# All Questions

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How do I use FixedRateBondPriceByYield() function on maturity date that is earlier than today? I get "non tradable error" when applying on date older than today. ...
39 views

### regression analysis [closed]

"A model estimated with a large no. of observations may allow one to reject null hypothesis of zero coefficients for many explanatory variables.Thus we might choose to select a somewhat lower ...
75 views

### How we decide the target price for stock

people giving intraday target price of particular share. Most of the times the target is achieved.I am still puzzled how the target price of stock for intraday can calculated. To elaborate my query ...
97 views

### Why can't marginal CVA be used in pricing?

"Marginal CVA may be useful to breakdown a CVA for any number of netted trades into trade-level contributions that sum to the total CVA. Whilst it might not be used for pricing new transactions (due ...
74 views

### bandwith portfolio rebalancing in python

I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
25 views

### Luis Torgo - Case Study, Function creates high leverage

I am doing Luis Torgo Case study - Predicting Stock Market Returns and I have a problem when I use the function trading.simulator in the package DMwR ...
1k views

I am analyzing the volatility of financial stock returns and let's say I have a pretty good model to forecast tomorrows volatility of the stock returns. So let's say for simplicity reasons I have a ...
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682 views

### Performance of Open Source Time Series Database for Financial Market Data

We would like to store financial tick data in a database (potentially billions of rows) and then create aggregated (open-high-low-close) bar data from it (e.g. 1min or 5min bars). It was mentioned ...
45 views

### Stats and Hedge Ratio calculation questions

I did self-study and learnt some concepts to build a multiple leg spread /portfolio for trading but still confuse in some basic concepts. I will be very thankful if you can answer my couple of ...
56 views

### Why some exchanges enforce that you send the total quantity (fill qty + open qty) when changing the order size?

Is it to protect against overfills? Can anyone explain in simple terms?
66 views

### Does it make sense to calculate Fama-French betas of a single stock?

Or should Fama-French only be applied to portfolios?
1k views

### Simple value of a Forward contract at an intermediate time question

I am taking "Financial Engineering and Risk Management Part I" from Columbia University on coursera and I got a seemingly simple question wrong on the first quiz. This is all based on the no-arbitrage ...
263 views

### How to value non-libor swaps (not basis swaps)?

What discount curve should be used for a swap with a fixed leg and variable leg, where the variable leg is based on rate other than Libor (in my case 1-year deposit rate). Hull (5th edition, page 595) ...
149 views

### Where do quants get historical FOMC meetings events for backtesting?

Is there any usual/best practice to fetch historical fomc meetings events online?
4k views

### Risk Neutral Probability

I read that an option prices is the expected value of the payout under the risk neutral probability. Intuitively why is the expectation taken with respect to risk neutral as opposed to the actual ...
49 views

### Is it OK to consider the expected return is zero for stocks when calculating VaR over a short horizon?

I want to implement the approach described in the following recipe for calculating VaR: Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations I was told that I can ...

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