# All Questions

147 views

### Market-Maker existence impact to short-term informed directional trading

How existence of market-maker affects short-term directional trading? Normally when playing short-term directional we play against market marker that will cover losses from uninformed traders. But ...
275 views

### Dealing with the stock numeraire

I don't understand how to express the stock dynamics in the stock numéraire I have $dS_t/S_t = rdt + \sigma dW_t$ as usual under the money-market numéraire and I need to price options with payoffs ...
327 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 ...
678 views

### How do I do a mean variance optimization with constraints?

I am using python and the cvxopt library to calculate an efficient frontier, per the docs: http://cvxopt.org/examples/book/portfolio.html However, I cannot figure out how to add a constraint so that ...
80 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 ...
88 views

### Best performing stocks in given year

Is there a function in Bloomberg that allows the user to search the best performing stocks for a given year, say 2011, in any given stock exchange? For example, I want to see the best performing ...
298 views

### Source of Quandl Open Data

I am interested in Quandl Open Data, from Quandl.com These data are also denoted as Wiki Data since it relies on users to flag errors. In particular on their website, they say: This new data ...
320 views

668 views

### Relationship in Order Book between S&P500 and S&P500 Futures Contracts [duplicate]

What is the relationship between E-mini SPX futures and the SPX index. Besides the obvious, one is cash the other is a futures product. How does buying/selling in one product influence the other. If ...
115 views

### Difference between Ibovespa full and mini futures contract

What is the difference between the following two Brazilian futures contracts: The Ibovespa Futures Contract The Mini Ibovespa Futures Contract As far as I can tell, both are priced in Brazilian ...
778 views

### compute sharpe ratio for options?

Calculating sharpe ratio for shares is a straight forward task: (average returns - risk free ) / standard deviation. However i remain baffled as to how to tackle the task for options, can someone ...
957 views

### Deriving the par-yield curve

Given for example 6 bond prices and their respective 6 cashflows over a time period of 6 years, I have managed to derive the zero-coupon yield curve using the bootstrap method. However, it got lost ...
94 views

### Plain vanilla risk parity with trends forecasting power

I have built an asset allocation model (plain vanilla risk parity) but I would like to adapt the initial asset allocation with respect to potential futures changes in the trends of the assets under ...
261 views

### adjusted close prices on SP500

When I look at the adjusted close prices of SP500, for example, I notice that the numbers are always significantly below the actual closing. In the explanation of what adjusted prices are, one gets ...
300 views

### Delta in Covered Calls?

Just want to check whether i understand it correctly: Long Calls have positive delta Long Puts have negative Delta Long stock has 0.01 delta 100 Shares have 1 delta Therefore: Covered Call = 1 ...
416 views

I have a question about a option theta. When I evaluate the option theta of near expiry put option using Black-Scholes formula given the data as follow: Index Level = 20,500 Strike Price = 20,000 ...
367 views

### Where can I get real-time equity options quotes for a reasonable price (i am not a company) besides screen scrapping Yahoo! Finance? [duplicate]

Want to have electronic access to equity options quotes in real-time. Is there anyone offering this service to the individual investor for a reasonable price? Again it must be electronic, in other ...