Tag Info

Hot answers tagged

3

As you pointed out there are many ways to adjust for the roll overs. Hence, I guess you would agree that there is no one-size-fits-all answer to this. It really depends on the usage of the data: First think about how the trades in your back test are structured. If they are longer-term trades and you hold over roll overs then think what you would do if you ...


2

I believe you approach this whole issue from the wrong end. Market impact is a huge function of the size of your orders and therefore you cannot start to ask what strategies outperform certain market impact. Instead you should start to think about required returns and associated risk tolerance. Also define prudent risk management rules. From that results ...


1

The chart you linked to offers data for the "instantaneous forward rate" which are the rates you are looking for (f(tj,tj+τk)). Regarding the construction of the zero-coupon yield curves (cited from the ECB website): "The ECB estimates zero-coupon yield curves for the euro area and derives forward and par yield curves. A zero coupon bond is a bond that ...



Only top voted, non community-wiki answers of a minimum length are eligible