# All Questions

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### 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 ...
10 views

### Variance of “hedged” term structure portfolio increasing?

I'm attempting to use PCA to hedge a small fixed income portfolio. I start with one particular bond and chose the nearest other bond to hedge the 1st principle component. This decreases the portfolio ...
24 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 ...
13 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, ...
36 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 ...
13 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: ...
51 views

### What are the main flaws behind Ross Recovery Theorem?

Stephen Ross’ new paper claims that it is possible to separate risk aversions and historical probabilities if the Stochastic Discount Factor is transition independent using Perron-Frobenius Theorem. ...
43 views

### Data on margin volumes?

I came across a Financial Times article today that said "Peaks in margin trading have been a precursor to bear runs in the past, notably in March 2000 and July 2007." I'm curious if anyone here would ...
34 views

### Negative Eonia rates

I'm curious how the current negative Eonia rates would impact on derivative pricing. What does that really mean? Does that mean if I post a cash collateral to you, I also need to pay you the interest ...
16 views

### Volatilty Calculation [on hold]

I have 3 years historical prices for the commodity . I want to calculate the annualized volatility of the commodity . Can i scale my daily volatility to annualized volatility by multiple with square ...
26 views

### Black Scholes Model which Volatilty to use [on hold]

Black Scholes Model requires volatility as input . It needs to be annualized/or Daily Volatility for calculation . Input will be appreciated
35 views

### how to use known premium of options to determine premium of options with another strike?

Assuming constant volatility across all strikes, how to use known premium of options to determine premium of options with another strike? e.g. suppose we know premium of \$40 call and put, \$50 call ...
44 views

### Do people actaully use VaR in professional settings?

VaR seems like such an obviously flawed metric, I am surprised that it seems to be used so much in the private sector. First, the way it is named and the way it is presented often imply it is the ...
35 views

### What are good internship positions I should look for as an undergrad student? [on hold]

I am a 3rd year computer engineering student who is interested in quant finance. I was exposed to quantitative courses such as calculus 3, ODEs, optimization, probability and stats, mathematical ...
90 views

### If I am very fast (less than 10 microseconds latency) what would be the first strategy to execute?

Let's assume I found the holy grail of low-latency trading (which I didn't). For educational purposes, what would be the first strategy I would direct my trading code?
60 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.
97 views

### Where can I find literature (books, articles, etc.) about basic HFT / arbitrage strategies? [on hold]

I am not looking for your winning strategies. Just the basic stuff from where to start. Can anyone share their opinions about what should I read to hit the ground running?
12 views

### run time error 424 in IB TWS Excel DDE API; failed to add combo orders

I'm using an Excel DDE to connect to Interactive Brokers TWS via their API 9.72 sample, excel 2013. When I tried to create a combo order, the rum error code 424 said "object required". It seems that ...
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30 views

### Transform MPT optimization problem

I am trying to teach myself about MPT and optimization. I understand that MPT solutions can be found using three equivalent optimization problems: Minimizing variance for given return limit ...
29 views

### Importance sampling for barrier option like pricing by Monte carlo

I would like to know some references regarding importance sampling algorithms for variance reduction of Monte Carlo barrier options pricing. Please could someone help me leaving some references? If ...
31 views

### ICE oil Future Markers

i have seen Brent oil future singapore marker many times. however, i wonder what is the reason for introducing different markers in the future market. FYI - LINK
66 views

### Where can I find a list of market-moving news announcements for different asset classes?

Different asset classes have different important news announcements that move the markets intraday. For instance, oil volatility increases after the EIA Petroleum Status Report, but that announcement ...
140 views

### What is a good Computer Algebra System for financial engineering?

I would like to know if there exists some computer algebra systems adapted to calculate pricing based on particular models, i.e. pricing YoY Inflation Swap under Jarrow Yildirim Model. I know that ...
24 views

### End-of-day holdings vs overnight inventory

I am wondering whether these two terms identify the same thing: overnight inventory end-of-day holdings The way I would explain it intuitively, the inventory that is held overnight should be ...
39 views

### Why do Earnings Per Share matter?

This has been bugging me for a while. I've consulted all sorts of guides, but none gave me a satisfactory answer. My question is: why do Earnings Per Share (EPS) matter? What is it about this metric ...
44 views

### White's Reality Check versus Benjamini-Hochberg-Yekutielie Procedure

I'm backtesting about 1k different strategies / permutations of strategies and I want to identify which if any of the strategies are better than the benchmark. Based on my readings, I feel like I've ...
19 views

### Price of a composite option

how would you calculate the fair value of an option on a fx'ed underlying, e.g. a put on a USD-stock which is changed into EUR? How should I get, in practice, the fx spot vol/correl? Purpose is to ...
8 views

### How do you determine consumer surplus from graph? [closed]

How do you determine consumer surplus from a graph? http://imgur.com/oiRByho
51 views

### Proof oriented introductory text?

I'm currently taking this Coursera course on financial engineering, which is fine but it's very focused on applications instead of proofs. They recommend Investment Science as a companion text, but ...
8 views

### How to price a new idea? [migrated]

Actually, we have recently developed a new conceptual idea, which is about a unique electro-optical instrument, and we will probably finish the initial prototype in a month. Fortunately, we have ...
72 views

### Forex buying 2000+ pip difference [closed]

I did a mistake just now and bought 2000+ pip difference USD/RUB. (I tought Its 2.0 but 2,0) I can't contact to forex office because its 2 AM here. now It shows 5k+ USD loss. I am in panic right now. ...
86 views

### How do exchanges make money?

How does NASDAQ make money? How much of it is from selling market data, and how much of it is from commissions from trades?
52 views

### How to implement the herding measure proposed by Lakonishok et. al (1992) in python

I would like to test for herding behaviour using the herding measure developed by Lakonishok et. al (1992) on a dataset containing trader transactions during 2013, however, i am having some trouble ...
92 views

### Calculate bond returns from yields

I have to construct and evaluate portfolio of bonds and stocks, namely I need to get return on portfolio, standard deviation and sharpe ratios. I have weekly data that contains stock prices, and I ...
181 views

### What are the textbooks used to teach Quantitative Trading at universities?

For example, Stanford has a class on quantitative trading. But i am not able to determine what are the textbook(s) used in this course. The same also applies for similar courses at Stony Brook, ...
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Suppose there are k different stocks in a stock market. All of their prices are independent from each other. One year from now the price of the i-th stock will be $X_i^2$, where $X_i \sim ... 2answers 207 views ### How to price a bond without paper during interview? I heard that this kind of questions appear a lot in the interviews. Here is one I saw from Galssdoor: Price a bond with coupon rate 3%, yield 9% and maturity 10 years. What is the typical way to do ... 0answers 5 views ### Institutional compliance : is reference data available via the browser? That is, assuming one has the correct accounts and credentials, is it possible to access reference data (counterparty, trading, and other categories of related meta-data) over the web? The reason I ... 4answers 273 views ### Is there anyone still using Markowitz modern portfolio theory? I was reading about the MPT (Use standard deviation as risk measure) on "Mathematics for Finance by Marek Capinski". I was just wondering is there anyone actually applying this theory to their ... 2answers 100 views ### Daily option data I am wondering where I can pull daily (hourly, by-the-minute, etc. even better) option data for a particular underlying. I would prefer a database I could scrape through and API, but would not mind ... 2answers 55 views ### Problem when calculating the daily return on a forex trade, what is the best way to do such a calculation? I intend to calculate the daily return on my investment in forex. Assume a trader invests$\$$40 at a leverage of 100:1, so in total he is trading \$$4000 worth of currency, and assume the position ...
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It is claimed that the credit default swap (CDS) spread should approximate the risky par bond yield or coupon rate spread from the riskless bond on the same entity. This comes about when we assume ...
43 views

### Set up sharpe ratio with 2 risky portfolio

You are considering an investment in the stock. In the stock market, there are two risky stocks (A and B) and a risk free claim, C (you can think of it as the t-bill). The covariances and returns of ...