# All Questions

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### Single Most Important Fact about a Fund - Interview Question [on hold]

I recently attended an interview to work as a software developer in an Asset Management company. I was asked by the interviewer: What is the most important piece of information that should be ...
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I'm trying to understand the derivation of Black-Scholes PDE, but I find a spot I really cannot follow (I'm following the original bond replication method proposed in B-S paper). At some point, once ...
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### When did volatilities start to smile in capital markets?

Glimpsing through literature, I read that volatilities in the equity market started to display a smile after the crash in 1987. But when did volatilities start to smile in capital markets?
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### Securitization of a loan portfolio

I am interested in the securitazion process and am looking for useful examples to help me understand how it can be applied in practice. Assuming I have a loan portfolio consisting of secured* and ...
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### Solvency II Assets-D1 - aggregation of line items by CIC code

The revised version of Assets D1 (now S.06.02 – List of assets under CP13) requires the following aggregations (page 24): CIC 71 (Cash), only one line per currency is to be reported; CIC 72 ...
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### Large (5K-10K) non positive definite (particularly near singular) covariance matrices and treatments for Cholesky decomposition

I have a very large covariance matrix (around 10000x10000) of returns, which is constructed using a sample size of 1000 for 10000 variables. My goal is to perform a (good-looking) Cholesky ...
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### Estimate of fx trading volume

I understand that there are no official figures of fx trading volume per currency, but are there any good estimates? Is there any fx exchange that is particularly forthcoming with its volume data, ...
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### How does Interactive Broker's historical data compare to other alternatives?

Has any of you stumbled with shows stopper problems like it having survivorship bias?
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### stock exchange simulator price calculations [on hold]

Before you downvote it I inform you that I am a zero in the field of stocks. I have an online event conducted by my college and there is an event that simulates a dalalstreet and I have been assigned ...
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### Min VaR and Min TE as second order cone program

The quadratic optimization (min variance) $$w^{T} \Sigma w \rightarrow \text{min},$$ where $w$ is the vector of portfolio weights and $\Sigma$ is the covariance matrix of asset returns, is a well ...
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### Forcing price to rise or fall by high volume buying and shorting

Is there an a name for the approach / strategy to artificially move a price either up or down by high volume buying or shorting. ie. Buying a large (say 5%) of a stock very quickly, thus ...
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### Which important types of bias are there? [on hold]

I knew home bias for a while but survivorship bias was new to me. Now I am wondering if I missed other and equally important biases (if that is the plural) but I could not find something comprehensive ...
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### What does it mean by “labor taxes cut is self-financed”?

I'm reading "Principle of Economics" by Mankiw. In Part III Market and Welfare, Ch 8 "Application: the costs of taxation", it says: Only 32% of a cut in U.S. labor taxes would be self-financed, the ...
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### Given monthly returns of 10-Year Govt Bond, how to get monthly risk free rate of return

I have a list of monthly returns of a 10 year Govt Bond. I am not sure if this is a good proxy for the monthly risk free rate of return. Can somebody suggest how I can derive the monthly risk free ...
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### How to use a realized kernel?

I've read that realized kernels are the thing to use for calculating daily volatility from high-frequency data. So I've got minute data, how do I actually use such a kernel? Will it give me minute-ly ...
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### Where to go to find partners for prop firm? [closed]

I have my own capital but would like some partners with more money. Where to find these guys ?
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