All Questions

6 views

How to find loans for investor collateral

I got this asssigment: Company A lends 20 mil from investor and has to put up investment collateral of 30 mil worth of loans. Company A operates in underwriting business. Collateral loans have to ...
11 views

Why do people use weighted regression with returns?

For example, by ADV. Intuitively it makes sense that a very liquid high ADV stock should carry more weight, but when I try it with some real life data I get higher standard error than unweighted...is ...
20 views

How to trade the Ornstein-Uhlenbeck process?

My question comes from this paper, which is a short version of Avellaneda's paper The picture bellow provides a summary of the equations. Do I understand correctly that in order to trade OU process ...
30 views

How to show that the exponential Vasicek model is not an affine term-structure model?

From the pricing formula, we know that the value at time $t\in [0,T]$ of a zero coupon bond maturing at time $T$ is $$B(t,T)=E\left(\exp{\left(-\int_{t}^{T}r_sds\right)}|\mathcal{F}_t\right).$$ ...
38 views

Vasicek model problem

I am analyzing a problem where the below is given Vasicek model with risk-neutral dynamics $$dr_t = \kappa (\theta - r_t)dt + \sqrt{r_t} dW_t \quad \quad (1)$$ bond prices ...
28 views

Obviously, not asking for a trading strategy, but do people successfully use options data to trade equities intraday? What's the general framework for such strategies?
18 views

How can I set buy and sell price for testing my automatic stock trading system? [on hold]

I'm testing my automatic trading system in stock market (data mining system). I'm modeling day by day for 30-days and calculate profit in every step. Suppose that my system predicts tomorrow close ...
18 views

Modelling log-returns and calculating the portfolio return

I know this might be a trivial question, however, I would be grateful for some clarification. I am working on weekly log-return data, doing volatility-foracasting using GARCH models and then using ...
30 views

I'm trying to implement Andersen and Broadie's dual method for an upper bound (here) of a regular American Put. I understand the process to compute it, but I have a conceptual issue : everything ...