# All Questions

273 views

### Is it common to use multiple brokers for risk reduction?

Would it be considered appropriate risk-management or overkill to utilize multiple brokers to manage a given trading strategy? A couple specifics: I'm interested in what a reasonably-sized hedge ...
512 views

### Quantitative Derivatives Trading vs. Time

Most quantitative investment strategies focus on the changing prices of a commodity or equity over time. Derivatives, however, make this more complicated. How can I apply quantitative strategies to ...
936 views

### Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY)

I feel like I'm missing something fundamental here, but I can't shake the feeling that these two series should be equivalent. /edit: there is also dailyReturn(Cl(SPY)). I've seen all 3 of these ...
713 views

The algorithm is introduced in the paper, Can We Learn to Beat the Best Stock. The obvious advantage is superior risk-adjusted returns (if you can actually achieve them). Transaction costs and ...
3k views

### How do I calculate the delta of a convertible bond?

How can I find the delta of a convertible bond to be used for hedging?
1k views

### How to incorporate technical indicators into neural networks?

I plan to develop a neural network to trade commodities futures, but while messing around with some code, a question came up. If I understand correctly, people use various technical indicators with ...
1k views

### When should we use SWIFT versus FIX?

I've read documents that claim that SWIFT and FIX are not competing protocols for financial transactions and messaging. And yet, I have not come across a clear articulation of when to use SWIFT versus ...
200 views

### how does rise of china interest rate affect the inflation ? [closed]

I heard not long ago that because of inflation rising up in China, the China Bank will rise its interest rate of 0.25%. I am quite new to the financial world and do not really understand how this is ...
2k views

Using total return calculations is critical in developing security selection models. The standard way to measure total return is to develop a series of price-adjusted data. Investopedia describes the ...
3k views

### Free market data (delayed or snapshot)

I know there are similar questions but I don't think there are any identical ones. Basically, I'm looking for one of these two things. Delayed market data feed. A tick by tick feed, but delayed by ...
5k views

### How are correlation and cointegration related?

In what ways (and under what circumstances) are correlation and cointegration related, if at all? One difference is that one usually thinks of correlation in terms of returns and cointegration in ...
262 views

I have a trading system I would like to test for the S&P 500, or another very similar instrument. I'm looking to make approximately 10-15 trades per month. I know if you have a Vanguard account, ...
2k views

### Equity Risk Model Using PCA

I'm trying to build a simple risk model for stocks using PCA. I've noticed that when my dimensions are larger than the number of observations (for example 1000 stocks but only 250 days of returns), ...
405 views

### When is the LIBOR market model Markovian?

The question is inspired by a short passage on the LMM in Mark Joshi's book. The LMM cannot be truly Markovian in the underlying Brownian motions due to the presence of state-dependent drifts. ...
666 views

### Simulating Returns

I'll start this off with a rather broad question: I am trying to simulate returns of a large number of assets within a portfolio of different classes - equity and fixed income in a first step, say 100 ...