# All Questions

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### Can one use options on Treasury futures to hedge a portfolio?

Can one use options on Treasury bond futures to hedge a typical fixed income portfolio? If so, how can one estimate the duration for an option on a Treasury futures contract, and taking this a step ...
384 views

### Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?

Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia on a security-by-security basis with a medium term horizon (say 3 month to 12 months horizon)? ...
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### using quantlib function in my c++ program

I want to include the QuantLib function for option greeks calculations in my own C++ code. My question is: can I just include those functions? I don't want to use the rest of their stuff. I obviously ...
337 views

### Should the average investor hold commodities as part of a broadly diversified portfolio?

Many mutual funds sell "asset allocation" products which include appropriately sized investments in a variety of asset classes meant for a prototypical investor. Some of these, such as PIMCO, even ...
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### Techniques for forecasting short-frame data?

I'm having a problem in which a time series of 24 data points is given to forecast the next 12 data points. This 24 data points might be sparse (many are missing). Do you have any suggestion on what ...
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How can I compute the predicted return from a linear regression that includes a number of different terms. For instance, suppose my equation is: $r_{future} = \alpha + \beta_1 r_{history} + \beta_2 ... 12answers 23k views ### Why is C++ still a very popular language in quantitative finance? [closed] I had to ask this question after reading the answers to What programming languages are most commonly used in quantitative finance? I understand that C++ programs can be optimized pretty well and are ... 2answers 453 views ### What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization? Is there any relationship between the risk aversion coefficient in an individual's utility function (commonly used in portfolio optimization) and the preference for higher moments such as skewness and ... 2answers 312 views ### The T+H Problem in Factor model forecasts Suppose we train on M individuals consisting of T observations (i.e. TxM design matrix). The dependent variable is one-year return for each security (H = horizon of one year). In a factor model ... 4answers 955 views ### What kind of specialized hardware is used in trading? What kind of computer hardware, in additional to the 'conventional' fare, is actually used in trading? And what languages is it typically programmed in? I'm interested in ASICs, FPGAs, that sort of ... 2answers 547 views ### How to calculate optimal standard deviation bands for trading? I am trading with standard deviation bands (6 bands) on de-trended data. How can I find the most profitable signals with neural network or GA with standard deviation bands? Should I first find the ... 2answers 169 views ### How well does CAPM beta track the risk of a particular market relative to world markets? Can the CAPM beta of emerging markets be less than the beta of the developed markets? As part of my research, I run regressions using market indices. I estimate the beta using a regression of MSCI ... 1answer 151 views ### Do bond credit ratings suffer from “ratings inflation”? A friend of mine who studies game theory suggested that credit ratings from the bond ratings agencies, such as Moody's, S&P, and Fitch, may suffer from a sort of "ratings inflation" similar to the ... 0answers 392 views ### signal processing + finance? [closed] I am a postgrad student doing a master in Signal Processing and I have graduated from an engineering school I was wondering if there are any jobs in finance that are opened to people having this kind ... 5answers 2k views ### References for developing an automated trading system? I am looking for references on the architecture of automated trading systems and the trading algorithms behind them. I am more interested in system development than analysis. A couple of books I ... 1answer 829 views ### Is QuantLib more trouble than it's worth? I'm just starting to work with QuantLib and wonder if I'm going down a very wrong path. I'm working on a site that presents the visitor with a table of streamed real-time options data, including ... 1answer 276 views ### Is there any gamma in basis (i.e., floating for floating) interest rates swaps? It is well known that vanilla fixed for floating swaps usually have a bit of gamma, but does a floating for floating (basis) swap have any? For the sake of simplicity, let's assume that both legs of ... 5answers 2k views ### Proof that you cannot beat a random walk There is much speculation to what degree financial series are random (and what kind of randomness prevails). I want to turn the question on its head and ask: Is there a mathematical proof that ... 2answers 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 ... 2answers 809 views ### Why does this Co-integrated basket look too good to be true? You need quantmod & tseries in R to run this: ... 1answer 259 views ### Which valuation measures are most useful for equity market timing? Competing academic studies, such as Asness's Fight the Fed Model and Lee, Myers, and Swaminathan's What is the Intrinsic Value of the Dow, offer differing answers to the question of whether equity ... 3answers 1k views ### What programming language is best suited for implementing DeMark? Jason Perl's book DeMark Indicators details rules for calculating signals developed by Thomas DeMark. These rules are not complex in themselves, but there is no dirth of ... 1answer 2k views ### How to get a list of stocks symbol of a specific exchange? [duplicate] Possible Duplicate: Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX? Is it possible to download a list of stocks that belong to a specific exchange (e.g. NASDAQ, ... 1answer 3k views ### What is a Heat Rate Option? I tried a search with google but I can't find a clear definition of what a Heat Rate Option is. I would appreciate if someone could explain to me what this type of option is. My understanding is that ... 4answers 2k views ### Why do high frequency traders use rapidly cancelled limit orders? In reading about the various practices and strategies of high frequency traders, one of the most mysterious to me is "fleeting orders," or orders that are cancelled almost immediately after they are ... 3answers 843 views ### How to generate synthetic FX data for backtesting? I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this: Start with a curve representing a trend, then randomly ... 6answers 2k views ### Is there a quantitative finance ranking system for universities? I am a PhD student in stochastic analysis/control and had a MSc degree in Financial Mathematics. I am interested in determining there is a quantitative finance ranking system for universities like ... 1answer 362 views ### Why write options on a volatility target index? There seems to be increasing interest in risk controlled products such as volatility target indices and derivatives products on these underlyings. From a risk management perspective what are the ... 1answer 208 views ### What is the net premium of a bull spread option? [closed] Suppose we have the following information for the index$S$: current price =$ \$1000$ risk free rate $4 \%$ convertible semiannualy What is the net premium to create a $\$ 1000- \$1050$ bull ...
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We know that $$C-P = PV(F_{0,T}-K)$$ When we create a synthetic forward, we buy call and sell a put at the same strike price $K$. When we buy the call why do we assume the premium is positive? When ...
1k views

### How many explanatory variables is too many?

When researching any sort of predictive model, whether using ordinary linear regression or more sophisticated methods such as neural networks or classification and regression trees, there seems to ...
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### Has high frequency trading (HFT) been a net benefit or cost to society?

Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
1k views

### How to get list of all CUSIPS/ISIN?

I want a list of all CUSIPs/ISINs. It would be nice if they were also categorized (e.g. Bonds/Funds etc). Where can I get such a data?
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### How did bans on short-selling affect the derivatives markets?

Due to the ongoing turmoil in the financial markets a short-selling ban is being considered (again, one has to say, but this time in Europe): ...
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### What is the basis risk between cash and futures government bonds?

I am currently working in a team responsible for maintaining a simple risk application for our bond desk and I am interested in knowing how to provide some sort of basic basis risk metric. Our desk ...
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I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in ...
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### How Would You Categorize A Cap or Spread On A Monthly Sum Option?

I'm just trying to determine the appropriate naming convention for a category that holds cap or spread, or in other words, what category can I put cap and spread (in this context) into? Are they ...
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### How to reconstruct a discontinued economic time series such as the Fed's CP rate?

The old 3-Month Commercial Paper Rate (CP3M) on FRED was discontinued in 1997. I would like to reconstruct this series in a reasonable fashion, so I can use it to analyze more recent events. I was ...
261 views

### Rolling GARCH and higher moments

I m recently doing my dissertation and faced with problem in estimation basic rolling GARCh (1,1) process. I have 2500 observation and need to forecast 1 day ahead volatility in rolling form. I will ...
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### How is mean reversion implied by different valuations of Bermudan swaptions?

Someone told me that mean reversion can be implied by the different valuations of bermudan swaptions when using different methods for volatility calibration. Does anyone know what this means?
2k views

### What are the best sources for equity quantitative research?

What are the best sources of quantitative finance research in equities? I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online: BAC-Merrill ...
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### Should I use currency hedged or unhedged returns for a global equity allocation model?

I am building a global tactical equity allocation model. The model will help determine an optimal allocation amongst a number of major developed and emerging stock markets (represented for my purposes ...
510 views

### Closed-form formula for approximate maximum duration of a bond?

In teaching myself about bonds, I am writing some software, one piece of which will calculate the maturity of a bond given the yield curve as a function and a requested duration. The tricky part is ...
2k views

### How to derive the implied probability distribution from B-S volatilities?

The general problem I have is visualization of the implied distribution of returns of a currency pair. I usually use QQplots for historical returns, so for example versus the normal distribution: ...
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### How do I replicate John Hussman's recession forecasting methodology?

John Hussman has a recession forecasting methodology he often posts about on his blog, and I am trying to replicate it using publicly available data. I would like to assess his accuracy in predicting ...
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### Can risk aversion indicators anticipate ﬁnancial crises? Research and/or strategies

In reference to this paper: Can risk aversion indicators anticipate ﬁnancial crises? and the investable UBS Risk Adjusted Dynamic Alpha Strategy: ...
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### How can I estimate the degrees of freedom for a Student's T distribution?

I am doing research estimating the value at risk for non-normally distributed assets. I need help in the process of estimating the parameters of Student's t distribution and which method to use. I ...
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### What exactly is the annualized forward premium?

A forward contract has a premium of $0$ because it is an obligation to buy or sell something in the future (hence there is more risk). Call and put options, on the other hand, have premiums of $C$ ...