Top new questions this week:
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I'm looking for a (hopefully exhaustive or at least extensive) list of behavioral biases that are currently observable in the stock market. I'm well aware and replicated some of the evergreens such as ...
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This answer claims that
$$\sigma^2_{ATM}\approx E^Q\left(\frac{1}{T}\int_0^T\sigma^2_t dt\right)$$
ie implied ATM vol = risk-neutral expectation of integrated variance.
Is there some proof available? ...
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I have the following expression for which I wish to find the $\vec{w}$ which minimizes it:
$$
L = \frac{\vec{w}^TA\vec{w}}{\vec{w}^TB\vec{w}} - \lambda(\vec{w}^T\vec{1} - 1)
$$
The partial derivates ...
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I'm currently trying to gather more information on option pricing in very inefficient markets for the underlying. By inefficient, I mean markets with consequential bid-ask spreads (5% or more) and ...
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I'm looking at this video: https://www.youtube.com/watch?v=fZmuJ2A9TC8 @4:43 but the issue is more general.
Here the speaker is taking monthly active returns and averaging them
...
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In the book "The Concepts and Practice of Mathematical Finance" author M. Joshi writes on page 12 the following:
"From the point of view of risk, we can regard an option as an attempt
...
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I recently came across an article that described how big market participants like GS, JPM, etc. take off large equity positions (block trades) of their clients, and putting that risk on their own ...
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Greatest hits from previous weeks:
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I found the website https://www.alphavantage.co as an alternative for yahoo finance stock API.
I am interested in the top 30 DAX symbols, but I seem to cannot find them on Alpha Vantage. Is there a ...
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which is the difference betwee a model like CAPM and a single index model?
Is the first a special case of the second?
Best
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I understand Fed Funds Rate is the rate at which banks lend/borrow to/from each other to maintain their daily reserve requirements at the Central Bank; also it is unsecured-meaning no collateral.
Is ...
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Let the Black-Scholes formula be defined as the function $f(S, X, T, r, v)$.
I'm curious about functions that are computationally simpler than the Black-Scholes that yields results that approximate $...
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I'm using KPSS Method to check if the series is stationary, but I would also like to use another test to confirm if the series is stationary or not, what method coudl I use?
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How do volatility and variance differ in finance and what do both imply about the movement of an underlying?
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I'm writing my master's thesis about stock price prediction using machine learning methods. During my literature review, I noticed that a lot of research produced on this topic is of poor quality, ...
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Can you answer these questions?
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I'm a bit confused about the definition of contract notional value for a futures contract. It is not defined in John Hull's Options, Futures, and Other Derivatives. I find two definitions online. Both ...
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In the following practice problem:
Is the futures price of a stock index greater than or less than the
expected future value of the index? Explain your answer.
The answer given is as follows:
The ...
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I recently joined a bulge bracket bank in New York City trading the long-end but mostly doing a lot of analysis until I get up to speed. I'm working on the Wildcard model which is going to be an ...
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