ...
5k views

### Usage of NoSQL storage in Finance

I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data. I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ...
2k views

### How do I find the most diversified portfolio, or least correlated subset, of stocks?

I have a trading system that chooses top 10 stocks in Nasdaq 100 ranked on relative strength and some other factors. However, I'd like to take positions in only 5 of these 10 stocks based on how ...
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### Implementing data-structures in a Limit order book

I'm working on implementing a 'LOB' and I'm being very careful about choosing my data-structures so as to maximize performance. Using F# as an example, I need to consider a List versus Array for ...
1k views

### Are there any new Option pricing models?

Back in the mid 90's I used the Black-Scholes Model and the Cox-Ross-Rubenstein (Binomial) Model's to price Options. That was nearly 15 years ago and I was wondering if there are any new models being ...
1k views

### How are risk management practices applied to ML/AI-based automated trading systems

A potential issue with automated trading systems, that are based on Machine Learning (ML) and/or Artificial Intelligence (AI), is the difficulty of assessing the risk of a trade. An ML/AI algorithm ...
2k views

### What exactly is meant by “microstructure noise”?

I see that term tossed around a lot, in articles relating to HFT, and ultra high frequency data. It says at higher frequencies, smaller intervals, microstructure noise is very dominant. What is ...
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### Volatility pumping in practice

The fascinating thing about volatility pumping (or optimal growth portfolio, see e.g. here) is that here volatility is not the same as risk, rather it represents opportunity. Additionally it is a ...
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### What books should any quantitative portfolio manager or risk manager have as reference? [closed]

I'm interested to know what are the critical reference texts you rely on for portfolio or risk management? I mean those texts that you come back to because they are chock full of insight and know-how. ...
1k views

### Is there a standard model for market impact?

Is there a standard model for market impact? I am interested in the case of high-volume equities sold in the US, during market hours, but would be interested in any pointers.
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### One dimensional analog of cleansing a correlation matrix via random matrix theory

The general idea of cleansing a correlation matrix via random matrix theory is to compare its eigenvalues to that of a random one to see which parts of it are beyond normal randomness. These are then ...
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### Mapping symbols between tickers, Reuters RICs and Bloomberg tickers

Is there any known solution (preferably open source) to map between ticker symbols, Reuters and Bloomberg symbols. For example: Ticker: AAPL Reuters: RSF.ANY.AAPL.OQ Bloomberg: AAPL US Equity ...
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How should one correctly forward adjust historical prices given a time series of Open, High, Low, Close, Return? Suppose that the data series is given below ('1' is the oldest interval; '5' is the ...
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### Do you have historical tick data you want to donate?

Do you have historical market/pricing ticket data that you would like to donate to the Open Source Trader project (OST)?? Please: upload your files! Once we gather some data, we'll do our best to ...
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### How do strategies deal with corporate actions?

There are many corporate actions that will affect the stock price, like dividend, stock split and rights. Given a large series of historical price data, how do we adjust the data to filter out the ...
2k views

### Is there an all Java options-pricing library (preferably open source) besides jquantlib?

I am looking for an all-java implementation of black scholes, preferably open source. I found jquantlib and quantlib (C++). Any other recommendations? The jquantlib site seems to be down. I'd prefer ...
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Assume some equity traded on a given exchange based on an electronic limit open-order book $B$ that makes sequential updates as a function of time $t$. What are "natural" or common price functions $P: ... 1answer 810 views ### Is there a popular curve fitting formula of options skew vs strike price or vs Delta? I was trying to build a options trading/optimization system. But it often gets more inaccurate as it scans through the far from ATM options because, you know, options skews. That is because I did ... 5answers 1k views ### What blogs or articles online should I read to get started with quantitative finance? [closed] I want to start learning quantitative finance, what articles or blogs should I look at to start? Also see the Related Question on Quantitative Finance Books 4answers 2k views ### Are two identical time series cointegrated? I did cointegration test on two identical time series, and the result shows that they are not cointegrated, but intuitively, I think they are. Can anyone share some thoughts on this? Thanks! 2answers 1k views ### How to update an exponential moving average with missing values? Say you have an Exponential Moving Average being continuously updated over a time series using 1-second-long time periods. What should happen if there is no value for the next second, e.g. there were ... 6answers 2k 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 ... 8answers 4k views ### Is “eoddata” a good data source? Not sure if this is a relevant question for site, but I am looking to move to www.eoddata.com as my data source. If anyone has used it, can you tell me how the data quality is ? I am currently ... 1answer 4k views ### How to interpret the eigenmatrix from a Johansen cointegration test? I ran a Johansen cointegration test on 3 instruments, A B and C. The results that I got are: R<=x | Test Stat | 90% | 95% | 99% r=0 --> 36.7 | 18.9 | 21.1 | 25.8 r=1 --> ... 1answer 630 views ### So many volatility models. Any comparisons of them? Are there any papers that make an explicit contrast/comparison of the following (or other) vol models in terms of the suitability for addressing some empirical problem? Wavelet multiresolution ... 5answers 1k views ### How to interpolate gaps in a time series using closely related time series? I am trying to construct a daily time series of prices and returns for some large universe of securities. However, all I have available are a monthly time series of the prices/returns (as well as ... 2answers 816 views ### How to calculate the most realistic historical option prices with additional publicly available parameters This is a follow up question of this one. My aim is to create the most realistic historical option prices possible with publicly available data. I want to do this for backtesting purposes. The ... 4answers 899 views ### Library to solve optimization problems I'm working with C# and I start being bored writing optimization algorithm. Do you know of any free library containing this sort of algorithms. In particular I'm cutrently working with Semidefit ... 3answers 4k views ### Trading C++ Libraries Are there any free c++ libraries that would have some of the functions that would be used in developing a trading strategy. For instance, calculating drawdown, Volatility Forecasting, MAE, MFE....etc. ... 1answer 500 views ### Trade execution in HFT - role of quants What is the role of quants in trade execution in high frequency trading? AFAIR in "normal" trading trade execution is considered a very mundane task. What role can quantitative modelling play in trade ... 3answers 2k views ### How are limit orders selected from the order book? I'm sure there is a simple answer to this but I haven't had any luck with searches. I'm just wondering when someone places a market order which order(s) from the limit order book are selected to fill ... 2answers 603 views ### When should you build your own equity risk model? Commercial risk models (e.g., Barra, Axioma, Barclays, Northfield) have evolved to a very high level of sophistication. However, all of these models attempt to solve a very broad set of problems. ... 3answers 3k views ### What is Ito's lemma used for in quantitative finance? Further to my question asked here: prior post and which left some points unanswered, I have reformulated the question as follows: What is Ito's lemma used for in quantitative finance? and when is it ... 1answer 329 views ### Multi Fractals Models From a quant point of view, how would you explain Multi Fractals Models in few words ? I have the level to take these courses, but won't be able to do it next year, so I want to know what I am ... 3answers 397 views ### Data Synchronization I'm working on market trends. I have daily prices for 33 assets from different markets. I was wondering if there is a way to cancel the effects of different opening/closing times. I have been told ... 1answer 260 views ### How to value a floor when a loan is callable? Certain bank loans pay a spread above a floating-rate interest rate (typically LIBOR) subject to a floor. I would like to find the value of this floor to the investor. Assume for this example that ... 7answers 10k views ### What is the difference between Option Adjusted Spread (OAS) and Z-spread? I am preparing for the CFA level 2 exam, I got confused by the concept Z-spread and OAS. When a call option is added to a bond, since it is not favorable to the bond buyer, they would require more ... 4answers 880 views ### Central Index Key (CIK) of all traded stocks Is there a way by which I can get a list of CIK of all registered stocks at the SEC? 3answers 579 views ### What are the limits of bond portfolio immunization against interest rate changes? I'm currently reading through an article on bond portfolio immunization against changes in the interest rate. I learned that the immunization can be done against instant changes in interest rate ... 3answers 426 views ### How does Cornish-Fisher VaR (aka modified VaR) scale with time? I am thinking about the time-scaling of Cornish-Fisher VaR (see e.g. page 130 here for the formula). It involves the skewness and the excess-kurtosis of returns. The formula is clear and well ... 1answer 215 views ### What are$d_1$and$d_2\$ for Laplace?

What are the formulae for d1 & d2 using a Laplace distribution?
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### Can determinant of liquidity risk be used as a dimension or measure of liquidity risk

Can I take liquidity risk determinant as a dimension of it in order to examine the impact of liquidity risk on performance of banks? For example in a literature, Tangibility i.e., ratio of fixed ...
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### What is the difference between these two optimization procedures?

In this portfolio optimization utility (and others), mean return, standard deviation and correlation among assets are required inputs. http://finance.wharton.upenn.edu/~stambaugh/portopt.html At ...
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### 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 ...
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### Two prices pass the cointegration test but there is a trend. How to check stationarity?

Below is a spread built with two ETFs that pass the cointegration test i.e. Adjusted Dickey Fuller, adfTest(type="nc") in R's fUnitRoots with a p-value < 0.01. The red line is the trendline. What ...
237 views

### Reading recommendation on using statistical analysis in online fraud prevention [closed]

Can you please recommend good reads on statistical analysis related to online fraud detection and prevention of account abuse?
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### Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?

How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...
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### How useful is the genetic algorithm for financial market forecasting?

There is a large body of literature on the "success" of the application of evolutionary algorithms in general, and the genetic algorithm in particular, to the financial markets. However, I feel ...