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 Yearling
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  • 63 votes cast
Apr
5
comment Are there any integrated framework that I can back-test and paper/live trading in one place?
You might want to look also at QuantConnect, I don't know where they are at with futures and options support these days.
Apr
5
comment Are there any integrated framework that I can back-test and paper/live trading in one place?
Are you tacitly asking also that this platform be free? I am pretty sure you could accomplish what you want with Deltix connecting via FIX.
Apr
2
comment How was the old VIX calculated?
Noob2 that is wrong. The weekly options change has nothing to do with VXO
Mar
21
answered Candlesticks: timestamp on open versus close
Feb
15
comment Where can I find ETF fund flow data?
Bloomberg terminals have the .SO (shares outstanding) data for most (all?) ETFs. You can deduce the flows from that.
Feb
4
comment Vega in a “constant volatility” Black-Scholes world?
They are still useful as a measure of model risk. All models are wrong, some are useful.
Feb
2
comment Determining the implied volatility for options with bid/ask prices below the intrinsic value
If such a discrepancy really existed, one would want to buy lots of those options, short lots of futures of the expiry and wait for your risk-free profit. More likely, there's an error in your data somewhere though, either quotes from different times, using cash instead of forward prices, the wrong or missing implied dividends rates, etc.
Jan
30
answered Modelling EUR/USD with Ornstein-Uhlenbeck + jumps?
Jan
20
comment Call options and portfolio of the same options worth less?
I mean the correlation between the assets.
Jan
18
comment Call options and portfolio of the same options worth less?
You might get some insight by doing the derivation for the case where the correlation = 1, then see what happens when you relax that.
Dec
24
awarded  Yearling
Dec
4
comment Why Central Bank carry out Qe when they can directly force banks to lower down the interest rate?
I would just like to add that I am not sure this question is relevant for Q.SE.
Nov
3
comment how do we know if the volatility which is quoted in market is Normal (Bachelier model) or log normal (Black 76)?
You can also find quotes in shifted-lognormal these days, at least for swaptions.
Oct
30
comment Fitting High Frequency Indicators
It's a linear model, maybe throw it all into a kalman filter? Online updating, very fast.
Oct
27
comment Historical Volatility vs Implied Volatility Performance in Pricing Options
It depends what you are trying to do; if you are hedging an exotic option, price it with implied vols so you have accurate hedge trades. If you are trying to profit from vanilla mispricings, use historical vol. However, even in that case, it sometimes makes sense to use IV. See: math.ku.dk/~rolf/Wilmott_WhichFreeLunch.pdf
Oct
16
comment Why is it useless to model stochastic volatility when pricing Vanilla style derivatives?
Right, you calibrate your fancy model using vanilla options and perhaps digitals or barriers, and at the end of the day, if you did your job, you price vanilla options to the same as the market data. But, you could save yourself a lot of trouble by just using the prices of the market data, or some interpolation thereof. Fancy models are all about extrapolation from what you have calibrated to something for which you do not have ready prices.
Oct
15
comment Which algorithms do robo-advisors use?
Nobody (hopefully) would be using vanilla Markowitz for anything. Robust portfolio optimization is table stakes, this is not rocket science.
Oct
14
comment Which algorithms do robo-advisors use?
Bayesian techniques are also popular.
Oct
14
comment Which algorithms do robo-advisors use?
Bootstrapping, Monte Carlo with perturbations, Meucci's techniques, etc.
Oct
14
comment Which algorithms do robo-advisors use?
Some I know are using more robust portfolio optimization techniques, some are using a bit of naive risk-parity, some are using variants of Black-Litterman, those are the things that I am aware of...