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Top Questions

1 vote
3 answers
144 views

Why are monthly active returns averaged? Should they not be multiplied?

3 votes
1 answer
141 views

When to use a Local Vol model vs Stochastic Vol Model?

2 votes
1 answer
66 views

How to correctly explain the current price action in a trading chart with the Hurst Exponent found?

0 votes
1 answer
47 views

MM Proposition and the cost of debt

1 vote
1 answer
98 views

What is the APT trying to say?

0 votes
0 answers
104 views

How would the following be priced?

2 votes
0 answers
83 views

How did Bachelier characterize the Brownian motion?

0 votes
1 answer
48 views

Alpha calculation inconsistent across methodologies

-1 votes
0 answers
71 views

Does the usual theory (e.g. Black-Scholes) make sense for FX options?

0 votes
1 answer
49 views

Calculate Exponentially-Weighted Covariance Matrix over Finite Window

3 votes
1 answer
47 views

Do managers information ratios exhibit autocorrelation? Ie. are they stable over time?

0 votes
2 answers
36 views

Automatically Import Stock Data - Yahoo Finance & Microsoft Excel

2 votes
0 answers
56 views

Marginal Risk Contribution Implementation Questions

0 votes
0 answers
55 views

Inconsistency between simulation and the probability of a "stock" hitting take profit before stop loss

3 votes
0 answers
54 views

Are Black-Scholes Greeks bounded?

1 vote
0 answers
54 views

Deviation between spot price and implied spot price of S&P500 mini-futures

1 vote
0 answers
49 views

Questions on the calculation of time series momentum

0 votes
0 answers
46 views

how can I linearize a constraint of the form sum(min(x(i),y(i))) for a linear optimisation problem?

0 votes
0 answers
43 views

short rate, yield curve and zero-coupon bond price formula under CIR mode: How to calibrate the market price of risk

-1 votes
0 answers
43 views

Eulero discretization [closed]

0 votes
0 answers
43 views

Weekly S&P500 options price data

0 votes
0 answers
41 views

what exactly is a time bucket? [closed]

1 vote
0 answers
40 views

What does a portfolio risk of 20% mean?

0 votes
0 answers
39 views

Kyle model for market-maker price

0 votes
0 answers
36 views

How to calculate the log return of portfolio?

0 votes
0 answers
34 views

Commodity Futures Cascading in Python

1 vote
0 answers
33 views

Is there a closed form solution to calculate Fugit for stock options?

0 votes
0 answers
31 views

Estimating Intraday Volatility with OHLC Data [duplicate]

1 vote
0 answers
31 views

Why does changing the step size in my Binomial Tree changes the final stock prices so much?

0 votes
0 answers
30 views

Best approach to select strike prices for an Iron Condor?

2 votes
0 answers
30 views

The price of liquidity

1 vote
0 answers
29 views

Constructing a Replicating Portfolio : Regression on Individual Constituents or their Average?

0 votes
0 answers
27 views

Options Market making, what to do with ITM options

0 votes
1 answer
27 views

SDE linear combination of stock price

1 vote
0 answers
26 views

Determine if stocks are hurt by rates or recession fear

1 vote
0 answers
25 views

Fitting model between security price and intraday volatility

0 votes
0 answers
25 views

Reasonable way to price swap under realized forwards assumption

0 votes
0 answers
22 views

How to predict what stage of business cycle we are currently in based off of unemployment indicators

0 votes
0 answers
22 views

Is it possible to simulate yield spreads for different bonds?

1 vote
0 answers
22 views

Betas and weighted average ERP

0 votes
0 answers
21 views

Estimating difference in implied volatility from difference in PV

1 vote
0 answers
20 views

Should I include factor loadings as explanatory variables for regression of abnormal and raw returns?

1 vote
0 answers
20 views

Assistance understanding relation between the "Bid-ask bounce" and the "Tick rule"+"Quote rule"

-1 votes
0 answers
19 views

Correlation Calculations in googlesheet not matching tradingview native corr

0 votes
0 answers
19 views

What exactly is revenue leakage?

0 votes
0 answers
18 views

MultiFactor Risk Model Ex Ante StDev vs. StDev of Monte Carlo PnL Distribution

0 votes
1 answer
18 views

Credit rating of an Issuer


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