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Sep
22
comment Why most of apple stock price since 10years have been gained overnight?
What is your question? The simple answer to the question in your header is that more price impacting news hits the wires after market close and before market open. Also, Apple derives most of its revenues and earnings from outside the U.S. Whats so surprising?
Sep
21
comment Why would there be a positive risk-free rate?
It would be nice the next time you almost entirely change your question to let a little bit of time pass before choosing an answer so everyone gets a chance to adjust their answers. What you ask now is very different from the question you initially asked.
Sep
19
comment Why should we expect geometric Brownian motion to model asset prices?
Sure it is, with weeks/months delays which I consider fast in terms of lost IP but long enough in terms of being able to capture some alpha before the rest of the street catches on.
Sep
19
comment Why would there be a positive risk-free rate?
Your point is another academic anecdote that unfortunately floats around way too often. a) Treasury bills are not risk-free. US Government debt is not even triple A rated anymore. b) I explained that depending on utility certain market participants are not content with generating 2% per annum, no matter the risk incurred. c) leveraging such "investment opportunity" is an urban myth: You assume the interest you pay on a loan to purchase risk-free assets is lower than the yield on such instruments -> certainly not true in most cases. Also, bidding such instruments pushes down yields even further
Sep
19
comment Why would there be a positive risk-free rate?
why models allow for it to be only positive?
Sep
15
comment For which instruments performs SABR/LMM better than LMM?
To my knowledge, most swaptions traders peruse the SABR or extended SABR model.
Sep
12
comment Hedging future USD cost using different IR and forwards
What is the exact question? I suppose it is how many euros you need to pay 6 months hence in order to receive USD 2500? That would be 1/1.30 EUR/USD * 2500 USD = EUR 1923.07. No need for anything else. You look to hedge spot fx risk. This provides the hedge. Keep in mind there does not exist one single hedge in the universe of finance that does not expose you to any risk. It all comes down to which risks you specifically do not want to be exposed to and which risks you can accept exposure to.
Sep
12
comment Filtration and measure change
you beat me to it and Exercise 5.5 shows exactly that.
Aug
28
comment What software should I use for forex arbitrage?
What do you want to arbitrage? I suggest it may be a little late to the game (around 5-10 years to be honest) when you could broker arb in the fx world or meaningfully make money from triangular arb. Also, given you are dependent on json feeds which are inherently "slow" you will not benefit from a system architecture that is faster than your weakest link. Please elaborate on your question because it is very unclear what you actually want!
Aug
6
comment How to create charts in WPF finance applications?
@SRKX, I posted a SciChart review based on my extensive testing, quant.stackexchange.com/questions/3158/…
Aug
1
comment Looking for Research Paper on Creation of Currency Baskets
@BobJansen, unfortunately not (the paper I came across was a published in 2014, sorry should have mentioned that), but nonetheless thank you for the two links, the first paper I was aware of but unfortunately aims at different objectives (raw material price minimization of variances)
Jul
31
comment Looking for Research Paper on Creation of Currency Baskets
Thanks, I am familiar with the BIS methodology, but I am not looking for trade weighted indices. As mentioned I look for methodologies that exclusively source pricing data and preferably approaches that strip out individual currency strength/weakness
Jul
18
comment ETFs have lower tracking error than Futures?
Agree, it depends on the ETF and actual asset class, in case of VIX futures vs VIX ETF (VXX) the ETF has a much larger tracking error. Case in point, VIX Index advanced 39% at some point while the ETF advanced less than 9%. The futures fared a little better. The high tracking error (to the index) is related to several VIX specific issues but this is an example where generally the ETF tracks worse than the futures.
Jul
15
comment How do I calculate Sharpe ratio from P&L?
Of course it makes sense why would it not, it is important to know whether a high frequency trading strategy has sufficient turnover and generates sufficiently positive returns in the context of risk, taken, whether we talk daily Sharpe or annualized Sharpe.And as said bootstrapping, resampling, drawdowns, nor avg win/loss has anything to do with the question at hand. Anything that generates income (even your salary) is somehow capitalized, hence the ability to calcultate returns.
Jul
15
comment How do I calculate Sharpe ratio from P&L?
That is simply incorrect. Of course do any trading strategies allow for the computation of return metrics. How else do you think some hft houses generate and publish 7+ Sharpe ratio performance metrics? With all due respect but you do not sound like a market practitioner at all. Resampling is certainly not done by professionals in this context. And why do you talk about drawdowns or recovery periods when commenting on risk adjusted return metrics?
Jul
15
comment Sharpe ratio in days with no open positions
By the way your definition of information ratio is incorrect. Information provides a return in excess of a defined benchmark in the context of risk. It has nothing to do with signal-to-noise, not sure how you make that connection.
Jul
15
comment Sharpe ratio in days with no open positions
Call it whatever you want as long as you make the proper disclosure you can define and use whatever risk adjusted return measure pleases you. I merely reflected what from my experience in the market seems to be the accepted practice. You have of course a right to disagree and write up your own answer to reflect how you think the world ticks, which you have done. People care about understanding generated returns in the context of risk taken and if that excludes days on which no returns were generated and everyone knows through disclosures then everyone is happy.
Jul
15
comment Sharpe ratio in days with no open positions
Well you do not generate any returns, excess or not, on days you do not have open posions or close open positions.
Jul
15
comment Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Not saying that your answer is in any way deficient, just wanted to add that little bit of information. Cheers
Jul
15
comment Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
I would argue that the inclusion of the risk free rate is a bit out-dated. I know of a number of hedge funds that do not include the risk free rate in their computations (albeit they mention it in the disclosure documents). There is no real risk-free rate, sovereign bills or bonds are anything but risk-free, including bills issued by the US Treasury. Imagine short rates were 20% then the Sharpe ratio with inclusion of Rf would be badly skewed. Sharpe is not a comparable risk measure but measures return relative to its own risk.