# All Questions

188 views

### How to calculate a the PFE for a Swaption?

How do you calculate the Potential Future Exposure (PFE) for a swaption? Do you incorporate the dynamics of implied volatility when you are running your simulations? Is there a standard way to ...
167 views

### Backtesting benchmark / control test design

I am designing a backtesting system to test an algorithm. I'd like to have a benchmark / control test results to compare to the results of a custom algorithm. A limited "set" of stocks is selected ...
130 views

### How is a quanto priced?

How would one price a derivative denominated in EUR that pays in USD?
461 views

### Oscillatory time-series forecasting

I was wondering if this mean(160)-reverting/oscillatory time series "SUM" can be considered chaotic & forecastable to some extend short-term? ...
78 views

Why does dividing daily returns by daily range eliminates fat tails and results in an (almost) gaussian distribution? And how could that distribution be exploited to enter trades?
284 views

### VaR backtesting with overlapping time intervals

Of course the issue here is dependence: can it be removed or accounted for (in independence tests too, which of course would be troublesome)? There's a lot of literature on regression in this setting, ...
196 views

### Modeling asset performance to Bitcoin revenue

I'm attempting to model asset performance to Bitcoin revenue, which is a driving force in the Bitcoin community. Question Is there any model, or research being done that tracks "hashes per second" ...
66 views

### Neglect the positive values in negative interest rates modelling?

The magnitude of the negative interested rate should vary correlated with the increase in fixed assets prices and with cross-currency basis spreads. Could their volatility / correlation ...
129 views

### Is there a general format for various sources of futures market-data?

I am developing a market-data engine that receives market-data from different futures exchanges. So I need a general format to deal with sources from different exchanges. Protocols like FIX only ...
89 views

### how to identify similar assets based only on a few price samples

Using quantitative finances techniques on limited information, how might one go about finding similar(highly correlated) assets whose public information is available? The only data offered on a list ...
51 views

### Performance of 1X0/X0 funds vs. traditional benchmarks?

Some years ago there was a proliferation of new products touting the ability of active managers to take short bets on securities: 130/30 funds, 150/50 funds, and the like. What is the empirical ...
2 views

### Overnight charges for brokers holding stocks

I'm trying to learn about stock markets. I eventually want to invest a small amount over a long period. I notice on a lot of broker sites they charge an overnight fee for any stock held over night. I ...
20 views

### What is the best real time data feed - IQFeed, kinetick.com, etc?

This is my first post, and I know of quant's vast knowledge base of the users. Thanks in advance for any assistance. Any quantitative testing, benchmarking, expected lag, true numbers comparing all ...
10 views

### discounted price economic meaning

Could you please explain why we discount the prices using bank account or some numeraire, what is its economic meaning. Specifically The movement of the security prices relative to each other ...