# All Questions

9 views

### Which option price model agree with the market better given the assert price is known

Considering the following scenario, just assume you can somewhat forecast the underling assert price movement, and so you want to translate this value into the corresponding option price, in practice, ...
18 views

### Acceptable Sharpe Ratio for a prop desk?

What should be the value of a Sharpe Ratio for an intraday quantitative strategy to be accepted by a bank or hedge fund's prop desk? Let's assume the returns are daily changes in account equity, close ...
15 views

16 views

### computing sell price from ohlc

I'm relative new to this, so I might be asking something that doesn't make sense. Here is my scenario: I have intraday day at 1 minute intervals. This data has ohlc data and I want to compute for any ...
25 views

### correlated random variables with additional autocorrelation - multi dimensional cholesky?

for my thesis im currently generating several time series of random numbers, so far so good. Now i realized some autocorrelation in the series as well and dont really know how to cope with it. Can i ...
30 views

### Calculating log-returns across multiple securities and time

I've been getting very confused on the topic of calculating returns. To get cumulative returns in time, log-returns are used, but apparently log-returns aren't used across different securities at a ...
23 views

### Can adding an uncorrelated high vol strategy to a low vol portfolio result in a portfolio with even lower volatility?

Let's say I have fund A with 20% annualized volatility and portfolio B with 15% annualized volatility. If A and B have 0 correlation, can the combination of these funds have volatility < 15% ? Are ...
17 views

### Finding mean vector and covariance matrix for annual returns given quarterly returns

I am currently trying to calculate a vector for the mean annual returns of 4 different asset classes along with their 4x4 covariance matrix in excel. However, I am having problems since the data I ...
48 views

### Is the code of my binary call option pricer (using explicit finite difference, backward scheme) correct? [on hold]

I am using explicit finite difference (backward scheme) to price a binary call option. Here is my MATLAB code: ...
55 views

### Could we estimate a portfolio's volatility using a GARCH on the portfolio returns?

Estimating the volatility of a portfolio is typically done by first estimating the covariance matrix. This, however, can be difficult to do accurately and predictivly. This paper gives a nice summary ...
31 views

### Are there academic papers on the 'term structure' of adverse selection for futures and options?

By term structure I mean a non-stationarity in the pattern of intraday adverse selection as a given instruments approaches its expiry. Note that I am interested in the adverse selection on the ...
12 views

27 views

### the cash flows behind closing out futures positions

I always get confused about the cashflows occurring when a futures position is closed out. For example, say it is January and I enter into a long December Futures position with a futures price F(jan). ...