# All Questions

427 views

### Calculating arbitrage- S&P 500 stocks vs S&P 500 Index future?

How exactly would I go about investigating whether the S&P 500 stocks were currently over-valued compared with the price of the S&P 500 Index futures contract? Is it just a case of taking each ...
268 views

### Is this methodology to calculate Alpha using multi-factor regression model correct?

I am trying to find out Historical Alphas of a bunch of fund returns ${F_i}$ by Using Regression Model$(stepwise)$ with regressors as its underlying exposure-returns(risk-free rate subtracted) i.e. ...
107 views

Is there a quant model that can help estimate how much slippage one would have to give up in order to get an "option spread" (vertical, butterflies, etc.) order executed? What factors should one look ...
204 views

### Time series analysis on illiquid price data?

Say for example I have the following company in some specialized industry: A - Company that is about to be listed in Exchange 1, i.e., no price history B - Company that produce similar products as ...
504 views

### Fitting a GARCH BEKK model

I am trying to find whether there is significant volatility transmission between two price series (t=1000). A literature review learned me that the GARCH BEKK model is suitable for this. The SAS ...
385 views

### Are there any other standard rates term structure decomposition than PCA?

PCA is sometimes used to estimate components in the rates term structure. Are there any other standard method discussed in the literature or used in practice, what are their advantages and ...
64 views

### Input for unanticipated risk premium estimation

In the paper "Economic Forces and the Stock Market" by Chen, Roll and Ross, unanticipated risk premium (URP) is tested as a potential risk factor for stock returns. This factor is commonly calculated ...
64 views

### How to choose a window for curve fitting and prediction?

I am using Pareto distribution to fit a serie of survival rates (with least square). My ultimate goal is to use this fitting curve for prediction. Thus I would mainly focus on the tail of the ...
470 views

### Testing the validity of a factor model for stock returns

Consider the following m regression equation system: $$r^i = X^i \beta^i + \epsilon^i \;\;\; \text{for} \;i=1,2,3,..,n$$ where $r^i$ is a $(T\times 1)$ vector of the T observations of the dependent ...
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72 views

### Increasing Market Depth

Are there any sure-fire ways to increase market-depth that people have experience with? Has much research been done/published on this subject?
141 views

### Example code for “Gauge Invariance, Geometry and Arbitrage” paper

This paper describes an algorithm for computing arbitrage opportunites using a gauge connetion. Has anyone written a python program or C++ or C# program that shows how to follow the steps outlines in ...
59 views

### Inferring the maximum drawdown depth for a different sample size

Let's say there's a trading system that has a 10 % chance of getting a maximum drawdown >= 50 % over a sample of ...
166 views

### reinsurance pricing equivalent to option pricing

Is it true that pricing a reinsurance contact is equivalent to pricing an option. Basically a reinsurance just cuts off the risk exposure of the insured institution to a threshold say $K$. So if we ...
199 views

### Has there been success in applying Mandelbrot's ideas to financial markets?

More specifically, I am looking for recent research papers that have harnessed Mandelbrot's ideas too successfully predict asset prices. I have read many papers about wavelets, and I would like to ...
127 views

### Portfolio optimization with absolute position constraints

I'm looking to optimize a portfolio maximizing expected return for a particular risk budget, but with absolute constraints on the individual instrument positions. I've been experimenting with QP, ...
250 views

### Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function

Consider the RQuantLib package function FloatingRateBond(). This takes as inputs gearings ...