Hottest Questions This Week

0

votes

2

answers

76

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Hull's book par yield example

bond-yields yield

answered Jan 16 at 23:08 Aksakal almost surely binary 551

2

votes

2

answers

178

views

Are there any standards for the precision of stocks prices, amount of stocks etc.?

answered Jan 17 at 5:47 JoshK 1,842

0

votes

1

answer

77

views

Delta and vega sensitivities for Cap

delta vega cap

modified Jan 15 at 19:21 David Duarte 3,935

1

vote

2

answers

92

views

Recreating Bid-Ask from Transactions data

market-data historical-data limit-order-book high-frequency-estimators

answered 2 days ago Sharad 291

1

vote

2

answers

90

views

What drives the difference between M1 & M2 money supply (in the US)?

equities inflation financial-markets central-banking money-markets

modified 7 hours ago Sharad 291

1

vote

1

answer

70

views

Best way to treat negative P/E and extremely high P/S in data?

data

answered Jan 18 at 16:48 noob2 7,561

0

votes

1

answer

54

views

What does XIRR show?

finance

answered Jan 15 at 20:12 demully 3,227

0

votes

0

answers

63

views

Vasicek Model With Jumps

optimization calibration vasicek jump-diffusion

modified 2 days ago Mild_Thornberry 300

1

vote

1

answer

49

views

Valuing Bonds With Continuous Coupon Yields

bond

answered 2 days ago Kermittfrog 2,510

0

votes

1

answer

62

views

ECB - Two Tier System

interest-rates central-banking interbank-rates money-markets

answered 11 hours ago Attack68♦ 6,927

1

vote

0

answers

59

views

Style analysis and Kalman Filter

programming time-series kalman analysis

modified yesterday Pleb 606

0

votes

0

answers

58

views

Heston model vs. GARCH

option-pricing black-scholes garch stochastic-volatility heston

asked 2 days ago Qwerty 1

0

votes

1

answer

34

views

Historical intraday dataset with penny stocks with a gap-up of 10% or above

equities data historical-data intraday

answered yesterday Pleb 606

0

votes

2

answers

34

views

Intepreting European call option when expiration approaches to infinity

options option-pricing black-scholes european-options black-scholes-pde

modified 3 hours ago Kermittfrog 2,510

2

votes

0

answers

55

views

What makes modeling interest rate derivatives very difficult compared to equity derivatives?

interest-rates derivatives

asked Jan 15 at 18:23 Hari 21

0

votes

1

answer

41

views

What quantifiable factors contribute to the globalization of a currency?

currency

modified 20 hours ago Brian B 13.6k

1

vote

0

answers

52

views

Cross Currency Swap Bids and Offers?

swaps ois cross-currency-basis basis

asked Jan 15 at 21:22 Johnny Treawoski 11

0

votes

1

answer

50

views

Pca on multidimensional data

pca

answered yesterday stans 171

0

votes

1

answer

48

views

T-statistics on monthly returns vs annualized monthly returns

returns variance expected-return standard-deviation t-stat

modified 9 hours ago mark leeds 750

0

votes

1

answer

48

views

What's the price of a lookback call option in the arbitrage-free CRR-model?

option-pricing risk-neutral-measure martingale binomial-tree equivalent-measure

modified 22 hours ago Simon Therien 15

0

votes

0

answers

47

views

The “infinite housing leveraging strategy” - Is it legitimate? Where does the infinite passive income come from?

leverage real-estate

asked Jan 18 at 0:51 Maximilian Janisch 101

1

vote

0

answers

45

views

OIS example in Hull's book

interest-rates interest-rate-swap overnight-index ois-swaps fed-funds

asked Jan 15 at 22:08 Xiaohuolong 361

0

votes

0

answers

44

views

Index to track my portfolio of all ETFs

portfolio-management portfolio-optimization portfolio-selection black-litterman indexes

modified 2 days ago E_newbbie 1

-1

votes

0

answers

36

views

How does kurtosis impact portfolio optimization if other moments are equal?

portfolio-management portfolio-optimization modern-portfolio-theory portfolio-selection kurtosis

asked 17 hours ago MK23 19

0

votes

0

answers

35

views

Bank's excess liquidity question

rates central-banking interbank-rates

asked 2 days ago user3705076 27

0

votes

0

answers

34

views

How to extend discrete time stochastic volatility models to be able to price options in continuous time?

options option-pricing stochastic-volatility continuous-time

asked Jan 18 at 21:03 Taylor 484

0

votes

0

answers

33

views

Optimal order placement in limit order markets

quantitative order-execution poisson

asked Jan 19 at 9:21 Nhân Thành 1

0

votes

0

answers

33

views

Calculating the eigenvector centrality of a portfolio described by a minimum spanning tree

asset-allocation graphs eigenvalue

asked 2 days ago Vitomir 744

0

votes

0

answers

32

views

How do you detect order execution algorithms?

market-microstructure algorithmic-trading market-making automated-trading

asked 16 hours ago Dylan Kerler 131

0

votes

0

answers

32

views

Free swaps/swaptions data

interest-rates swaps yield-curve swaption

asked Jan 17 at 19:53 deblue 11

0

votes

1

answer

31

views

Best way to get Sharpe ratio and volatility based on BBG-data in Excel for automation

bloomberg excel vba

answered Jan 18 at 18:10 David Duarte 3,935

0

votes

0

answers

31

views

Bonds portfolio - total return

fixed-income portfolio-management returns bond-portfolio

asked Jan 19 at 1:23 Ian Moone 1

1

vote

0

answers

30

views

Defining the Average Length of Business Cycle using AR(p) model

time-series

asked Jan 16 at 23:38 IDontKnowCode 11

0

votes

0

answers

28

views

Money management for every profitable 3rd trade

money-management

asked Jan 18 at 20:06 Vladimir Kovalchuk 101

0

votes

0

answers

27

views

Apply dependent double qcut (à la Fama-French) in python

programming fama-french portfolio-selection

modified Jan 18 at 10:06 develarist 2,743

0

votes

0

answers

27

views

Possible survivorship bias

performance-evaluation

asked yesterday paszen 1

-2

votes

0

answers

27

views

What mechanisms does the market use to brining an asset back to the market line, as defined by CAPM?

equities asset-pricing capm market-efficiency

modified yesterday Roman 895

0

votes

0

answers

23

views

How does Intrinsic and Time Premium factor into deep ITM options for leveraged securities

options quant-trading-strategies trading option-strategies

modified 16 hours ago Pleb 606

0

votes

0

answers

23

views

What BUY order type should I use if I have a limit price in mind, but I still want to capture best price if it goes below my limit?

equities trading

asked Jan 19 at 1:15 James 1

0

votes

1

answer

21

views

Calculate weight of an asset

capm mean-variance asset-returns

answered 53 mins ago Kermittfrog 2,510

0

votes

0

answers

20

views

What is a proper way to evaluate a backtested strategy if its trading asset has a strong trend?

backtesting market-making performance-evaluation bitcoin

asked 19 hours ago kaz 1

1

vote

0

answers

19

views

Understanding end-of-month options embedded in Treasury Futures

futures bond-futures

asked yesterday GZ- 11

0

votes

0

answers

19

views

How do you determine the magnitude of the up/down steps in a binomial tree from the mean and variance of its increments?

binomial-tree

asked yesterday John Smith 165

0

votes

0

answers

16

views

CCIRS Valuation - Discount rate adjustment

interest-rate-swap ois-discounting cross-currency-basis

asked yesterday JeromeC 1

0

votes

0

answers

14

views

How come 4 price dojis have such massive gaps? [closed]

charts

asked 17 hours ago Owen M. 1

0

votes

0

answers

11

views

Carry & Roll, roll down current curve valid assumption?

fixed-income bond swaps forward

asked 10 hours ago Kanivan 1

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