# All Questions

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### What happens if someone destroy money? [migrated]

I am sorry if i am posting my question in wrong place but, i just want to know what happens to the economy of a country if someone burns or destroy money? I know it increases every unit price of money ...
14 views

### Sovereign Credit Rating

I am working on the determinants of sovereign credit rating. I am looking for the historical rating dataset for eurozone countries. Does anyone know any source?
76 views

### Option on a dice game

I am sligtly confused by this problem, although it should not be difficult. Let us roll a sigle dice. If the dice shows $n$, I receive $n$ dollars. I can buy an option to roll the die again. What is ...
24 views

### Different interim balances when calculating annual compound interest different ways

Something interesting that doesn't quite make sense to me. When calculating compound interest using P(1+r)^t, I'm calculating in two ways - one using the day 1 principal balance, and the other using ...
22 views

### What is the best way of updating data while using Empirical Mode Decomposition to analyze

I have a question about EMD updating new data points. For an entire time series, from beginning to the end, the EMD preforms quite good using the cubic spline function. The problem happens when new ...
137 views

### When Fed stops QE, Treasury Futures will go down in price, so… LEAP Puts are a good idea?

I think: when Fed stops QE (Quantitative Easing), Treasury Futures prices will go down. Question 1: Am I right? So... buying LEAP Puts (in Treasury Futures) would be a good idea. Question 2: Am I ...
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### Is this a reasonable approach to determine the relative importance of valuation factors?

I am trying to come up with a measure of relative importance of a number of valuation factors. I am wondering whether correlation coefficients can't be used for determining this. More on the issue: ...
18 views

### Choosing broker to run with Zipline

Which brokers offer Python integration/API? Which brokers offer R integration? I'm starting on trading, and I want to learn about algorithm trading. So I would like to know what brokers offers these ...
30 views

### How to calculate burnrate?

Wikipedia says Burn rate is a synonymous term for negative cash flow but I neither agree nor believe that is formalized. A company could need turnaround from losses ...
28 views

### Quantstrat vs Zipline [on hold]

I've tried to find comparison between Quantstrat and Zipline, but I didn't find any. Obvious difference is that: Quantstrat is in R, Zipline is in Python. Which of them is more advanced and have ...
33 views

### How much correlation between alpha and forward returns can be considered good

There are many way to quantify the quality of an $\alpha$ (prediction of the future return of a security). I heard/do many things, most of them are equivalent to correlation. Typically ...
55 views

### Meaning of w in SDE

I'm missing meaning of $w$ in typical SDE like $dX_t(w) = f_t(X_t(w)) + \sigma(X_t(w))dW_t$, in context of $w \in F_{xxx}$. Does it mean that both $w$ is one of events that could happen before ...
28 views

### HAR-RV, realized GARCH and HEAVY model for realized volatility

I don't have much experience with volatility modeling using intraday data but I'm in the process of collecting 5mins data. Currently I have ~6 months of data. Is it enough to use these models with ...
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### Concise method of learning monte carlo methods

Is there a concise way of learning the core Monte Carlo Methods from resources available online? This leads to my next question which is what are the core ideas to learn in Monte Carlo methods?
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### Time series analysis in Java

I'm looking for a library to do some time series analysis in Java but I can't find anything suitable. I've found plenty of libraries such as Math3 of JSAT but there's much I can you for my problem. As ...
81 views

### What is the Swap Curve?

What is the so-called Swap Curve, and how does it relate to the Zero Curve (or spot yield curve)? Does it only refer to a curve of swap rates versus maturities found in the market? Or is it a swap ...
25 views

### Earnings Quality for a large group of stocks

Does anyone have any recommendations for how to track earnings quality for a large number of stocks (500+) on a quarterly basis? I am familiar with the M-Score for detecting earnings manipulation but ...
51 views

### Estimate correlation of time series whose histories differ in length

Very often in quantitative analysis (e.g. calculating portfolio volatility) we have to analyze various time series - mostly returns - whose lenghts differ. Risk systems usually apply a one-factor ...
31 views

### Explanatory variables for regression predicting weekly stock returns

In an empirical analysis I'm trying to predict log() weekly stock returns. I'm trying to model stock returns in a panel data model framework. As explanatory variables I have 1) a measure of investor ...
42 views

### Ito integrals and copulas

Let $X_{t}$ and $Y_{t}$ be two brownian motions and let their joint distribution be given by $F$. So in regularly correlated BM's where $dX_{t}dY_{t}=\rho dt$, we have a bivariate normal distribution ...
33 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 ...
29 views

### Conversion factor for bonds

Hull defines the conversion factor for a bond as the "quoted price the bond would have per dollar of principal on the first day of the delivery month on the assumption that the interest rate for all ...
60 views

### Calculation of price momentum using weekly price observations

In an empirical analysis I'm trying to predict stock returns using different firm characteristics. I would like to use price momentum as an explanatory variable, but I'm not quite sure how to ...
21 views

### Define some finance terminology for me, please. Live options vs. crossed options

What is a "live" option vs. a "crossed" option? Does a cross option just mean that it is hedged? If someone is buying an option and says "I want to buy a November 5.00 (strike price) put cross at ...
51 views

### What makes investors risk averse?

There are some regularly-occuring events that coincide with a rise in the implied volatility of an asset. For example, in advance of an firm's annual earnings report, it is typically expensive to buy ...
33 views

### Practitioner's criterion for MC pricing convergence

Let's say I have some Interest Rates (IR) pricing model which relies on Monte Carlo pricing and I'd like to benchmark its quality and find out optimal settings (time steps & iterations) per asset ...
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### What kind of front end/ gui is used with trading applications?

I was wondering what kind of front end is used for trading applications. Coming from a quant background, I was always only concerned with research and back end of the application but am at a total ...
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### Intuition behind American Option pricing

The price of an American option is given by $$V_n = \max\left(G_n,\frac{1}{1 + r}(pV_{n +1}H^d + qV_{n + 1}H^u\right)$$ where p, q are the risk neutral probabilities. I have two questions: How ...
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### Portfolio Optimization

I've just started reading up on Portfolio Optimization models and have come across the use of exposure bounds to mitigate the sensitivity of the optimized model solution, owing to parameter estimation ...
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### Constructing Volatility Smile from Implied Volatility & Delta

I have implied volatility data for call and put options (expiring in 1 month from any given date) for a particular stock. In addition, I have the delta for the options. However, I have no information ...
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### What software should I use for forex arbitrage?

These are my requirements: Speed of lookup & update Speed of crunching large numbers and combinations The exchanges I want to connect to will mostly provide json feeds to their orderbooks & ...
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### Setting entry and exit position in Matlab and computing returns for backtesting purposes

I have to backtest a mean-reverting strategy that use the spread z and goes: long when the indicator z > -2; short-sell when the indicator z < 2; The exit point is when the absolute value of z ...
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### Yahoo OHLC data reflects nonexistant stock split

Can anyone explain why the OHLC data I'm getting from yahoo appears to reflect stock splits during times when no significant corporate actions have occurred? For example, I'm looking at ABT and yahoo ...
33 views

### Fixed volatility portfolio with max returns creates skewed results

I am trying to create a portfolio of only four components using the mean-variance optimization (MVO). I am setting up my problem such that I want to maximize the expected returns with a fixed vol ...
64 views

### State Space models with Short Time Series

My problem is that I have a state space model that I estimate using the Berndt–Hall–Hall–Hausman (BHHH) algorithm. The state space model is relatively simple in that the hidden part follows a pure ...
118 views

### Algorithm to detect the aggressor side of a trade

Most of the exchanges provide aggressor side property of trades (e.g. Tag=5797 AggressorSide on CME) in their raw data. But many data providers do not provide this information via their datafeed ...
88 views

### Explicit solution SDE

I have the following SDE: $$dY_{t}=A\left(\frac{W_{t}^{1}}{\sqrt{t}},\frac{Y_{t}}{\sqrt{t}}\right)dW_{t}^{1}+B\left(\frac{W_{t}^{1}}{\sqrt{t}},\frac{Y_{t}}{\sqrt{t}}\right)dW_{t}^{2}$$ where ...
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### Reference on risk measures

I want some reference book on risk measures and their comparisons. Thanks in advance.
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### Which is the better risk sensitive measure?

Consider the two following optimization problem 1) $$\min_{\theta} \ln E_{\theta}[ e^{X}]$$ 2) $$\min_{\theta} E_{\theta}[ X]$$ with the constraint $$Var_{\theta}[X] <c$$ Is it true that ...
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### Contribute to Finance related projects [closed]

I am currently a student and in the future would like to work as a software developer for a financial institution such as Bloomberg, Factset etc. I was looking to contribute to some open source or ...
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### Nested volatility

The introduction VIX options makes the concept of "volatility of volatility" a real life concept. The idea of "nested volatility" seems interesting, and I am wondering if there are any academic ...
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### Art market specificities

I am looking for some reference on the art market in light of quantitative finance. I am interested in some things: The market in general, how is it compared to financial market ? What about common ...
57 views

### CVA/CDVA - Worsened Credit Quality implies profit?

In the book Counterparty Credit Risk, Collateral and Funding by Brigo et al I found the following: credit quality of investor WORSENS $\Rightarrow$ books POSITIVE MARK TO MKT credit quality of ...
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### How does this follow from the separating hyperplane theorem?

This is from Pliskas book in mathematical finance. I do not know what was best to write the question so I included the pages from the book. He has not written what form of the separating hyperplane ...