2
votes
1answer
86 views

Shorting 'pump and dumps' legal?

Ive seen my junk inbox overflowing recently with a few stocks being pushed extremely heavily via unsolicited emails from a variety of 'firms', my guess is that these are done by the same individual / ...
2
votes
0answers
49 views

Isn't a perfect economic system always in debt? [closed]

Let's say in a simple world, we have 3 persons, a banker, a businessman and a worker. Then we apply the current monetary system in this economy. So for the system to get started, we need a banker to ...
5
votes
1answer
842 views

Can momentum strategies be quantitative in nature?

I have read some papers on quantitative trading strategies and it seems like strategies that focus on mean reversion or statistical arbitrage give signals that are dependent on some quantitative ...
1
vote
1answer
107 views

Non-linear Dynamical Systems and Quantitave Finance

The vast majority of what I have read about quantitave finance is to do with option pricing and time series analysis for forecasting. However the economy as a whole behaves as a dynamic system with ...
4
votes
3answers
94 views

Transaction Costs for Currency Pairs

I have been aggregating some tick data from Oanda's streaming API to try and get an idea of the relative cost and best time to trade different currency pairs. The idea was to plot the spread of the ...
1
vote
1answer
86 views

Does a delta hedged short option guarantee profit of extrinsic value at expiration?

If a trader shorts an option and dynamically delta hedges to ensure the delta is equal to 0 if that option expires out of the money does the trader profit that options extrinsic value at the time of ...
0
votes
0answers
18 views

Commodity prices on Yahoo finance [duplicate]

I tried looking for some decent way to get stock data for general commodities. I went looking on Yahoo Finance and found https://nz.finance.yahoo.com/q?p=finance.yahoo.com&s=GCN14.CMX. But this ...
1
vote
1answer
187 views

Closed form european option prices for a variance gamma process with a randomly distributed drift, volatility, and variance rate

Does an option pricing model with a closed form European option price exist that takes into account randomly distributed drift, volatility, and variance rate? I prefer a modification to the variance ...
2
votes
3answers
67 views

Inconsistent Definition of Arbitrage in Bjork?

In Tomas Bjork's Arbitrage Theory in Continuous Time (or here), $\exists$ what seems to be 2 inconsistent definitions of arbitrage: The first definition is for the single period Binomial model The ...
2
votes
2answers
232 views

Measuring historical earnings surprises, their frequency and severity

This is my first post to Quantitative Finance, so I hope my question is formatted the right way. I am starting to research the effects of earnings surprises on certain equity indices. Is there a ...
0
votes
1answer
43 views

Calculate rate of return of a stock, if there is a buy transaction occurs during the middle of financial year

Currently, I'm implementing a feature of an open source project (https://github.com/yccheok/jstock/issues/7), which requires me to calculate the rate of return of a stock. Let's take the following ...
11
votes
4answers
461 views

Quantitative Math required for Market-making?

I understand there is an awful lot of Quantitative Math required for statistical arbitrage/algorithmic trading. However, would someone "in the know" be able to tell me whether there is less ...
2
votes
2answers
84 views

The implied volatility surface and the option Greeks - to what extent is the information contained in their daily movements the same?

What is the link between option Greeks (i.e. vega, delta, gamma, theta) and implied volatility surface (IVS) movements? Could you say that their 'information content' is the same. i.e. that out of ...
0
votes
1answer
99 views

Empirical copula

I am trying to find the empirical copula linking two random variables $X$ and $Y$. I have some data available but it's limited with respect to the variable $Y$ and I am not convinced it's enough data ...
1
vote
2answers
57 views

Which is the correct definition of arbitrage?

Spin-off from here. In Tomas Bjork's Arbitrage Theory in Continuous Time (or here), $\exists$ 2 inconsistent definitions of arbitrage, which is correct? The first definition is for the single period ...
0
votes
2answers
81 views

How does logging effect Quickfix performance?

I am using .net/c++ version of quickfix. How does logging effect Quickfix performance? If I disable logging to file, can it help to increase performance of quickfix? Thanks,
0
votes
2answers
28 views

Trading days or Calendar days for Compound Annual Growth Rate?

When calculating CAGR for intervals shorter than a year (or intervals that are longer than, but not integer years in length), should you use the 252 trading days or the 365.25 calendar days? The ...
2
votes
2answers
55 views

Ability of hedge funds to transform illiquid assets

In this discussion of a Citi paper, on the impact of collateral management and rising financing costs for hedge funds, there is a quote from Sandy Kaul's statement: Sandy Kaul, head of business ...
1
vote
3answers
164 views

What are the unfair order execution/routing advantages HFT firms apparently have?

I originally thought that you have an orderbook per stock and orders would be filled on the time at which they arrive. Arrive first and you get the best price and the qty in the orderbook is reduced ...
1
vote
2answers
1k views

How to normalize stock data

Please advise how can i normalize stock prices. Recently, I've been using such formulas: Log prices = Ln(Close(t)) Close(t)-Mean (Close(t)-Mean)/(StdDev) Ln(Close(t))-Mean Is there any other ...
0
votes
1answer
43 views

Price change of a bond towards yield and YTM

I have been trying to get a good picture of PV01 and DV01(PVBP). I was going through below link. This measure is the absolute value of the change in price of a bond for a one basis point change in ...
2
votes
3answers
89 views

What is the Most Efficient Way to Calculate the Internal Rate of Return IRR?

I have built a program that prices financial assets and it does this in part by calculating the IRR. The problem is that it does not run as quickly as I would like it to. I currently use the ...
0
votes
1answer
101 views

Mysterious disappearance of options from historical datasets

I am in the process of analyzing historical options data, and I keep finding options that mysteriously disappear before they are due to expire. For example: For the QQQ $69 Put, ...
0
votes
1answer
253 views

Volatility of a rolling window strategy

What methods can be applied to determine the volatility of strategy using a rolling window? Using normal standard deviation would bias the results as the returns will be highly correlated. Although, ...
1
vote
2answers
68 views

Intuition behind interest rate models

I am modelling the 3M yield of US Treasuries using an ARMA/ GARCH approach. Most interest rate models (e.g. Vasicek) describe the process as follows: $r_{t}-r_{t-1} = some ARMA+ \epsilon_t $ ...
1
vote
2answers
145 views

Pricing an american style option on a bond future

what is the good way to pricing american option on bond future? From bonk fixed income securities 3rd by Tuckman, I understand how to pricing European option on bond future, but I still have no clue ...
0
votes
1answer
20 views

How to calculate the pre-tax cost of debt for a mix of bonds allotted to a company?

I need to calculate the effective interest rate a company X is paying on the total debt it has been loaned (to arrive at the Cost of Debt) for the FY 2011-12. Its long term borrowings are a mix of ...
0
votes
0answers
77 views

Does Implied Volatility always exist?

I am considering a simple Heston Model Market with one risky and one riskless asset. The dynamics of the riskless asset is simply $dB_t=r*B_t*dt$ The dynamics of the risky asset is as follows, $ ...
7
votes
5answers
406 views

Self-financing and Black-Scholes-Merton formula

Self-financing is an important concept in financial product replicating, normally used in pricing. I read about several ways to derive Black-Scholes-Merton (BSM) formula. Seems some approaches ...
0
votes
1answer
43 views

Free stock split history data source?

Does anyone know of a reliable (free) source of historical stock split information? There's a YQL api for pulling down 'key stats' on a symbol but it only contains the LastSplitDate. Adjusted close ...
6
votes
2answers
200 views

Replicating portfolio and risk-neutral pricing for interest rate options

For equity options, the pricing of options depends on the existence of a replicating portfolio, so you can price the option as the constituents of that replicating portfolio. However, I am not seeing ...
2
votes
0answers
79 views

Johansen-Ledoit-Sornette Model

im trying to predict crash time by using lppl model(JLS). My codes can run, but the error is to high....I try with some other initial values, but still can't reduce the error.....How i can reduce ...
0
votes
1answer
62 views

Sample size and historical correlation matrices

I was wondering whether any literatures existed on how to properly estimate correlation matrices from historical data. Obviously the entire procedures allows a lot of leeway. The frequency of ...
0
votes
2answers
70 views

How can I calculate the strike price or implied volatility from a given delta?

I have calculated the implied volatility for all strikes of a certain product (options on futures) and approximated the ATM volatility. My question is how can I figure out the implied volatility for a ...
5
votes
1answer
552 views

Back office processing for FX trades

Can someone provide (or point me to) a summary of back office processing nuances specific to FX trading? For example, I know that there are several FX-specific risks that must be managed. They include ...
9
votes
4answers
5k views

Rationale for OIS discounting for collateralized derivatives?

Can someone explain to me the rationale for why the market may be moving towards OIS discounting for fully collateralized derivatives?
8
votes
4answers
2k views

R: Fast and efficient way of running a multivariate regression across a (really) large panel (First pass of Fama MacBeth)

I am attempting to run a rolling multivariate regression (14 explanatory variables) across a panel of 5000 stocks: For each of the 5000 stocks, I run 284 regressions (by rolling over my sample ...
1
vote
2answers
93 views

Platform for Quantitative equity portfolio

What are the most popular platforms used for quantitative equity portfolio management/research? I've only used Barra so far for their factor models. Is there any specific feature or model you think ...
3
votes
1answer
49 views

Solving the Jamshidian Zhu (1997) PCA short rate model

This is my first time posting a question. I have very limited experience in the field of stochastic calculus and interest rate modelling. I have been tasked with implementing the short rate model ...
3
votes
2answers
124 views

Using Fourier Transforms for stock option pricing with stochastic interest rates

Can Fourier transforms be used to derive the joint probability density function of stochastic interest rates and stock price Brownian motions of call options under stochastic interest rates? So lets ...
2
votes
2answers
179 views

How Much Capital is Needed to Start an Arbitrage Strategy?

I'm trying to experiment with a simulated simple arbitrage strategy. I'm not doing this to actually invest, I'm just curious if the market is inefficient enough for this to be feasible. Every ...
7
votes
2answers
911 views

How to transform process to risk-neutral measure for Monte Carlo option pricing?

I am trying to price an option using the Monte Carlo method, and I have the price process simulations as an inputs. The underlying is a forward contract, so at all times the mean of the simulations is ...
5
votes
2answers
170 views

Non-negative matrix factorization for factor analysis of stocks

I stumbled over the term Non-negative matrix factorization in presentations such as Application of Machine Learning to Finance and this Big Data in Asset Management. The basic idea is to decompose a ...
1
vote
4answers
140 views

How can I calculate Value at Risk?

Is it possible calculate Value at Risk on an asset without a time horizon? What kind of variables do you need? Variables that are on the table are value, standard deviation, beta, market return, risk ...
1
vote
2answers
86 views

Joint distribution from expectations

Given two random variables $X$ and $Y$ and let $K$ be a constant value. Assume the expectation $\mathbb{E}[X(Y-K)^{+}]$ is given for all possible values of $K\geq 0$. Is there a way to derive the ...
0
votes
2answers
254 views

Trading spot volatility

I am reading a paper that very briefly talks about some volatility arbitrage strategies. It's so brief that I do not exactly understand how it works. It says one of the strategy is based on "short ...
21
votes
9answers
4k views

Recommendations for books to understand the math in quantitative finance papers?

Can anyone recommend books that explain the math used in quantitative finance academic papers?
2
votes
1answer
51 views

How to distinguish total return and absolute return funds in the KIID

I hope this question is on-topic. It is not relally a quant question but it is a question that quants in risk management in asset management firms have to answer: In the KIID (key investor ...
4
votes
5answers
501 views

What sources would you recommend for Real Time Market Data other than Bloomberg/Reuters?

I am dealing with a strategy that is not high-frequency based. The strategy consumes normalized data from Bloomberg and Reuters. For US equity market, can someone recommend some real-time data ...
1
vote
1answer
58 views

Plot Evolution of portfolio weights over time in R [closed]

Is there any function for plotting the evolution of portfolio weights over time in r?. I have a matrix of portfolio weights from an equal weighting strategy at rebalancing times and want to plot ...

15 30 50 per page