# All Questions

652 views

### Strictly local martingales: what is the intuition behind them?

A process $X_t$ is a local martingale if for each increasing sequence of stopping times $\{\tau_k,k=1,2,...\}$ the stopped process is a martingale. All true martingales are local martingales, but the ...
122 views

### Why is there onshore and offshore currency?

I hear a lot about offshore and onshore currency, but I don't understand the difference between them. What is the difference between onshore and offshore currency in a country? Besides that, why is ...
242 views

### Pricing Callable Floating Rate Note

I have a question concerning pricing of a callable floating rate note (FRN). I have not found a lot of literature concerning callable FRNs (although a lot for callable bonds). With my understanding, ...
181 views

### forward vs spot simply-compounded spot interest rate

Question about forward vs spot simply-compounded spot interest rate.Some definitions $P(a,b)$ a zero coupond price at time $a$ and maturity $b$ $L(a,b)$ simply compounded spot interest rate set at ...
167 views

### Does unit root stationary imply mean stationary and variance stationary?

Newbie question. I am reading about stationary series and understand that it has many forms: mean stationary variance stationary covariance stationary My question is does unit root stationary ...
195 views

### Ran multivariate linear regression, checked normal probability plot, residuals are not normal. What can I do?

One of the required assumptions for multiple linear regression is that residuals are normally distributed, correct? After running my regression, my normal probability plot is showing the typical ...
19 views

### How to estimate portfolio value in money as function of spread

I'm a beginer in field of quant algos, so sorry for my lame question. I'm trying to calculate portfolio value of 2 currencies in basic stat arb strategy as function of spread change. But my value in ...
82 views

### conservative approach payoff table

With the conservative approach, we choose the decision which maximises minimum payoff. I was wondering which decision is chosen if 2 decisions have equal minimum payoff (which is the maximum)? ...
78 views

832 views

### Solving Path Integral Problem in Quantitative Finance using Computer

I've asked this question here at Physics SE, but I figured that some parts would be more appropriate to ask here. So I'm rephrasing the question again. We know that for option value calculation, path ...
47 views

### Multicasting with FIX

I have a scenario in which a FIX server will send to multiple clients. I have found examples in which this is done by sending to each session round-robin fashion however, is there any facility in FIX ...
176 views

### Who holds stock overnight?

I have heard from several different sources, e.g. professors, books and traders, that daytraders and quants avoid holding positions overnight and during holidays and weekends. Instead, they sell their ...
80 views

### Anybody knows the answer to this exercise found in PWIQF?

I got this question from the last exercise of chapter 2 from "paul wilmott introduces quantitative finance" book. Appreciate your help.
507 views

### Where can I find answers to questions in the book “Paul Wilmott Introduces Quantitative Finance”?

I'm currently answering the exercises at the back of every chapter of the book "Paul Wilmott Introduces Quantitative Finance" and would like to compare my answers to the correct ones. Tried looking ...
8k 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 ...
252 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 ...
100 views

### For the Dothan model $E^Q[B(t)]=\infty$?

How can I show that for the Dothan short rate model We have $E^Q[B(t)]=\infty$ ? Where Dothan short rate model is " $dr_t=ar_tdt+\sigma r_tdW_t$ ". I appreciate any help. Thanks.
172 views

### Two correlated time series - driver and follower

Say that there are two time series of highly correlated stocks one of which is the driver and the second one follows the first one. What mathematical measure or formula would you use to identify ...
210 views

### short-sale constraint with nonpositive-definite matrix in portfolio optimization

I need help about portfolio optimization in R. I have inverted matrix and I want to use it as an input in portfolio optimization. It was non-positive definite before I have handled it. In portfolio ...
233 views

### Credit Rating or Probability of Default from Financial Ratios

Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria? Something ...
65 views

### Using central limit theorem to test whether population average return is the same, before and after the recession

This is the task I have been asked to do. I've read up on what central limit theorem (clt) is, but I feel like I'm missing something. The data I have is a matrix of monthly stock returns from 50 ...
72 views

### Can you use a t-test on bootstrapped Value at Risk (VaR) figures?

I need to compare VaR before and after the recession. I have a series of market returns for a period before, and a series of market returns for the period immediately after. Both have been ...
110 views

### Asymptotic behavior of theta of vanilla call option

It is well known that the theta of call option is always negative. Also, the theta of (at the money call option) goes to infinity as the time approaches to the maturity. On the other hands, (ITM and ...
175 views

### Bayesian or Frequentist in Finance?

I'm currently an undergrad at a Canadian university and our finance courses has been brought up through the frequentist approach (ols, hypothesis testing, sampling theory). Only recently, through ...
153 views

### Who determine Sport rate curve (Yield Curve)

My study was in a Mathematical modelling, we studied much about theory, equations, how to resolve equation, how to implement, but we don't understand well where these equations come from. My ...
546 views

### Learn backtesting using MATLAB

What are some good ressources (books, articles, ...) to learn backtesting of investment strategies using MATLAB ? It can be strategies related to fixed-income, equities, derivatives, ... whatever. ...
7k views

### What is the best data structure/implementation for representing a time series?

I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series. ...
58 views

### Estimating Number of “Day Trades” from Total Volume of Commodity Futures Contract

Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
80 views

### Arbitrage-free market for continuous logreturn distribution?

Is it true, that a one-period market say $(0,t)$ is arbitrage-free if the logreturn for $S_t$ is continuously distributed on $\mathbb{R}$? I.e., for continuous distributions on $\mathbb{R}$, there ...
227 views

### Aren't Technical Indicators calculated on Adjusted Close Price?

I would assume that day to day movement in stock can be accurately compared with the Adjusted Close Price and not simply the Close Price, taking into account Stock Splits Dividends etc. ...