# All Questions

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### Malliavin Calculus

From a quant point of view, how would you explain Malliavin calculus in few words ? I have the level to take these courses, but won't be able to do it next year, so I want to know what I am missing. ...
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### Approximating a function with trignometric polynomials

Let’s say I have a function, which is a time series of data points, I am trying to find a polynomial of fixed sine's and cosines that bests approximate the data points. I know Chebyshev Approximation ...
6k 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 ...
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### Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?

So I have been trying to implement a simple Heston calibration using crude MC with 10k scenarios and 1000 time steps and the best I could get is 3x of the observed implied volatility. I suspect it ...
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### Collar Option - question about payoffs [closed]

Perhaps the question on Black Scholes of Collar options covers this question. But I ask the folllowing three anyway. Let define a Collar Option, with maturity T and parameters $L_2 \gt L_1 \gt 0$, ...
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### How to calculate the implied volatility using the binomial options pricing model

I want to calculate IV for american options with dividends. So far I have found algorithms to calculate the option price given a volatility. Please can you point me to paper or implementation (R, ...
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### Evidence of long run manipulation by a large player?

Clearly, it doesn't even take a large player in terms of percentage of total inventory relative to total underlying as in the case of the flash crash to push around a market in the short run, but I ...
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### Continuous futures time series

Hi I did go through the previous posts on this topic but still confused. I am basically researching on some ideas and need continuous time futures data. At any point in time I basically have three ...
319 views

### Problems with dealing with GARCH models and intra-day data

Short question would be "Which type of model from GARCH family is most suitable for modeling 5-minute data returns ?" but I've added some story to it. Long time ago I was preparing my thesis, one ...
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### Asymmetric pay-off function [closed]

Does the calculation of variance and standard deviation in, say, a coin flip assume a symmetric pay-off function? If the pay-off function is asymmetric, is standard deviation a meaningful measure of ...
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### Volatility Estimation

Let say I ran two strategies and got its weights at each rebalance and equity curves. I would like to combine these systems to get the performance if I were to trade them concurrently from a portfolio ...
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### Grokking Stochastic Oscillator for Stocks

In software, I'm trying to implement the Stochastic Oscillator (see here), and I'd like to figure out a few things. Let's say I use standard inputs 14, 3 and 3. If my 14 is for intraday ticks, what ...
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### Is it possible to model general wrong way risk via concentration risk?

General wrong way risk is defined as due to a positive correlation between the level of exposure and the default probability of the counterparty due to general market factors. (Specific wrong way risk ...
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### Block Bootstrapping Relative Returns

I want to run a block bootstrap on the relative returns, but I'm not sure if subtracting the mean is important. A bootstrap sequence is a synthetic sequence generated using the original sequence. If ...
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### How should I store tick data?

How should I store tick data? For example, if I have an IB trading account, how should I download and store the tick data directly to my computer? Which software should I use?
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### What are the common trading systems for hedge fund automated trading?

Is there any common trading system that is implemented by hedge fund, especially for equity or forex automated trading? I know some big names like Sungard and Bloomberg. Is there any other choices ...
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### How much does a Grid Computing software cost?

So far, I have been performing computations either on my own computer, or using an in-house scheduler that basically chooses a one of the employees' available workstations to run tasks in the ...
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### How and who updates the currency exchange rate? [closed]

I am a newbie in this field. We know that the currency exchange rate is continuously updated. My confusion is about who updates the currency exchange rate? how does she/he/it decide the rate? Based ...
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### What are some good HFT open source project? [closed]

Is there any good open sourced HFT projects, either whole system or components, that one should keep tracking?
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### The Next Step after Options Theory [closed]

Ok so I studied the maths of options pricing, Black Scholes, finite difference methods etc. I can comprehend the different trading strategies....So why am I still confused. Basically there is such a ...
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### Continuous returns for negative roll-adjusted futures data

I've generated roll adjusted notional futures data by adding a roll adjustment to the settlement price then multiplying by contract multiplier through time. For example, for crude oil CL, on 15 March ...
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I was trying to get massive amount of information(Fundamentals of about 7000 tickers) from www.nasdaq.com. Is it legal to perform it by automatic methods in a short amount of time (~15minutes)? Any ...
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### Black-Scholes PDE to heat equation, nonconstant coefficients

Can someone provide me with details or a reference on how to transform the Black-Scholes PDE with nonconstant coefficients (i.e. $r=r\left(S,t\right)$, $\sigma=\sigma\left(S,t\right)$) to the heat ...
149 views

### Yield on Fixed income futures

I am trying to get a simplified model of the DV01 for the US 10YR Note futures but I cant figure out what the current yield is. When I back out the implied interest rate on the current TYM3 futures ...
279 views

### Data Synchronization

I'm working on market trends. I have daily prices for 33 assets from different markets. I was wondering if there is a way to cancel the effects of different opening/closing times. I have been told ...
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### Futures Contract Fair Values Accuracy

I have recently been tasked to work on fair value derivation for futures on equity indices (non-US). I know that the FVD function in Bloomberg can have a huge discrepancy from markets: where cheap is ...
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### Required Rate of Return vs Expected Return

I faced a problem that gives the following information: market risk premium, and risk free rate is given You currently have a portfolio of amount of x, beta b1. Now there is a new investment ...
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### How to compute interest rate futures spread ratio?

I am confused on how to compute the spread ratio. For example, this is example I came across with my broker - Consider 2 contracts Bobl and Euribor. The DV01 of Bobl i 44.8 and Euribor is 25. To ...
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### Best way to test the filter rule for buy and sell signals [closed]

I am a masters student, and for my thesis I am examining the opportunity for profit using technical trading rules in the stock market. I am concentrating on the filter rule which says "A stock should ...
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### Volatility Return Distribution/Garch Modeling

For simplicity sake, if stock returns are normally distrusted, would that imply that second moment, variance/volatility, is chi-squared distrusted? If so wouldn't that imply the statistics(employed to ...
76 views

### Is the price of European put option monotone in volatility if we replace BM in Black-Scholes with a general Levy process?

Under the Black-Scholes model, we have the European put option is $\mathbb{E} [e^{-rt}(K-S_t)]$, where we take $\log(S_t)=X_t$ and $dX_t= \sigma dW_t - \dfrac{1}{2}\sigma^2 dt + rdt$. Here the option ...
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### Easiest and most accessible derivation of Black-Scholes formula

I am preparing a QuantFinance lecture and I am looking for the easiest and most accessible derivation of the Black-Scholes formula (NB: the actual formula, not the differential equation). My favorite ...
Let me first introduce some notation. We are working with a filtred probability space $(\Omega,\mathcal{F},\mathbb{F},P)$ over a time period $[0,T]$, where $\mathbb{F}$ satisfies the usual ...