Hottest Questions This Week

1 vote

3 answers

144 views

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

Pontus Hultkrantz

966

modified May 20 at 5:38

3 votes

1 answer

141 views

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

implied-volatility stochastic-volatility local-volatility

AKdemy

4,228

modified May 20 at 8:15

2 votes

1 answer

66 views

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

futures trading pairs-trading short-selling hurst-exponent

amdopt

3,680

answered May 20 at 11:58

0 votes

1 answer

47 views

MM Proposition and the cost of debt

interest-rates capital-structure

nbbo2

9,347

modified May 17 at 20:18

1 vote

1 answer

98 views

What is the APT trying to say?

modern-portfolio-theory

fesman

1,252

modified yesterday

0 votes

0 answers

104 views

How would the following be priced?

valuation game-theory

user2520938

127

modified yesterday

2 votes

0 answers

83 views

How did Bachelier characterize the Brownian motion?

brownian-motion finance-mathematics sde history bachelier

Mr Frog

221

asked May 17 at 22:39

0 votes

1 answer

48 views

Alpha calculation inconsistent across methodologies

returns excel calculation

MYK

165

modified May 18 at 9:41

-1 votes

0 answers

71 views

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

options fx pricing theory

Will

99

asked 2 days ago

0 votes

1 answer

49 views

Calculate Exponentially-Weighted Covariance Matrix over Finite Window

programming covariance-matrix

Ringleader

98

modified May 17 at 13:36

3 votes

1 answer

47 views

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

modern-portfolio-theory

amdopt

3,680

answered May 19 at 19:14

0 votes

2 answers

36 views

Automatically Import Stock Data - Yahoo Finance & Microsoft Excel

finance excel yahoo

Mohamed GadAllah

11

modified 9 hours ago

2 votes

0 answers

56 views

Marginal Risk Contribution Implementation Questions

portfolio modern-portfolio-theory

inf

31

modified 2 days ago

0 votes

0 answers

55 views

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

programming time-series probability simulations

Vanillihoot

1

asked yesterday

3 votes

0 answers

54 views

Are Black-Scholes Greeks bounded?

black-scholes greeks

Frido Rolloos

4,789

asked May 20 at 13:41

1 vote

0 answers

54 views

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

futures arbitrage no-arbitrage-theory theory

Devtons

11

asked May 20 at 19:29

1 vote

0 answers

49 views

Questions on the calculation of time series momentum

finance quants financial-engineering momentum

nbbo2

9,347

modified May 18 at 1:00

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?

portfolio-optimization optimization

democrit

1

modified 2 days ago

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

bond yield-curve price short-rate zero-coupon

user53249

409

asked May 19 at 12:50

-1 votes

0 answers

43 views

Eulero discretization [closed]

programming stochastic-processes stochastic-volatility euler

GloBag578

1

modified 1 hour ago

0 votes

0 answers

43 views

Weekly S&P500 options price data

options data sp500

nbbo2

9,347

modified May 17 at 20:19

0 votes

0 answers

41 views

what exactly is a time bucket? [closed]

volatility quant-trading-strategies algorithmic-trading machine-learning

dopller

33

asked 2 days ago

1 vote

0 answers

40 views

What does a portfolio risk of 20% mean?

risk modern-portfolio-theory

MYK

165

asked May 17 at 14:34

0 votes

0 answers

39 views

Kyle model for market-maker price

market-making price

Anton

1

asked May 19 at 11:25

0 votes

0 answers

36 views

How to calculate the log return of portfolio?

portfolio-management quant-trading-strategies portfolio log-returns asset-returns

user2991243

275

modified 4 hours ago

0 votes

0 answers

34 views

Commodity Futures Cascading in Python

programming futures commodities

Saïd Maanan

101

modified 2 days ago

1 vote

0 answers

33 views

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

greeks american-options

DLW

23

asked May 19 at 21:08

0 votes

0 answers

31 views

Estimating Intraday Volatility with OHLC Data [duplicate]

volatility etf intraday ohlc

Ringleader

98

asked May 18 at 14:19

1 vote

0 answers

31 views

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

binomial-tree quants convertible-bond

Daan Commandeur

11

asked May 20 at 14:34

0 votes

0 answers

30 views

Best approach to select strike prices for an Iron Condor?

options derivatives trading option-strategies intraday

Ronith

1

asked yesterday

2 votes

0 answers

30 views

The price of liquidity

fixed-income bond bond-yields bond-futures rolling

AlRacoon

5,030

asked May 19 at 20:32

1 vote

0 answers

29 views

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

portfolio hedging regression tracking-error

rubikscube09

280

modified May 18 at 20:07

0 votes

0 answers

27 views

Options Market making, what to do with ITM options

options market-making

Kupoc

118

asked May 17 at 16:28

0 votes

1 answer

27 views

SDE linear combination of stock price

equities price sde expected-value

Kurt G.

1,419

answered May 20 at 17:24

1 vote

0 answers

26 views

Determine if stocks are hurt by rates or recession fear

equities interest-rates portfolio-management valuation

tweedi

495

modified May 18 at 19:51

1 vote

0 answers

25 views

Fitting model between security price and intraday volatility

volatility programming modeling intraday vwap

Ringleader

98

asked May 17 at 20:02

0 votes

0 answers

25 views

Reasonable way to price swap under realized forwards assumption

fixed-income quantlib

kismsu

149

asked May 20 at 16:39

0 votes

0 answers

22 views

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

programming prediction financial-markets

worldCurrencies

111

asked May 19 at 18:00

0 votes

0 answers

22 views

Is it possible to simulate yield spreads for different bonds?

fixed-income finance

Manuel K

1

asked May 18 at 13:41

1 vote

0 answers

22 views

Betas and weighted average ERP

capm beta risk-premium

Harsh Sharma

25

asked 2 days ago

0 votes

0 answers

21 views

Estimating difference in implied volatility from difference in PV

implied-volatility

Kermittfrog

5,378

modified 38 mins ago

1 vote

0 answers

20 views

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

regression factor-models fama-french factor-loading abnormal-returns

Grisha

66

asked May 17 at 19:00

1 vote

0 answers

20 views

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

equities trading bid ask

danish_student

11

asked 10 hours ago

-1 votes

0 answers

19 views

Correlation Calculations in googlesheet not matching tradingview native corr

correlation

Amit

1

modified 2 days ago

0 votes

0 answers

19 views

What exactly is revenue leakage?

finance

2stefan2000

1

asked May 20 at 6:02

0 votes

0 answers

18 views

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

monte-carlo value-at-risk risk-models

tommylicious

1

modified May 17 at 3:54

0 votes

1 answer

18 views

Credit rating of an Issuer

credit-risk credit-ratings

Harsh Sharma

25

answered May 19 at 13:51

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