# All Questions

1answer
484 views

### Meta-view of different time-series similarity measures?

While I spend most of my StackExchange time on MathematicaSE, I'm in the business and follow the questions and answers on this site with great interest. Recently questions like the following (and ...
1answer
138 views

### transaction size and liquidity in simulation of US stocks

i am developing a simulation trading in US stocks. i have 1 transaction a day per stock, assumed for simplicity to be executed at the daily closing price. in order to determine a reasonable maximal ...
1answer
255 views

### T-note returns from T-note yields … derivation of Damodaran's formula

Damodaran's historical data on 10-year T-note returns (found here) uses the following formula to calculate the 1-period total return on a T-note ($R_1$) given the 10-year constant maturity ...
5answers
2k views

### portfolio optimisation with VaR (or CVaR) constraints

I would like to optimize a portfolio allocation (maximizing the exposure or the expected return), but with VaR or CVaR contraints. (some parts of my portfolio cannot exceed a certain VaR) How can I ...
1answer
445 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 ...
2answers
595 views

### How to simulate cointegrated prices

Is there any simple way to simulate cointegrated prices?
1answer
155 views

### How far back is normal to backtest an ATS ? [duplicate]

Possible Duplicate: How much data is needed to validate a short-horizon trading strategy? How far back do people usually backtest trading systems? months? years?
3answers
1k views

### How to normalize different instruments by volatility?

I'm trying to think on a way to normalize stocks to be on the same scale depending on their recent volatility. Is there some theoretical reference on the subject or and experience you can share?
2answers
975 views

### What is “high frequency quoting” or “quote spam”?

What is called "high frequency quoting" or "quote spam" in the context of high frequency trading? Why do some people consider that as a problem for the market?
2answers
484 views

### How credible is Knight pointing the finger at Rule 107C?

After the Knight Capital incident, I decided to read into the new Rule 107C that NYSE pushed-out August 1st for a one-year pilot. From what I've read, Knight claims that new code rolled out for this ...
2answers
126 views

### FpML class generation gives error

I am creating classes out of 5.1 FPML specification but I get following error. ...
2answers
543 views

### Implications of the Riemann hypothesis in finance?

I was recently at a seminar by a top hedge fund manager at a top university for finance students, when one of the finance professors asked him what do you think are important areas of research for my ...
1answer
119 views

### Analyzing an incomplete set of trades

Say I have access to logs of all trades executed on an ECN with the price maker and taker named. These traders are only executing some of their flow on this ECN (anywhere from 5%-80% of their ...
0answers
166 views

### is there any quantitative index to describe the strength of 'trend' ？ [closed]

i am using trend following strategy in stock market. If you look at the price chart, you can tell one stock's trend is stronger than the other. Now i want to develop an index to calculate the ...
1answer
123 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 ...
1answer
197 views

### Why does the price of a derivative not depend on the derivative with which you hedge volatility risk?

I'm trying to derive the valuation equation under a general stochastic volatility model. What one can read in the literature is the following reasoning: One considers a replicating self-financing ...
0answers
1k views

### Backtest pair trade strategy in R

I am looking for some tips on how to run a simple backtest on a pairtrading strategy intraday using eg. 30minute bars. I have calculated the spread, ...
1answer
239 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, ...
0answers
129 views

### Looking for FpML best practices

We want start using FpML within our organisation; where message will be sent using FpML. What are best practices to do this ? If anyone who have used Tools as well as; i want to use FpML for ...
6answers
5k 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 ...
1answer
266 views

### Should I use SSAS to store Tick and bar data?

I have been looking for a low cost solution to effectively store and query tick and bar data. Databases like kdb+ and Streambase are too expensive for me. Building a custom solution with SSAS (Sql ...
3answers
1k views

### How much capital do I need to create a competitive automated trading strategy?

I'm a relatively small investor, and I'm interested in building my own fully-automated quantitative trading strategy. I also read about dark pools, and how difficult it is to get good prices on ...
1answer
360 views

### Interpreting QuantLlib implied volatility numbers

I am using QuantLib to calculate implied volatilities. I am trying to understand the calculated figures (especially, when compared to historical volatility). The calculated implied volatility numbers ...
1answer
259 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 ...
1answer
434 views

### Implied forward rates puzzle

Here's an interesting cocktail puzzle related to the term structure of interest rates. One of the primary competing theories for explaining the term structure of rates is the Rational Exepctations ...
0answers
137 views

### Is it more accurate to analyze returns on a calendar day basis than a trading day basis?

I'm rather new to the actual practice of this kind of analysis, but it just seems wrong to me to throw Mondays' returns in with the rest without accounting for the passage of time on the weekend when ...
1answer
324 views

### Market making in thinly traded assets

Could anyone suggest some literature or have any practical advice for marking a market in thinly traded assets with the following characteristics: 0-10 trades per day. Open limit-order book with 0-5 ...
1answer
478 views

### Science behind options pricing into Earnings event

I am wondering about studies regarding the uncanny options pricing into public company's earnings reports. The phenomenon being that the price of a straddle before earnings costs near exactly the ...
3answers
313 views

### What is an acceptable error on implied volatility?

Given an implied volatility surface (on equity indexes) and a calibrated model, what is the range of error on implied volatility a trader would accept ? This obviously depends on the model used to ...
3answers
417 views

### How to properly interpret accrued interest of bonds

Ever since I work in finance I was wondering what accrued interest (AI) are good for (see the wikipedia article for a short introduction). I think I have a clear picture in mind now and the usual ...
0answers
38 views

### Inferring Returns From Minimal Data Points [duplicate]

Possible Duplicate: How much data is needed to validate a short-horizon trading strategy? Suppose I have daily returns for a trading strategy against one month of data. Before starting ...
0answers
773 views

### Volatility-Based Envelopes

I am following an article by Mohamed Elsaiid (MFTA) about Volatility-Based Envelopes - a quite new technical indicator he has introduced, that is being used by Bloomberg. My goal is to get a simple ...
2answers
620 views

### Reference request: Survey article on GPU in Finance

I would like to get and idea of how people use GPUs in finance. I can find some specific papers or books on the subject. GPUs in binomial model, finite difference, monte carlo,... But I couldn't ...
1answer
356 views

### How does one measure the effect of latency on potential returns?

I am looking to evaluate the hypothetical advantage one trading system has over another in terms of the possible returns given their latency. Irene Aldridge wrote a piece (How Profitable Are ...
1answer
182 views

### inflation > interest rate? [closed]

Currently, the federal reserve interest rate is 0-0.25%, and the inflation is 2-3%. Does this contradict the no-arbitrage principle? (The arbitrage being: borrow money at 0.25% and invest it in the ...
1answer
346 views

### What distribution should I apply to estimate the likelihood of extreme returns?

Say I have a limited sample, a month of daily returns, and I want to estimate the 99.5th percentile of the distribution of absolute daily returns. Because the estimate will require extrapolation, I ...
1answer
507 views

### How to compute portfolio weights from multivariate regression results?

Assuming that I performed a multivariate regression and I found a set of $k$ coefficients $\alpha_1, ..., \alpha_k$ for each of the factors $F_1, ... F_k$. I have then computed the following ...
0answers
88 views

### Option symbol conversion [closed]

Maybe more of a programming question, Is there a Ruby gem to facilitate conversion of an option symbol notation from one form to another? For example, one source provides TZA1220J18 but an API for ...
1answer
336 views

### What is a standard credit default swap contract and where can I find spread data? What alternatives exist to judge creditworthiness?

I'm doing some work for a company and one of my tasks is to research credit default swaps on banks and to write a page about them explaining what they are and how they're used to evaluate the banks' ...
1answer
339 views

### Use of AI in portfolio optimization

A new Danish hedge fund has received quite a large amount of attention in the last month or so. They are launching a new investment fund that uses proprietary AI to select stocks to invest in. They ...
0answers
277 views

### What is the use of the Euler equation in the Ramsey growth model?

I apologise for being brief, but I don't understand how is Euler equation used in the Ramsey growth model. I am reading a textbook "Dynamic General Equilibrium Modeling" and there is mentioned about ...
2answers
274 views

### Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern?

What is the relationship between the axioms of Artzner et al (1999) for coherent risk measures and the axioms of von Neumann-Morgenstern (1944) for the expected utility theory?
0answers
176 views

### Pricing with collateral

I have been confused about many things concerning the princing of securities with collateral. We can prove that today's price of a security( fully collateralized and within the same currency) is the ...
1answer
311 views

### Is Arithmetic Return Bias Basis of Low Vol Anomaly?

An observation in capital markets is that the connection between return and risk (measured as volatility) is not that straightforward (at least not as modern portfolio theory assumes). One interesting ...
0answers
124 views

### Arbitrage free price of a derivative when the price is collected over the lifetime of the derivative

Let $X_t$ be an american style financial derivative with random exercise time $T$ where $t$ and $T$ belongs to some finite set $A$. Buying this derivative requires the buyer to pay $p_t$ up to time ...
1answer
590 views

### Risk-Parity Portfolio Optimization using Extreme Optimization in C#

I'm trying to create a risk-parity portfolio in C# using the Extreme Optimization routines. I'm mostly trying them out to see if I like them or not before I buy them (I'm a student so money is ...
1answer
1k views

### Multilayer Perceptron (Neural Network) for Time Series Prediction

I have it in mind to build a Multilayer Perceptron for predicting financial time series. I understand the algorithm concepts (linear combiner, activation function, etc). But while trying to build the ...
4answers
698 views

### What commercial financial libraries are available to outsource implementation risk?

During our daily jobs as quants, we tend to be willing to develop all the quantitative libraries ourselves. While I know that we need to develop specific algorithms which are the foundations of our ...
1answer
1k views

### Equivalency of FX forwards and FX basis swaps for risk-management purposes

Can one deem an FX float-to-float swap and a FX forward equivalent on dates immediately after repricing? The reason I am asking, I am hedging something that can be modeled via an FX forward, I was ...
1answer
324 views

### With there being such a high demand for electronic trading or just trading in general why are market hours so limited?

I am curious why a lot of market hours are something like 9 to 3 or 9 to 4 pm when there is such demand and so many prop shops and more out there. I know certain markets are continuous trading but a ...

15 30 50 per page