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3

votes

2

answers

263

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Theoretical justification for technical analysis

technical-analysis moving-average

modified Aug 7 at 17:11 Jan Stuller 1,319

0

votes

2

answers

79

views

Do basket options have a closed form valuation formula?

modified 19 hours ago John1942 21

2

votes

2

answers

160

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Exchangeability of random vector

exchange random-variables

modified yesterday Wombat 107

2

votes

1

answer

105

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How to calculate the covariance involving Stochastic process

stochastic-processes

modified 2 days ago StackG 939

-3

votes

1

answer

166

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Is it pretty easy to predict the stock market from price/sales?

equities

modified yesterday user49526 1

4

votes

1

answer

74

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Ratio of the same process at different times

options

answered Aug 5 at 11:21 Arshdeep Singh Duggal 907

-2

votes

1

answer

91

views

What is volatility trading? [closed]

options volatility

answered Aug 5 at 13:37 Quantoisseur 336

-2

votes

2

answers

114

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Why has the market gone up while earnings got pummeled? [closed]

fundamentals

modified 2 days ago noob2 6,905

0

votes

1

answer

69

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Quantlib: How do I price a ZC bond using the Hull White model?

programming quantlib hullwhite quants

modified 20 hours ago StackG 939

0

votes

1

answer

92

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Is non-linear correlation an issue in portfolio optimization?

portfolio-optimization correlation mean-variance nonlinear

modified yesterday Attack68♦ 6,332

0

votes

1

answer

67

views

How to simulate Poisson and Compound Poisson process

option-pricing programming simulations

modified yesterday Math122 21

0

votes

1

answer

66

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How to estimate the risk-free rate when pricing options - calibration

option-pricing calibration

answered Aug 6 at 12:05 StackG 939

-1

votes

1

answer

64

views

Rolling Futures - VXX [closed]

futures

answered Aug 5 at 12:16 StackG 939

-3

votes

0

answers

102

views

Why dont people just short leveraged etfs? [closed]

volatility

modified Aug 8 at 13:15 Anthony Dwayne Chapelle 3

1

vote

1

answer

76

views

How to calculate a position's contribution to its portfolio's tracking error?

portfolio-management portfolio-optimization statistics performance-evaluation tracking-error

modified Aug 7 at 14:25 hartmut 143

1

vote

1

answer

95

views

CIR model. Is there a closed-form solution or even a good proxy of analytical solution?

stochastic-processes numerical-methods differential-equations wienerprocess cox-ingersoll-ross

modified Aug 7 at 0:16 ir7 1,980

4

votes

1

answer

73

views

Swaption PnL approximation/attribution

options interest

answered Aug 5 at 15:55 Dimitri Vulis 2,793

2

votes

1

answer

90

views

PV of the Floating Side of an “Overnight Index Swap” (at the fixing Date)

swaps valuation compounding

modified 18 hours ago ir7 1,980

0

votes

1

answer

52

views

Using Integrals With Internal Rate of Return?

discounting

answered Aug 8 at 10:07 Adam N. 21

0

votes

1

answer

61

views

Is it legitimate to assess the resilience of industries and sectors through the stock market?

forecasting econometrics

modified Aug 6 at 17:41 kurtosis 894

0

votes

2

answers

47

views

What do large weights above 1 in a portfolio represent?

portfolio-management portfolio-optimization covariance

modified yesterday noob2 6,905

1

vote

1

answer

56

views

Why is the liquidity of ATM stock options often relatively low even if the underlying security is being traded in large quantities

options liquidity

answered yesterday Quantoisseur 336

1

vote

0

answers

70

views

Good textbooks on xVA

xva

modified yesterday user48282 33

1

vote

0

answers

70

views

How to implement an “Active Long Volatility” Strategy?

volatility portfolio-management portfolio-optimization option-strategies

modified yesterday Ramón J Romero y Vigil 111

-1

votes

0

answers

69

views

Scaling a portfolio standard deviation with beta [closed]

beta

modified Aug 7 at 22:08 user49481 1

0

votes

1

answer

53

views

FX convertability modelling: have FX markets ever closed down?

fx liquidity

answered yesterday Dimitri Vulis 2,793

-1

votes

1

answer

49

views

Good ways to select best decision among N decisions, each with a profit/loss distribution? [closed]

risk risk-management value-at-risk numerical-methods

answered Aug 8 at 0:06 kurtosis 894

0

votes

1

answer

38

views

Calculate annualized returns and annualized volatility from monthly returns?

volatility returns annualized

answered 18 hours ago Quantoisseur 336

1

vote

2

answers

61

views

Volatility estimation based on a 60 days range

volatility black-scholes

answered Aug 6 at 23:30 noob2 6,905

1

vote

1

answer

60

views

Under Put-Call Parity, why do we add the cost of carry to Call prices but subtract them from the Stock price and Put prices?

interest-rates put-call-parity expected-return synthetic

answered 2 days ago kurtosis 894

0

votes

1

answer

33

views

How to quantify shares float on a stock?

fundamentals

answered Aug 6 at 23:35 kurtosis 894

-2

votes

1

answer

42

views

Quanto CDS- basic question- [closed]

cds

answered yesterday Dimitri Vulis 2,793

-2

votes

0

answers

53

views

Covid cause and effect [closed]

abnormal-returns

asked Aug 9 at 1:11 Anthony Dwayne Chapelle 3

2

votes

0

answers

53

views

Stocks with same volatility but different drifts

option-pricing black-scholes pricing asset-pricing

asked Aug 6 at 1:22 Xiaohuolong 159

0

votes

0

answers

52

views

How to generate two correlated random samples, one follows geometric Brownian motion, the other follows a beta distribution? [closed]

finance monte-carlo statistics correlation simulations

asked Aug 5 at 14:20 Kasa Min 9

0

votes

0

answers

51

views

What python library do you use for portfolio analytics?

programming software

modified Aug 8 at 4:38 nijshar28 21

0

votes

0

answers

50

views

Meta-Theorem Bjork, arbitrage and completeness

option-pricing no-arbitrage-theory market-model

modified Aug 7 at 5:59 ilovevolatility 2,219

1

vote

1

answer

50

views

Factor Model Regression Market Factor Statistically Insignificant After Adding Extra Factors

programming regression factor-models factor-loading

answered Aug 7 at 21:18 kurtosis 894

0

votes

0

answers

49

views

Can I build an efficient frontier using matrix algebra?

programming portfolio-optimization portfolio covariance

asked 2 days ago 123456789 1

-1

votes

0

answers

48

views

Estimate interest rate in USA next year and GBP/USD one year forward exchange rate [closed]

interest-rates forward-rate inflation spot-rate

asked Aug 8 at 22:04 Anav Aggarwal 1

0

votes

0

answers

48

views

Wrong way risk exotic option

correlation heston cva

modified 22 hours ago User022 1

2

votes

0

answers

47

views

Why does the Hurst exponent pseudo code not match the Python implementation?

statistics finance-mathematics mathematics quantitative hurst-exponent

modified Aug 7 at 7:58 noob2 6,905

-3

votes

0

answers

46

views

How are estimated correlation matrices used for portfolio theory?

portfolio-optimization correlation covariance

asked Aug 7 at 15:56 123456789 1

0

votes

0

answers

45

views

How can the different r2 score of an AR(1) model on prices vs. returns be explained

programming time-series regression

modified Aug 8 at 11:59 KIC 101

1

vote

0

answers

45

views

Early exercise premium with discrete cash dividends using integral approximation

options american-options

modified Aug 8 at 7:39 Aigar RB 41

0

votes

0

answers

45

views

Difference between IR01 and DV01? [duplicate]

interest-rates

asked Aug 7 at 20:25 Johnny_Mali39 1

0

votes

1

answer

34

views

Where bonds are marked v.s.where bonds are traded

bond trading etf

answered Aug 8 at 14:51 Kch 757

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