Quantitative Finance Stack Exchange Community Digest

Top new questions this week:

How would you approach this positive EV and high variance betting problem?

My friend was asked this question and I’m curious as to how people would play. There are 15 cards face down on a table. You can draw any number, n, of them at random. You only see the cards you have ...

user avatar asked by User2331418 Score of 4
user avatar answered by THAT'S MY QUANT MY QUANTITATIV Score of 3

Liquidity Stress Test of Investment fund - Liquidation tracking error

It is my first message on this board, I have hesitated a few days before bothering you with my struggles, but I've seen a lot of very knowledgeable and patient people here willing to help out. I ...

portfolio-management risk-management funds stress-testing  
user avatar asked by Bourrinou3 Score of 2

Hedging FX Risk of a fund

I manage a mutual fund where the underlying assets (or the shares i buys) are in USD, and my mutual fund is in CLP (Chilean Pesos). How can i hedge this fx risk without affecting the return of the ...

options fx hedging funds  
user avatar asked by user70213 Score of 1

A book that has exercises which closely resembles the content of Lorenzo's Stochastic Volatility Modeling book?

I'm currently going through Lorenzo's book Stochastic Volatility Modeling. The one issue I have is that it does not contain exercises to test your knowledge and learn. Is there a textbook that is ...

stochastic-volatility reference-request  
user avatar asked by THAT'S MY QUANT MY QUANTITATIV Score of 1
user avatar answered by StochasticMan Score of 0

US swap spreads

Traditionally US swap spreads were traded as LIBOR or OIS swaps versus USTs. In the former case the spread at the short end of the curve was very much a function of LIBOR repo spreads. Further, LIBOR ...

fixed-income interest-rate-swap bond-yields asset  
user avatar asked by user68819 Score of 1
user avatar answered by dm63 Score of 5

QuantLib Python - Discount Factor Interpolation within curve nodes

Generated a discount curve, dCurve.PiecewiseLogLinearDiscount() using input par rate for terms (.5Y, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 15Y, 20Y, 30Y) and output discount curve matching the input term structure....

programming quantlib discount-factor-curve  
user avatar asked by Mike Score of 1
user avatar answered by Xiarpedia Score of 1

QuantLib: Latin American FixedFloat Swap pricing with multiple payment frequency specification

With reference to the post of latin american swap, I am valuing the FixedFloat CLP swap.The specifications of this swaps has payment frequency upto 18 months as Zero coupon(1T) and after that ...

programming quantlib interest-rate-swap overnight-index  
user avatar asked by John83 Score of 1

Greatest hits from previous weeks:

how to interpret the GRS F test values?

I'm comparing the performance of Fama French three factor and Carhart four factor models. For the regression analysis, I have used the 25 Value Weighted portfolios sorted on size and B/M. The Table ...

user avatar asked by rahaa Score of 5
user avatar answered by Matthew Gunn Score of 11

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?

finance economics data-source  
user avatar asked by John Smith Score of 322
user avatar answered by Andy Nguyen Score of 270

Is R being replaced by Python at quant desks?

I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...

time-series statistics r python quants  
user avatar asked by Matt Wolf Score of 75
user avatar answered by statquant Score of 50

Why are there no papers about stock prediction with machine learning in leading financial journals?

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, ...

machine-learning market-efficiency  
user avatar asked by Psychotechnopath Score of 28
user avatar answered by Bob Jansen Score of 38

How to check if a timeseries is stationary?

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?

time-series stationarity  
user avatar asked by Dam Score of 20
user avatar answered by Shane Score of 17

Formula for forward price of bond

What is the formula for the forward price of a bond (assuming there are coupons in the interim period, and that the deal is collateralised) Please also prove it with an arbitrage cashflow scenario ...

bond forward pricing-formulae  
user avatar asked by Randor Score of 10
user avatar answered by Helin Score of 26

How to calculate historical intraday volatility?

Sorry for what must be a beginner question, but when I went to write code I realized I didn't understand exactly how historical volatility, or statistical volatility, is defined. Wikipedia tells me "...

volatility high-frequency market-microstructure tick-data high-frequency-estimators  
user avatar asked by Darren Cook Score of 32
user avatar answered by LazyCat Score of 14

Can you answer these questions?

Does including an additional pricing factor necessarily reduce the pricing errors?

I am reading section section 14.6 of John Cochrane's lectures notes for the course Business 35150 Advanced Investments. On p. 239-240, he discusses testing one asset pricing model against another. ...

user avatar asked by Richard Hardy Score of 1
user avatar answered by Richard Hardy Score of 0

Testing one asset pricing model against another a la Cochrane via change in $\hat\alpha' \text{cov}(\hat\alpha,\hat\alpha')^{-1}\hat\alpha$

I am reading section section 14.6 of John Cochrane's lectures notes for the course Business 35150 Advanced Investments. On p. 239-240, he discusses testing one asset pricing model against another. ...

user avatar asked by Richard Hardy Score of 1

Fama-MacBeth regressions to predict stock returns; confusion on which steps to use

When following Lewellen (2015) (open access here), I am confused as to whether I need to estimate any lambdas. As I already have values for lagged firm characteristics such as ROA and accruals etc. ...

asset-pricing rolling  
user avatar asked by Julien Maas Score of 1
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