# All Questions

233 views

### Can options volume have an impact on the price of the underlying asset?

Can options volume affect the underlying asset price indirectly? I know that options buying/selling does not directly affect the price of the underlying asset (rather, the asset price contributes most ...
258 views

### Calculating Theta assuming other variables remain the same

Is there any way to calculate theta at X day in future based solely on knowing 1) Total Current Option Price 2) Days Till Expiration How would this be done? Thank you
2k views

### How to combine multiple trading algorithms?

Is it possible to combine different algorithms so as to improve trading performance? In particular, I have read that social media sentiment tracking, digital signal processing and neural networks all ...
941 views

### How does Kalman filtering of beta in pairs trading model work in R?

Could anyone show how this could be done in R? The dlm package seems to be a good start, but I can't really find any good examples to learn from. Currently I have ...
43 views

### Performance of 1X0/X0 funds vs. traditional benchmarks?

Some years ago there was a proliferation of new products touting the ability of active managers to take short bets on securities: 130/30 funds, 150/50 funds, and the like. What is the empirical ...
115 views

### What are some common models for one-sided returns?

One typically models the log returns of a portfolio of equities by some unimodal, symmetric (or nearly symmetric) distribution with parameters like the mean and standard deviation estimated by ...
352 views

### Hasbrouck's information share

Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in page 12-13 of this article. page 7-8 of this article I have the vector error ...
176 views

### Can binary model lead to non-normal distribution?

If we suppose an instrument goes up or down 1 tick per $\Delta t$ (binary model), its long term distribution will be normal, per the Central Limit Theorem. However, suppose we model as follows: The ...
386 views

### What are the most common/popular exotics in the interest rate markets these days?

By "exotic" I mean anything that is not a plain vanilla swap, swaption, cap or floor. Also any IR hybrids if appropriate. Possible examples would be: CMS and CMS spread options Multi-callable swaps ...
241 views

### TA/Pattern algorithm analysis

I have been building a momentum pattern detection algo (essentially involves fitting curves in overlapping windows at different timeframes) and wanted to see if anyone has done/seen similar work. I ...
181 views

### What is a good site to download historical stock 'events' such as earnings releases? [duplicate]

Possible Duplicate: What data sources are available online? Earnings and valuation data sources online I'd like to backtest some strategies involving earnings release surprises, as well ...
167 views

### Standard Deviations out the money where options will respond to underlying asset price changes

Is there an understood way of determining how far out the money an option can be, before it starts/stops responding to the underlying asset price changes? I usually look at the greeks, gamma, delta, ...
2k views

### How can I compare distributions using only mean and standard deviation?

I only have means and standard deviations of samples of two random variables. What technique can I use to determine how similar the distributions these describe are? Assume that the values are built ...
294 views

### Enhancing Monte-Carlo convergence (crude method)

I am currently doing a project involving Monte-Carlo method. I wonder if there is papers dealing with a "learning" refinement method to enhance the MC-convergence, example : Objective : estimate of ...
2k views

### The difference between Close price and Settelment Price for future contracts

What is the difference between Close price and Settelment Price for future contracts? Is there a define rule for evaluating the settlement price or each instrument/exchange different rules applied? ...
357 views

### Correct way to calculate bond's Yield-to-Horizon

I'm creating some .Net libraries for bond pricing and verifying its correctness with a bond pricing excel spreadsheet (Bond Pricing and Yield from Chrisholm Roth) but I believe it calculates the Yield ...
272 views

### Option Portfolio Risk - Volatility/Skew - practical implementation

I'm trying to improve my methods for calculating real-time US Equity option portfolio risk. My main problem is volatility "stability" across all strikes in an option series. The current ...
160 views

### Tian third moment-matching tree with smoothing - implementation

I was wondering if someone has an implementation of the Tian third moment-matching tree (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1030143) with smoothing in code (e.g. c++, vba, c#, etc.)? ...
307 views

### How can I simulate portfolio risk (diversification) with a 'Wheel of Fortune' like investment options/returns?

Say I have 6 possible investment options with the following probability of success and the corresponding returns: ...
1k views

### Evaluating automated trading strategies: accepted practice

Both for private projects, and for clients, I've been working on code a lot this year to evaluate automated trading strategies. This often ends up turning into the task of how to fairly compare apples ...
754 views

### How to cluster stocks and construct an affinity matrix?

My goal is to find clusters of stocks. The "affinity" matrix will define the "closeness" of points. This article gives a bit more background. The ultimate purpose is to investigate the "cohesion" ...
732 views

### How significant is slippage in a successful quant fund?

On average, how much slippage (measured in lost % return potential) is typical for an operating quant fund that trades in, say, major U.S. equities?
539 views

### What skills and education are required for HFT? [closed]

I'm a university student and I'm quite interested in High Frequency Trading Algorithms. What courses should I take and what skills should I acquire so that I can work in this field? So far, I've been ...
162 views

### How often do ETF creation units baskets change?

Large institutions can swap baskets of underlying securities for ETF shares that can then be traded on an exchange as part of arbitrage between the price of the basket and the ETF share price. These ...
150 views

### how to choose a financial spread betting provider for ease of control with customers' programs [closed]

I want to use my quantitative finance programs for real world trades on financial spreads; forex, indices, stocks etc. The features presented by many providers are for the human interaction side. ...
1k views

### How are limit orders selected from the order book?

I'm sure there is a simple answer to this but I haven't had any luck with searches. I'm just wondering when someone places a market order which order(s) from the limit order book are selected to fill ...
197 views

### Where are creation units baskets for ETFs published?

Where can the specification of a creation unit basket for an ETF be found? This information is needed for calculating the arbitrage possible between the ETF instrument itself and the creation unit ...
276 views

### Probability distributions in quantitative finance [closed]

What are the most popular probability distributions in quantitative finance and what are their applications?
600 views

### How to normalize Futures data(different leverage) for cointegration test?

For example I want to construct 2 time series, one for ES and the other for NQ and test for cointegration. ES one point equal to 50$. NQ one point equal to 20$. If I have the following data: ...
568 views

### What strategy would benefit most from having the fastest connection to the exchange?

Imagine that you have the fastest connection to the exchange (receive quotes 1 ms earlier than everyone else) for both stocks and derivatives. How would you benefit from this? Of course almost any ...
141 views

### Use of Local Times in Option Pricing

I know two applications of local time in option pricing theory. First, it allows a derivation of Dupire's formula on local volatility in a neat way (i.e. without resorting to differential operator ...
2k views

### What are your opinions on WEKA KnowledgeFlow, Rapidminer, and other rapid development environments for machine learning?

Which is the most extensible? Which is the most efficient in terms of a minimal learning curve while providing a meaningful degree of flexibility and performance? Any of these tools really limited ...
2k views

### What is a medium to low frequency trading strategy and why is it less hyped?

The term high frequency trading has been used quite often recently to refer to trading using real-time tick data (or data aggregated to few seconds) and having an intra-day holding period. How are ...
151 views

### When does an ETF take out expenses?

When does an Exchange Traded Fund (ETF) take out expenses (for example 0,3% on a yearly basis)? Does it happen daily, or once yearly or according to some other scheme? Where does it take them from?
224 views

### Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR?

What is the consensus on which risk measure to use in measuring portfolio risk? I am researching what is the best risk measure to use in a portfolio construction process for a long/short option-free ...
347 views

### Fixed income modeling

I am currently working on my research paper and trying to explain a two-dimensional variable: volume and instrument of corporate debt financing. Independent variables that I believe must be included ...
800 views

### How to extrapolate implied volatility for out of the money options?

Estimation of model-free implied volatility is highly dependent upon the extrapolation procedure for non-traded options at extreme out-of-the-money points. Jiang and Tian (2007) propose that the ...
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 ...
188 views

### What procedure do leveraged ETFs use to limit losses?

I've skimmed through more than one ETF prospectus trying to find the procedure for clamping losses at the limits of an ETF, and so far, no help. Has anyone found a description of the "clamping" ...
818 views

### Which data service to buy for redistributable data?

This is a follow-up to my previous question regarding anyone whom wanted to 'donate' data. So far no one has stepped up (learning more about buying and selling data, I realize that I'm going to have ...
306 views

### Should cointegration be tested using close or adjusted close prices?

When doing cointegration tests should I use the adjusted close price or just close price for the time series? The dividend of each stock is on different dates and can cause jumps in the data.
170 views

### Are there financial instruments that make a bet on traded volume instead of price or its derivatives?

For most financial instruments we can go long or short and make a bet on the price. In the case of options we can bet on derivatives of price and other factors (e.g., interest rates). Is there an ...
1k views

### What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)?

I'm trying to wrap my head around pricing a Constant Maturity Swap (CMS). Let's imagine the following deal: 6m LIBOR in one direction, 10y swap rate in the other. The discount curve is derived from ...
894 views

### Why do some anomalies persist while others fade away?

In their 1990 book, A Non-Random Walk Down Wall Street, Andrew Lo and Craig MacKinlay document a number of persistent predictable patterns in stock prices. One of these "anomalies" is variously known ...
312 views

### How to “uncluster” a set of financial data?

I am attempting to evaluate and compare the profit factor of different "test runs" of a FOREX trading strategy. My problem is that, despite an average time between orders of 2hr+, some of these runs ...
172 views

### In a covered call strategy, should I hold the call or sell/roll if the delta becomes too small?

I am tweaking a covered call algorithm. The short leg consists of out of the money call options. The goal is to collect the tim premium, but an equally favorable circumstance is when the call ...
309 views

### Has any research used Bayesian networks to estimate risk factor betas?

Is there any published research on estimating the beta of a security with respect to one or more risk factors via Bayesian networks? I'd like to see if this is a promising angle of research.
464 views

### How to price a volatility-index option?

There exist several volatility indices, such as the CBOE Volatility Index (VIX). There are also options on such indicies. What is the best way to price a volatility-index option? Is there a simple ...