# All Questions

70 views

### How to learn finance? [closed]

I have a background in programming of about 6 years. Now I decided to learn finance and trading as well. How can I get my foot in the door in that area?
223 views

75 views

### Inflation/Rates Correlation

I've been looking into a short piece of maths a colleague has written on pricing inflation with payment delays, and was hoping someone could confirm whether my understanding is correct, or if my ...
676 views

### Statistical arbitrage using eigen portfolios

I was trying to understand below paper https://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdf Page 20 explains about "Entering a trade". I wan't to know clearly what it means to ...
68 views

### PerformanceAnalytics and Annual Charting

I have seen a charts that look's like Is it possible to do something like this with PerformanceAnalytics or is there any other package for doing this? Thanks in advance
285 views

### What machine learning method is more suitable for prediction of financial time series? [closed]

I have some time series from a stock exchange market. For each of them, I want to answer the question that whether the price will grow at least p percent in the d coming days or NOT(and during these ...
424 views

### What is the formula for beta weighted delta and gamma?

I am trying to calculate the beta weighted delta and gamma for a portfolio of options of different underlying stocks, but I can't seem to find the correct formula. Can someone point me to it or a ...
230 views

### What is the name of this product?

Consider the payoff =$S_T1_{S_T>K}$ where $S_T$ is the asset price at maturity. What is this type derivative called? and is it a liquid option?
344 views

### What would be considered a good/competitive throughput for a FIX engine?

I am writing my own FIX engine and I am in the process of running some benchmarks. I am not sure whether my results are good or bad. Can someone with experience in the area provide me with some ...
1k views

### Where can I find a list of VaR and CVaR formulas for continuous distributions?

Where can I find more VaR and CVaR formulas for continuous distributions? I collected a list here:
95 views

### Weighting with restrictions, but no clear objective function?

I have 40 shares in an index and I want to weight them based on their market value, define the known value as $x_i$ In the traditional way, the weight of each share is calculated as: \$w_i = x_i / \...
10k views

### Relationship between Beta and Standard Deviation

I was doing some financial analysis on two firms in the coffee industry. After calculating Beta and Standard Deviation for both firms, I seem to have stumbled on some weird phenomenon. It appears ...
56 views

### Data on banks’ leverage

Does someone know free resources to estimate the leverage of the banking and financial sector at an aggregate level? In particular I would be interested in something like Federal Reserve’s Flow of ...
398 views

### Hedging bond with CDS of different maturity

Say I buy a 10-year bond with a notional of 100k. To hedge my credit risk entirely I could buy a 10-year CDS, also on a notional of 100k. Now, if there are only 5-year CDS trading and no 10-year CDS, ...
310 views

### Expected Shortfall and Spectral Risk Measure

Not sure I am understanding spectral risk measures correctly. Why is there an equal weighting scheme placed on the tail losses in expected shortfall. Will that no bias the expected value of the loss ...
104 views

### garchOxFit in R-oxo file does not match

Could someone please help me with trying to get the Ox interface to work in R. I get the following errors as output: This version may be used for academic research and teaching only Link error: '...