12
votes
What are some factually incorrect quantitative finance answers generated by AI?
Question: "How do you convert annual yield quote to semi-annual?"
Wrong answer:
To convert an annual yield quote to semi-annual, you simply divide the annual yield by two. This is because ...
Community wiki
10
votes
What are some factually incorrect quantitative finance answers generated by AI?
A classic:
Does Modern Portfolio Theory as proposed by Markowitz assume normality of returns?
ChatGPT:
Yes, Modern Portfolio Theory (MPT) as proposed by Markowitz does assume normality of returns. ...
Community wiki
5
votes
What are some factually incorrect quantitative finance answers generated by AI?
Question:
Can a portfolio that is efficient (meaning that it lies on the Capital
Market Line) be undervalued (i.e. having a positive alpha)?
Answer by ChatGPT:
ChatGPT
Yes, it is possible for a ...
Community wiki
4
votes
Does AI-based trading assume efficient market hypothesis?
Most traders that I know have a complex relationship with the Efficient Markets Hypothesis, difficult to summarize.
You could say that they accept a "soft version of EMH" but not the ...
4
votes
What are some factually incorrect quantitative finance answers generated by AI?
True or false.
A mean-variance investor, when deciding between multiple portfolios to add to an already well diversified portfolio, should pick the portfolio with the highest sharpe ratio.
This is ...
Community wiki
4
votes
What are some factually incorrect quantitative finance answers generated by AI?
Asking ChatGPT 3.5:
How is the CBOE VIX calculated?
Answer:
The CBOE Volatility Index, often referred to as the VIX, is calculated
using a formula that involves the prices of a specific set of ...
Community wiki
4
votes
What are some factually incorrect quantitative finance answers generated by AI?
Question
How do I calculate the OAS spread of a bond?
Chat-GPT 3.5 Answer
The Option-Adjusted Spread (OAS) of a bond is a measure that takes into account the embedded options, such as call options or ...
Community wiki
3
votes
What are some factually incorrect quantitative finance answers generated by AI?
Question for ChatGPT 3.5:
Is 50 delta ATM?
Answer
Yes, a 50 delta option is considered "at-the-money" (ATM). Delta is a
Greek letter used in options trading to measure the sensitivity of ...
Community wiki
3
votes
What are some factually incorrect quantitative finance answers generated by AI?
I hesitated to post this because ultimately ChatGPT is an AI-powered language model, capable of generating human-like text based on context and past conversations. I do not expect an english major to ...
2
votes
What are some factually incorrect quantitative finance answers generated by AI?
Asking ChatGPT 3.5: "Can you summarize the SABR model"
Mr SABR was such a key figure that they chose his name, despite having decided to use the first ...
Community wiki
2
votes
What are some factually incorrect quantitative finance answers generated by AI?
Not exactly quantitative finance but it shows how extremely misleading AI can be. Not only does it get facts wrong, it even makes up its own EBA guidelines.
Initially I asked ...
Community wiki
2
votes
Accepted
The metric to evaluate the efficiency of ANN based option pricing over mathematical option pricing models
The paper that you last linked in a comment can be accessed free of charge and if the original paper is using something similar it's a tautology that the ANN model is better.
The author describes that ...
1
vote
Does AI-based trading assume efficient market hypothesis?
Using machine learning models (or other quantitative models) in trading does not necessarily assume the efficient market hypothesis. While some quantitative finance strategies may be based on the ...
1
vote
What are some factually incorrect quantitative finance answers generated by AI?
I tried the following prompt:
Write Python program to create a schedule in QuantLib having London, UK, holiday calendar, issue date on December 1, 2023, long first coupon paid on April 1, 2024, ...
Community wiki
1
vote
What are some factually incorrect quantitative finance answers generated by AI?
Asking Google Bard:
How to best estimate dv01 when perturbing interest rates by 1 basis point admits arbitrage?
Answer:
Estimating dv01 (duration contribution to the value of a security)
when ...
Community wiki
Only top scored, non community-wiki answers of a minimum length are eligible
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