# All Questions

189 views

### source for yahoo finance equities volume traded

I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation ...
188 views

### Are Papers and Funds reporting Monthly drawdowns using daily granularity?

I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ...
116 views

### Building predictive model for closing price using only previous days data

I am trying to determine which quantitative model to try and build a predictive model for the next day's closing price for all the S&P stocks based on their bar for that particular day. However, I ...
589 views

### Orderbook Arbitrage

The order-books of trading exchanges are often hidden as so-called "Dark Pools". The measure was taken to avoid apparent market manipulation strategies executed by traders back then. Which such ...
292 views

### What is the Benefit of holding a short option?

i am new to corporate finance and ask myself why a investor is interested in being short on a Option? The only he can win is a premium but he can loose much more. I understand with being a short I can ...
532 views

### Why C is still in use especially in area of numerical optimization (instead of C++)? [closed]

Why C is still in use especially in area of numerical optimization (instead of C++) ? C and C++ aren't fully compatible so mayby you know some differances that make the difference ?
2k views

### Open source alternative to excel for investment and portfolio calculations [closed]

I am a Linux user, and taking an investment and portfolio management course that uses excel. I was wondering if there are open source alternatives to excel for optimal portfolio calculations? If yes, ...
134 views

49 views

### Looking for an algorithm to generate (dummy) share price data

Is there an easy-ish way I can generate "dummy" share price data for the purposes of data visualisation techniques etc.? Essentially I want to have something like the "Adventure Works" of price data. ...
40 views

### What is the difference between par delta and zero delta?

I was looking at different methods of calculating delta for Interest Rate Swaps(IRS) and came across the words par delta and zero delta. I am not sure of the difference between the both and when to ...
60 views

### Interpretation of portfolio standard deviation

I have computed an efficient frontier using quadratic optimization algorithm for some stock data and then plotted it. However, I have troubles understanding how to interpret standard deviation of ...
88 views

### Does the fact that volatility is not constant imply existence of skew?

I had a question regarding the existence of the volatility skew. I've tried researching it a fair bit and I come across a few different explanations: 1. Market participants like buying downside puts ...
62 views

### What information should be delivered to the client so they have enough information to manage their exchange rate risks? [closed]

The client can be a CFO or CEO. The information can indicators, charts, graphs, statistics, ratios, etc. I know the VaR is one of them.
149 views

### What market making strategies are often used nowadays ？

I am doing a survey of market making strategies, what's the popular market making strategies?
131 views

### Difference between Closing Price, Last traded price and Settlement Price for option contracts?

What is the difference between Closing price, Last traded price and settlement price ? I got the difference between Closing Price and Settlement price from previous post : The difference between ...
107 views

### To currency hedge or not to currency hedge (ETFs)?

When is it preferable to use a currency hedged ETF over a none currency hedged ETF? There has been studies which have shown over the longer term currency hedging does not make a difference. ...
173 views

### What‘s the definition of static arbitrage?

Could someone give the strict definition of static arbitrage? I know what the arbitrage means but have no idea about the term "Static". Thanks in advance!
150 views

### What are some examples of non-solvable SDE where Monte Carlo discretization is necessary

Reading Glasserman - "Monte Carlo Methods in Finance" it says in the introduction to Chapter 6 - Discretization Methods, that moste models arising in derivatives pricing can be simulated only ...
179 views

### Geometric Variance

If the arithmetic mean is: $\frac { \Sigma (x_i) }{n}$ and the geometric mean is $(\prod (1+x_i) ) ^{1/n}$ The arithmetic variance is $\frac { \Sigma(x_i-\mu)^2 } {n}$ then what is the ...
136 views

### “The drift of stock price becomes the risk-free interest rate” under RNP

Assume that the evolution of a stock price is geometric Brownian Motion $$dS=\mu Sdt+\sigma SdW(t)$$ where $S$ is the stock price at time $t$ (current time). It says in my book that "under the ...
804 views

### Bootstrap yield curve with QLNet / Quantlib

I am trying to grasp QLNet (C# version of Quantlib, all the functions of Quantlib have the same name and work the same way, so if you just know Quantlib, you can still help me), especially for pricing ...
64 views

### Floating-rate bond

How can I extract expectations about future rates from prices of floating-rate bonds? Please, give reference to any articles, if possible. Thank you in advance.
164 views

### Countries and/or exchanges which don't allow algo-trading

I am doing a research paper on the effect of algo-trading on capital markets. In order to do this, I plan to do an OLS comparison of Countries and Exchanges who ban algo-trading platforms and those ...
92 views

### Briefly stated, why does the function N(x) appear in the European call option pricing model?

I'm aware of the the mathematical formula for the price of a European call option on a stock however I'd like to think about it in an intuitive way.
154 views

### Where can I find a correlation matrix between the revenues of different industries?

I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in ...
93 views

### Why is it enough to know the expected present value of cash flow in risk-neutral framework to price derivatives?

Wilmott book states that its enough to know the expected present value of all cash flow in risk-neutral framework to price derivatives. As I know, to obtain arbitrage-free market we need our ...