# All Questions

0answers
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### How to optimize an arbitrage portfolio when taking into account different speeds of mean reversion?

In portfolio optimization, it is insufficient to just note the size of price deviation - that only tells the amount of profit if held to maturity. One also needs to take into account reversion speed - ...
0answers
33 views

### Is this an arbitrage opportunity? [closed]

The 6 months risk free rate is $0.0809\%$ the 12 month rate is $0.1415%$ today. The forward rate for 6 months in 6 months is $0.0913\%$ Is there an arbitrage opportunity?
0answers
79 views

### Optimal approach for finding a profitable trading strategy to automate? [closed]

I am currently searching for an optimal approach for finding profitable forex trading strategies to automate. Currently, I just try to combine various indicators and build an automated trading system ...
1answer
36 views

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What does ... 0answers 30 views ### Quantitative Business Cycle Investing Is there a major article or even better a comprehensive recent review article showing quantitative evidence for the existence of the business cycle and measuring the trending and mean reversion on ... 0answers 37 views ### Literature to Learn about Different Instruments What is a good source of literature to learn about the specifics of various instruments that are traded? For example, suppose I wanted to know more about MBS's, i.e. how exactly they are securitized, ... 3answers 188 views ### Portfolio construction in reality? There are various models for portfolio selection in literature, like, Harry Markowitz (HM) model ( Mean-Variance Model) [well known model] Konno and Yamazaki (1991) model: minimizes the sum of ... 2answers 137 views ### Is there any template of hull white one-factor calibration model? Recently I would like to look for excel template of hull white one-factor calibration model using swaption data for my urgent task? However, it seems that I cannot find suitable one in the web. ... 1answer 57 views ### Simulations of (standard, one-dimensional) Brownian motion Consider the following two proposed simulations of paths of standard, one-dimensional Brownian motion between time 0 and time 1. Normal Increments Roll out a large sequence of, say M, ... 0answers 157 views ### Hedging cross gamma I understand how to hedge delta and gamma risk. Could someone explain to me how cross gamma hedging is done by the trading desk. In particular I am interested in hedging for interest rate exotics. So ... 0answers 119 views ### What is the best open source automated trading platform or options? I would like a custom C++ Automated Trading Platform for Futures like Multicharts, or similar automated trading platform that I can put on my servers so its secure and fast. I have found this so far, ... 0answers 24 views ### FX Implied Volatility for Longer Term Maturities To my knowledge, FX implied volatility can only be obtained from the market for time horizons up to about 5 years due to liquidity limitations. So how would we obtain volatility estimates for longer ... 1answer 225 views ### Find call and put volatilities using ATM, Risk reversal and Butterflies volatilities I have to plot the implied volatility surface for EUR/USD. So, my goal is to produce something like that, from put delta 10 to call delta 10: Searching for informations, I found that I could find ... 1answer 95 views ### limitation of contango and backwardation What do you think would be the theoretic limit for a contango? What about backwardation? this was asked in a interview, still not so sure about the answer. 0answers 57 views ### Valuation Method for CASH in S.06.02 QRTs Extract from the latest spec for C0150 (Valuation Method) of S.06.02: Identify the valuation method used when valuing assets. One of the options in the following closed list shall be used: ... 1answer 53 views ### Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model? Trying to imply Black76 (where the forward swap rate is log-normal) volatilities as Bloomberg does in their VCUB screen we see holes at two regions: at short maturities due to negative rates which ... 0answers 20 views ### Do you know any CFD broker with super cheap stock CFD that pays out dividends? Do you think, it would be possible to buy stock prior its dividend date at some very cheap CFD broker, then wait 1 day, get dividend compensation credited and then sell the CFD back and end up in ... 0answers 63 views ### Interest Rate Risk - The Greeks IR Delta and Gamma. Can someone please explain if my understanding is accurate as relates to a 2yr interest rate swap? You are considered to be long Delta in an interest rate swap if you are ... 1answer 115 views ### Are there any opensource C# libraries for calculating bond duration and other FI Analytics? I'm doing some Fixed Income analytics work and wanted to know if there where any opensource C# libraries that I could use in order to avoid writing functions for generic calculations like YTM and ... 0answers 57 views ### How to find or calculate 30-day constant maturity price of a future? Question, pretty much says it. Is there a reliable place where this data can be found or, if not, is there a reliable place where the underlying data needed to calculate the constant maturity price ... 2answers 64 views ### How to price jumps in payoffs I specifically want to know how to model a jump condition while valuing a derivative.Example :- the jumps which are observed in digital product payoffs, or barriers and knockouts. Although a ... 4answers 276 views ### How would you try to predict the future behaviour of a stock price? How does one answer this potential interview question? It's not a very clear question since there are clearly many factors. My first guess would be to talk about looking at the expected (mean) return ... 0answers 17 views ### Relative merits of Adjusted versus Closing prices for market predictions Basic question I am familiar with the data returned from Yahoo. For indices and the like (e.g. ETFs) there are seven columns of data: Date, Open, High, Low, Close, Volume, Adjusted. We only need ... 1answer 39 views ### construct portfolio offering risk free profit Have trouble understanding this question, seems quite open ended. Assume that S(0) is the current rate of exchange for foreign currency. Assume that and K_n and K_f are rates of return on home ... 3answers 220 views ### Which features to include in an algorithmic trading dashboard? I have been hacking around with algorithmic trading as a hobby project to build my data analysis skills, coding skills, and learn more about financial markets. As part of this project I am interested ... 4answers 126 views ### Stochastic process with non-independent increments All stochastic process I see always have independent increments. It is true for: standard brownian motion geometric brownian motion (?) Ornstein Uhlenbeck (?) in general, Levy process etc. What ... 2answers 171 views ### Fama-Macbeth second step confusion I am confused on how to run the second step of the Fama Macbeth (1973) two step procedure. I have monthly stock returns and monthly Fama-French factors, for around 10,000 stocks. This creates an ... 1answer 58 views ### CML, SML and Pricing hi i have a confusion about what conclusion I can draw regarding the pricing from the Capital market line and security market line. As far as I know, if an asset that is lying below the SML is ... 0answers 44 views ### Enron - RhythmsNet hedge I am reading "Power Failure: The Inside Story of The Collapse of Enron" By Mimi Swartz, Sherron Watkins. In the book, the following transaction is described: Enron had USD200mn worth of futures on ... 0answers 74 views ### Greeks of a Basket Option I want to estimate delta, vega and gamma for a basket option. This option is a European Call option. The underlying is S=\omega_1 S_1 +\omega_2 S_2 Where: S1 = stock price of asset 1 S2 = ... 2answers 100 views ### Is complete market or not if appreciation rate is random? Consider the stock price process satisfies the following SDE: dS_t=\mu_t S_tdt + \sigma S_t dW_t , S_0=s  and the appreciation rate process \mu_t satisfies the following SDE: d\mu_t=(a-\mu_t)... 0answers 22 views ### Guidance on machine learning approach to improve interpolation [duplicate] I am thinking about doing a project on improving the accuracy of some stock signals. The signals are fundamentally derived scores on a per stock basis. They are updated on a weekly or monthly ... 2answers 69 views ### Intraday Volatility over multiple timezones I'm in the Europe/Berlin Timezone and I need to calculate a global volatility indication Monday to Friday at 12:00. My portfolio can somewhat accurately represented by 60/30/10 S&P500, ... 1answer 55 views ### Modeling transaction cost with single-counted turnover ratio Why do people use "Single-Counted" turnover ratio when modeling for transaction cost. I read a paper (Factor Investing in the Corporate Bond Market) which uses only the purchase side as turnover ... 0answers 28 views ### Risky securities combining with risky free security problem So the question asks : (1a) Given risk/standard deviation ˜σ = 1.5, ﬁnd the corresponding expected return ˜µ on the eﬃcient frontier. (2a) In addtion to the three risky securities therein, assume ... 0answers 55 views ### Mean- variance portfolio problem So the question asks: Consider three uncorrelated stocks in the market. Each stock has variance 1. The expected returns are given by 2, 3  and  5 respectively. Find the optimal mean-variance ... 1answer 35 views ### CRSP common stock only How can I download exchange data for only common stocks (excl mutual funds, ETF, etc) on the NYSE, NASDAQ, and AMEX? I can't find a list of tickers or anything. Does anyone know a method? And does ... 3answers 123 views ### What is the fastest tick-to-trade possible time without FPGAs? I am writing a blackbox model that will react to each market data update (tick) by placing a new order in the market. Without using FPGA, what is the fastest tick-to-trade time that I can expect to ... 1answer 80 views ### Coupon bond pricing problem with reinvestment The three year bond has face value USD 100, and pays USD 5 coupons annually, the last one at maturity. Assume that the continuously compounding rate is 7%. (a) Find the price of this bond. (b) ... 1answer 28 views ### Compute the risk measured by the standard deviations \sigma K_1, \sigma K_2, \sigma K_3, does this have to do with weights? Compute the risk measured by the standard deviations \sigma K_1, \sigma K_2, \sigma K_3 for each of the investment projects, where the returns K_1, K_2, and K_3 depend on the market scenario:$$...

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