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2d
comment How to effectively hedge a Fixed-Term deal in a foreign currency?
arf you're right, I was trying to simplify my problem too much. In my case the hedge is in USD, so it's not a perfect hedge. It makes things more complicated...
May
7
comment How to infer correlation?
I'm sorry Richard, I didn't get your last comment. Were you referring to method 1) by saying "by using MC"?
May
5
comment How to infer correlation?
Since I know nothing about the relation of $F$ and the other assets so how can I know the exact covariance?
May
5
comment How to infer correlation?
But is there any advantage compared to version 1)?
May
5
comment How to infer correlation?
If I assume $\epsilon$ is uncorrelated, then following your equation $ \rho_{F,i} = \frac{Cov(F,r_i)}{\sigma_F \sigma_i} = \beta \frac{ Cov(r_m,r_i)}{\sigma_F \sigma_i}$. Replacing $\beta = \rho_{F,m} \frac{\sigma_F}{\sigma_m}$, you get $ \rho_{F,i} = \rho_{F,m} \frac{ Cov(r_m,r_i)}{ \sigma_m \sigma_i} = \rho_{F,m} \rho_{i,m} $ right?
Apr
10
comment Source for Normalized File of ETF Holdings
We're trying to have all data sources question in the same thread and to avoid create new ones.
Apr
10
comment Explain the unconditional covariance in Dynamic Conditional correlation( DCC ) GARCH model
Please be straight to the point when answering, it's just clearer for everybody.
Mar
20
comment dividend cash in month
This site is dedicated to quantitative finance professionals, see help center.
Mar
19
comment How to compute the conditional expected value of a geometric brownian motion?
Correct me if I'm wrong, but $\mathbb{E}[X|X<z] \neq \mathbb{E}[X\mathbb{I}_{X<z}]$ right? The first being conditional expectation and the second being called partial expectation apparently?
Mar
18
comment How to compute the conditional expected value of a geometric brownian motion?
Well then isn't that the definition of conditional expectation?
Mar
18
comment How to compute the conditional expected value of a geometric brownian motion?
Ok then I changed it back, but aren't you looking to compute the expectation of the return give the return is below $z$?
Mar
18
comment How to compute the conditional expected value of a geometric brownian motion?
I think conditional expection is a more usual way to describe this.
Mar
18
comment How to measure interest rate risk of an equity?
Please avoid using abbreviations in your questions, as it makes it less globally understandable. Like what is XLU, what is ZB, what is DV01 (I "corrected" that one)?
Mar
18
comment In a FX options book, is the sum of P&L equal to the portfolio value?
Why wouldn't it be? Do you have an example?
Mar
16
comment Can you explain me these comments on high frequency data?
It would always be good to include them in the question as a reference. Context might help us answer your question, for example.
Mar
16
comment Except Zipline, are there any other Pythonic algorithmic trading library I can choose?
Then you should include these inside your answer, stating very clearly that you're part of the project.
Mar
13
comment What is a canonical book or article to learn pair trading?
Wow, the comments on the Amazon page don't suggest it's that good...
Mar
12
comment How to estimate parameters of geometric brownian motion with time-varying mean?
What would actually be awesome is if could post your code here! I'm sure it would definitely help other people in the future!
Mar
12
comment Can you explain me these comments on high frequency data?
Would have been good to have a supporting research paper for your first point. It's not really clear to me that the fact that sometimes there are more trades than other induces serial correlation. Regarding your second statement, isn't the fact that a fair price of 1.4 tick away would have to move only 1 tick offsetting the 1.6 case?
Mar
12
comment Can you explain me these comments on high frequency data?
What are the slides you're talking about? Are they available somewhere? What is it in the statements that you don't understand? Is it that you don't understand or don't agree?