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active 1 featured hot week month

3

votes

1

answer

153

views

Market Making Strategy to Interact with IB API

trading high-frequency market-making interactive-brokers

modified yesterday Bob Jansen♦ 3,089

0

votes

3

answers

98

views

10 years intraday for a single stock

data historical-data tick-data

answered Aug 11 at 4:55 Ganesh Sonawane 46

0

votes

1

answer

78

views

How to deal with missing value in a time series stock market data?

time-series data market-data historical-data index

modified Aug 10 at 1:23 Serg 539

1

vote

1

answer

118

views

Limit and Market Order for training a ML model

market-data python machine-learning market-making limit-order-book

modified Aug 9 at 16:52 Serg 539

1

vote

1

answer

49

views

What's the most accurate benchmark index for US corporate and treasury bonds

fixed-income bond index etf benchmark

answered yesterday J-F 81

1

vote

1

answer

61

views

Exclusion of Utilites and Financials in Magic Formula

equities finance factor-models market accounting

modified yesterday skoestlmeier 133

2

votes

1

answer

46

views

Duration: Parallel shift in yield curve assumption

yield-curve bond-yields duration

answered Aug 8 at 23:55 dm63 6,436

2

votes

2

answers

54

views

name of this portfolio optimization strategy

portfolio-management portfolio-optimization

answered Aug 11 at 10:15 PF Chang 1

0

votes

1

answer

32

views

For a fixed-fixed cross currency swap, can I use a curve with two floating legs to discount the cash flows?

fixed-income swaps

modified yesterday Attack68 1,768

2

votes

1

answer

50

views

Examination of Betting Against Beta

portfolio-management modern-portfolio-theory capm

modified Aug 11 at 15:19 Alex C 5,203

-3

votes

0

answers

62

views

Easiest programming language to implement this algorithm? [closed]

programming algorithm

modified Aug 10 at 15:42 snowoman 1

-1

votes

1

answer

44

views

VaR for Options portfolio

options portfolio historical-data var

answered Aug 10 at 5:12 Sulthan 23

0

votes

1

answer

34

views

Comparing two regressions that differ by a few data points

regression

answered 11 hours ago Tim Wilding 681

0

votes

0

answers

49

views

Minimizing Correlation to Index

portfolio-optimization optimization correlation

modified Aug 8 at 14:26 hps 132

1

vote

0

answers

48

views

Pair trading strategies in fixed income

pairs-trading fixed income

asked 2 days ago ababoua 44

0

votes

1

answer

46

views

Bootstrap daily OIS forward rate

bloomberg interest-rate-swap forward-rate bootstrapping ois

answered yesterday JoshK 564

1

vote

0

answers

45

views

Control Variate Barrier Basket Option

options monte-carlo

modified Aug 10 at 10:03 Hans 961

1

vote

0

answers

42

views

A basic question about short-rate models

fixed-income hullwhite

asked Aug 9 at 16:28 Alisha 16

1

vote

0

answers

42

views

+50

Compo Feature in Asian Option on Futures

options option-pricing stochastic-calculus futures asian-option

modified 22 hours ago AlexAbrahams 35

0

votes

1

answer

24

views

Characteristic Portfolio for an Attribute [on hold]

portfolio-optimization portfolio-selection

modified Aug 10 at 19:43 Alex C 5,203

-1

votes

1

answer

24

views

How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?

fixed-income bond bloomberg excel

answered 18 hours ago oronimbus 76

1

vote

1

answer

39

views

Crowding in factor investing; Solid metrics

factor-models fundamentals momentum

answered yesterday J-F 81

-1

votes

0

answers

38

views

Is the volatility of a $\delta$ delta call and $1-\delta$ delta put equal?

implied-volatility delta

modified 5 hours ago Trent Di 13

-1

votes

1

answer

38

views

Calculate Idiosyncratic Risk?

volatility risk fama-french standard-deviation

answered Aug 10 at 6:38 eSurfsnake 198

0

votes

0

answers

37

views

Pair trading cointegration

regression cointegration pairs-trading

asked 2 days ago ababoua 44

0

votes

0

answers

37

views

Which method would you use to compare if a time series of financial returns has more “clusterized volatility” than another?

time-series log-returns cluster markov-switching

modified 18 hours ago Xavio 51

-2

votes

0

answers

37

views

How to implement intraday pair trading strategy which exits before EOD [on hold]

quant-trading-strategies trading python

modified 11 hours ago Alex C 5,203

0

votes

0

answers

36

views

Finding an stationary Basket in FX Market [on hold]

algorithmic-trading basket

modified yesterday user2252714 1

2

votes

0

answers

36

views

Pricing a preferred share

equities fixed-income pricing

asked yesterday John Doe 60

1

vote

0

answers

35

views

How to measure the Sharpe Ratio of a high frequency trading strategy?

high-frequency sharpe-ratio

asked Aug 8 at 13:42 Scott Skiles 143

0

votes

0

answers

35

views

Closed form Mean variance solution w/ positive weights constraint

optimization mean-variance

modified Aug 9 at 19:50 Michael 127

1

vote

1

answer

35

views

Credit Spreads and Relative Value : floating vs fixed bond

fixed-income interest-rates credit-risk relative-value

modified Aug 10 at 21:23 Attack68 1,768

0

votes

0

answers

34

views

Why is inflation breakeven defined as real - nominal and not real/nominal?

fixed-income inflation

asked Aug 11 at 20:25 user9012838001293 11

-1

votes

0

answers

32

views

How do stock market simulators calculate price? [on hold]

equities pricing algorithm game

modified 2 days ago GuacheSuede 1

1

vote

0

answers

32

views

Does it make sense to calculate an option price in future (at t+1)?

option-pricing volatility vega stress-testing

asked Aug 8 at 11:18 Maksym Bondarenko 21

1

vote

0

answers

32

views

The utility function in Betting Against Beta

capm beta

asked Aug 8 at 16:05 JohanL 6

0

votes

0

answers

32

views

About Fourier-Based Option Pricing

option-pricing fourier-transform

asked 18 hours ago Lopo 16

0

votes

0

answers

31

views

Compute the beta of portfolios constructed from the Betting Against Beta strategy [on hold]

portfolio-management modern-portfolio-theory beta

modified Aug 9 at 23:41 Mats Lind 740

-1

votes

0

answers

31

views

Optimal time series length to calculate historical volatility

volatility interest-rates time-series

asked yesterday Bhaskar Gudimetla 24

1

vote

0

answers

30

views

Do you receive premium from selling VXTY futures?

options futures

asked Aug 8 at 18:03 HK47 135

1

vote

0

answers

30

views

Has work been done on PID controllers for optimal trading?

trading optimization market-microstructure market-making

asked Aug 11 at 20:24 Kch 191

0

votes

0

answers

29

views

Practical way to estimate the sensitivity of equities to a rising interest rate scenario

regression stress-testing scenario-test

asked Aug 10 at 13:56 beeba 521

0

votes

1

answer

22

views

How to calculate the normalized value of a changing stock portfolio?

portfolio normalization

answered Aug 12 at 4:32 JoshK 564

0

votes

0

answers

26

views

Is the volatility smile independent of the volatility itself?

volatility vix volatility-smile

asked Aug 11 at 19:43 iamcj 1

-1

votes

0

answers

25

views

PortfolioAnalytics [R] - optimize.portfolio.rebalancing error HELP

programming portfolio-optimization optimization

asked 2 days ago Luke 1

2

votes

0

answers

24

views

Interest model calibration and binomial trees

interest-rates calibration binomial-tree

asked Aug 11 at 13:33 Bhaskar Gudimetla 24

0

votes

0

answers

24

views

Importance sampling weights

options monte-carlo

modified yesterday Cedric_W 72

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