# All Questions

149 views

### Measure change in a bond option problem

This is not a homework or assignment exercise. I'm trying to evaluate $\displaystyle \ \ I := E_\beta \big[\frac{1}{\beta(T_0)} K \mathbf{1}_{\{B(T_0,T_1) > K\}}\big]$, where $\beta$ is the ...
118 views

### Question on OptionMetrics: when are adjustments for discrete dividends needed?

Bakshi et. al. (1997) analyzes the empirical performance of some alternative option pricing models. I am interested to do this as well - hence applying different models - but I am unsure how to handle ...
356 views

### Calculating portfolio VaR for (custom) leveraged products

I have been searching online for a few days regarding how to calculate portfolio VaR for a portfolio consisting of leveraged products - but so far, I have not been able to come up with anything ...
752 views

### portfolio optimization from empirical return distributions

I'd like to do a portfolio optimization of a set of ETF's but want to avoid traditional problems with normality assumptions in returns etc. Are there techniques that let me sample 'draws' from the ...
432 views

### When gains are made: Overnight or during trading hours? What is the connection to volatility?

Falkenblog reports an interesting finding: All of the stock returns since 1993 are from overnight returns and cross-sectionally, volatility receives a positive overnight risk premium, a negative ...
263 views

### What is the canonical reference for Minimum Variance Portfolio's uniqueness?

I am writing a white paper in which I am trying to compare a strategy to different well-known - and classic - asset allocation optimization approaches. One of the methods I chose is the minimum ...
102 views

### Proxy for a trigonometric angle function [closed]

You can't calculate an actual/real angle with the sine function with discrete market data. I need a substitute value for inputs that require an angle value. If you're only calculating the angle ...
3k views

### What does “Inst. Own” mean on Google Finance, and how can AOL be 103% “Inst. Own”'d?

https://www.google.com/finance?q=NYSE%3AAOL&ei=yZCpUODEMsKqqgHPzQE Previously, I assumed "Inst. Owned" meant the percentage of the company's stock that was owned by the company (viz. not ...
644 views

### Why would a trader quickly flicker an order immediately preceding a tick away?

The Setup Assume the inside market is $15.15 \times 15.16$ and there is a very large bid order imbalance. For example, 30,000 shares bid across 100+ orders, 200 shares offered across 1 order; ...
601 views

### Why is random trading minus transaction costs not zero expected value?

Somebody was telling me that if you buy randomly and assuming no transaction costs in todays market place, you wont make money 50% of the time and lose 50% of the time because of adverse selection. Im ...
184 views

### Missing factor in the factor model

I am developing a factor model to predict monthly returns. One of the factors alone accounts for an R squared of 0.3 to 0.4 for many single periods that has surprised me. However, for some periods ...
1k views

### Does mean reverting imply mean stationary?

If I have a time series that exhibits mean reverting properties, does it necessarily mean that the time series is mean stationary?
3k views

### What kind of return can an average algorithmic trading firm achieve today?

What kind of rate of return can an average, equities-focused algorithmic trading firm expect to achieve today? I come from a background of control and optimization, working in the industry in China, ...
390 views

### Proof that the number of trades done (successfully) matters for whether or not a strategy was lucky

Me and a friend is trying to settle and argument in relation to the following quote by Nassim Nicholas Taleb: I don’t want to spend too much time on Buffett. George Soros has 2 million times more ...
290 views

### Why is the CAPM securities market line straight?

Let $\gamma$ be the expected return, in terms of its exponential growth rate, of the market asset. If we set $\gamma=\mu-\sigma^2/2$ as explained by the Doléans-Dade exponential, then the expected ...