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1answer
952 views

What are the advantages / disadvantages of the ANTICOR algorithm?

The algorithm is introduced in the paper, Can We Learn to Beat the Best Stock. The obvious advantage is superior risk-adjusted returns (if you can actually achieve them). Transaction costs and ...
3answers
8k views

How do I calculate the delta of a convertible bond?

How can I find the delta of a convertible bond to be used for hedging?
3answers
2k views

How to incorporate technical indicators into neural networks?

I plan to develop a neural network to trade commodities futures, but while messing around with some code, a question came up. If I understand correctly, people use various technical indicators with ...
2answers
3k views

When should we use SWIFT versus FIX?

I've read documents that claim that SWIFT and FIX are not competing protocols for financial transactions and messaging. And yet, I have not come across a clear articulation of when to use SWIFT versus ...
3answers
3k views

Total Return measurement paradox w/ Adjusted Close Prices

Using total return calculations is critical in developing security selection models. The standard way to measure total return is to develop a series of price-adjusted data. Investopedia describes the ...
3answers
4k views

Free market data (delayed or snapshot)

I know there are similar questions but I don't think there are any identical ones. Basically, I'm looking for one of these two things. Delayed market data feed. A tick by tick feed, but delayed by ...
6answers
11k views

How are correlation and cointegration related?

In what ways (and under what circumstances) are correlation and cointegration related, if at all? One difference is that one usually thinks of correlation in terms of returns and cointegration in ...
3answers
304 views

Maximum friction-free trades

I have a trading system I would like to test for the S&P 500, or another very similar instrument. I'm looking to make approximately 10-15 trades per month. I know if you have a Vanguard account, ...
2answers
2k views

Equity Risk Model Using PCA

I'm trying to build a simple risk model for stocks using PCA. I've noticed that when my dimensions are larger than the number of observations (for example 1000 stocks but only 250 days of returns), ...
2answers
592 views

When is the LIBOR market model Markovian?

The question is inspired by a short passage on the LMM in Mark Joshi's book. The LMM cannot be truly Markovian in the underlying Brownian motions due to the presence of state-dependent drifts. ...
2answers
1k views

Simulating Returns

I'll start this off with a rather broad question: I am trying to simulate returns of a large number of assets within a portfolio of different classes - equity and fixed income in a first step, say 100 ...
3answers
10k views

Trade matching versus affirmation

I'm looking for a clearly articulated description of the difference between trade matching (e.g. Omgeo's CTM) and trade affirmation (e.g. Omgeo's Oasys). From what I understand, they both involve ...
1answer
311 views

Imagine a British investor with $10-100k in her pocket. She wants to see the previous performance of various British and overseas funds to choose the one to invest. And she wants to filter out the ... 1answer 473 views How does currency valuation depend on the cash reserve ratio for a country? Currency valuation (with respect to other currencies) is an important parameter in finance, but how is it related to the cash reserve ratio? 1answer 241 views Multiple comparison problems I recently read a blog entry where some statistics were generated for a common technical analysis indicator. Below is the link. My question shows up close to the bottom under the name bill_080, in ... 8answers 7k views How are cryptography and speech recognition technology applied to forecasting financial markets? One of the answers to my previous question regarding the strategy of Renaissance Technologies, there was a reference to The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly ... 9answers 16k views Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff? Renaissance Technologies Medallion fund is one of the most successful hedge funds - ever! Yet it is very secretive. Do you have information on the strategy used that is not yet mentioned in the ... 6answers 2k views Most successful investors using academic-based framework? What are the most famous/best performing absolute-return funds employing approaches based on mainstream finance theory (i.e., theory presented in Journal of Finance, AER, Econometrica, using typically ... 3answers 973 views How can an ETF outperform its benchmark index? Deutsche Bank’s ETF platform, db X-trackers, provides a rather remarkable ETF tracking Euro Stoxx 50 (which is the most widely used regional blue-chip index in Europe). What makes it remarkable is ... 4answers 2k views Are two identical time series cointegrated? I did cointegration test on two identical time series, and the result shows that they are not cointegrated, but intuitively, I think they are. Can anyone share some thoughts on this? Thanks! 3answers 2k views Mean reverting Indicator I'm looking for an indicator which tells me if it's a good time to use mean reverting type quantitative trading strategies. In order to do so I look at the market (the few hundred stocks I trade) and ... 1answer 888 views Forward Adjusting Stock Prices? How should one correctly forward adjust historical prices given a time series of Open, High, Low, Close, Return? Suppose that the data series is given below ('1' is the oldest interval; '5' is the ... 6answers 2k views Formal proof for risk-neutral pricing formula As you know, the key equation of risk neutral pricing is the following:$\exp^{-rt} S_t = E_Q[\exp^{-rT} S_T | \mathcal{F}_t]$That is, discounted prices are Q-martingales. It makes real-sense for ... 4answers 1k views Library to solve optimization problems I'm working with C# and I start being bored writing optimization algorithm. Do you know of any free library containing this sort of algorithms. In particular I'm cutrently working with Semidefit ... 1answer 536 views How do equivalent martingale measures arise in pricing? I'm studying for an exam in financial models and came across this question: "An agent with$C^2$strictly increasing concave utility$U$has wealth$w_0$at time 0, and wishes to invest his wealth in ... 2answers 728 views How do I calculate weighted mean with negative weights? I need to display in my system the amount of stocks that I own and the average price it took me to buy them. I am having a problem doing that when I include the selling. Lets say I bought 4 stocks ... 2answers 1k views How does return-based analysis calculate expected return of a trading system? Suppose you have a trading system that is never flat, but either long or short the market. You have four years of performance. During that period, your system changed its position 10 times. So you ... 0answers 144 views Keynesian Multiplier [closed] I am taking a degree in macro economics, and am at a juncture where knowledge about the Keynesian Multiplier is imperative. Though I've been at the lectures, read the literature and scoured the web, I ... 2answers 388 views How to determine if one player moved a price I'm trying to understand what caused certain price movements (aren't we all!) in per-minute data for major NYSE stocks. In particular, I'd like to determine whether a given price movement of X% in ... 9answers 4k views How good is managed code for algo trading? I am currently working in a firm that does algo trading. We do all of our stuff in Java. And we do make money out of it. We have debates all the time whether we would have made more money with native ... 11answers 4k views Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones? Fund managers are acting in a highly stochastic environment. What methods do you know to systematically separate skillful fund managers from those that were just lucky? Every idea, reference, paper ... 3answers 341 views What is the effect of quant finance on global markets? Attempting to get a high level understanding of the role that quantitative finance plays in the financial global markets. Open to any suggestion on how to do this, but figure a starting point might be ... 7answers 14k views Efficiently storing real-time intraday data in an application agnostic way What would be the best approach to handle real-time intraday data storage? For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ... 6answers 7k views What type of investor is willing to be short gamma? As far as I understand, most investors are willing to buy options (puts and calls) in order to limit their exposure to the market in case it moves against them. This is due to the fact that they are ... 9answers 8k views Any known bugs with Yahoo Finance adjusted close data ? Yahoo Finance allows you to download tables of their daily historical stock price data. The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a ... 2answers 667 views FX Tick Data question Anyone can tell me what the first column and the last column in this FX tick dataset mean? The first seems like some kind of ID, and what D in the last column mean? 368412956 AUD/CAD 12/30/2007 ... 0answers 98 views How to calculate the Metropolitan Transportation Authority of New York's market capitalization or fair market value? [closed] ok, so I can't post more than 1 link since I'm a noobie noob, and in the course of correcting this, Stack managed to delete my post. so here's the more abbreviated, slightly irritated author version… ... 3answers 5k views What types of neural networks are most appropriate for trading? What types of neural networks are most appropriate for forecasting returns? Can neural networks be the basis for a high-frequency trading strategy? Types of neural networks include: Support Vector ... 1answer 136 views Availability of machine-readable OCC Infomemos? Does anyone know of a source of machine-readable (XML,etc) OCC Infomemos? The PDF files available below contain all the information I want, but are a pain to parse. ... 1answer 623 views How to annualize Expected Shortfall? I have a time series with monthly data from which I compute the expected shortfall empirically, following the classical definition which can be found, for example, in wikipedia's definition. That is, ... 6answers 3k views Vanna - any practical uses for risk or pnl attribution purposes? What is the practical use for Vanna in trading? How can it be used for a PnL attribution? 2answers 978 views The Fair Value of Paying in Currency X for Goods Bought in Currency Y Me and my friends are from Europe, we went to US. At the end of the trip they bought an item worth$USD 100$, but because they were short of money, so I paid for the item first with my own$USD 100$. ... 0answers 188 views What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying? Curious as to whether or not there is any sort of all time record. Any index, future, or stock will do. Volatility must be well above the average 1 year volatility for all periods. 4answers 5k views data on historical stock price of bankrupt companies does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers? it appears that bankrupt companies no longer appear in the ... 4answers 10k views What is the role of Credit Valuation Adjustment (CVA) desks in investment banks? What does a CVA (Credit Valuation Adjustment) desk do, and how are its activities different from other trading desks? Can you work as a quant for a CVA desk and consider your role "front office"? 1answer 285 views penalizing negative skewness by linking$U(\mu)$and$U(\Sigma)$Consider$U_1(\mu,\Sigma)$and$U_2(\mu,\Sigma)$, where$U_1(\mu, \cdot) = U_2(\mu, \cdot)$,$U_1(\cdot, \Sigma) = U_2(\cdot, \Sigma)$such that \begin{equation*} arg\inf\limits_{\mu \in U_1(\mu, ... 3answers 630 views Black-Scholes No Dividends assumption I am doing some research involving black-scholes model and got stuck with dividend-paying stocks when evaluating options. What is the real-world approach on handling the situations when an underlying ... 5answers 1k views George Soros models Mr. Soros in his books talked about principles which are not used by today's financial mathematics — namely reflexivity of all actions on the market. Simply it can be given by following: ... 1answer 702 views Modern problems in financial mathematics I have a MSc degree in the area of Financial Mathematics, but I am doing research now in other field of stochastics. Could you please tell me about the most important problems of (stochastic) ... 1answer 314 views An equation for European options So, any European type option we can characterize with a payoff function$P(S)$where$S$is a price of an underlying at the maturity. Let us consider some model$M\$ such that within this model ...

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