# All Questions

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### What is the strategy for this piece of information

Heavy Math background, very light finance background: Suppose I have a stock $S$ whose price is measured by the market once on times $t_0$ $t_1$ $t_2$. Now the market has some opinion for how the ...
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### How to calculate implied repo of a hypothetical bond that has not been issued?

I want to calculate the implied repo to a delivery date for a series of bonds that have not been issued yet. Do I make assumptions about the bond yields on some trade settlement date and the futures ...
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### Acceptance Rejection Method using Halton Sequence

I am coding various normal random variable generators, one of them being the acceptance rejection method: ...
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### Interest Rate Derivatives - Analytics Online [on hold]

Please suggest features or products for the following web-based interest rate derivatives pricing portal: https://www.opencminc.com Thanks Mike
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### CB-CAPM: how should an agents consumption be interpreted in CB-CAPM?

I have read chapter 9 from Intermediate Financial Theory, Jean-Pierre Danthine & John B. Donaldson (2005) to understand consumption based CAPM and some stuff I don't understand that well in the ...
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### Show that the effective rate of simple a interest rate, decreases over time

Could someone please give me an indication as to how I could show the following: Show that the effective rate of interest, when accumulating using a constant simple interest rate, decreases over time. ...
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I'm reading the book "Derivatives Analytic with Python" by Dr. Yves Hilpisch, chapter 6 Fourier-Based Option Pricing. From page 98 to page 101, the Lewis(2011) Approach was presented. I could follow ...
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### discount factor with collateral in two currencies

If a CSA allows for posting cash in different currencies as collateral, then the party posting collateral has, now and at each future point in time, a choice of which currency to post. This choice ...
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### How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?

I want to compare how much bonds of a handful of companies have been traded over the last years and pick the most traded bond for each company via the Excel add-in. One example of what I have tried ...
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### How to calculate RSI while considering market close and holidays?

I was trying to calculate RSI over hourly OHLC bars for a symbol (AAPL as an example) and got stock, first how should I handle closing hours? (does it make sense to ignore them all together and assume ...
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### Combining two returns forecasts of different lengths

Hi Quantitative Finance stack exchange, I'm analyzing a price process. I've made two forecasts, namely $Ret_{\text{10min}}$ = the return after 10 mins and $Ret_{\text{20min}}$ = the return after 20 ...
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### How is breadth for Information Ratio Calculated

An alternative definition of the information Ratio (sharpe ratio) is: $IR = IC\sqrt{BR}$ I have been reading Grinold and Kahn. I have the following questions for calculating BR: Q1. If 500 stocks ...
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### Evaluate model performance across all stocks

Suppose I have a lm model that captures per-stock level alpha. Therefore, I fit this model using all historical data stock by stock. My question is that how to combine all individual models’ ...
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### Comparing two regressions that differ by a few data points

I have built a model that explains how much risk of the stock market (S&P 500 index) is attributable to each sector, where each sector is independent from each other (correlation coefficients ...
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### Pricing a preferred share

I am looking for references for models which price preferred shares. What are the classic pricing papers?
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### What's the most accurate benchmark index for US corporate and treasury bonds

I'm looking for an index for US corporate bonds and US treasury bonds to benchmark my strategy. I could easily use some ETFs as the benchmark for the recent years but I need data for the time range <...
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### Optimal time series length to calculate historical volatility

What length of time series is best to calculate the historical volatility of interest rates and why?
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### Barrier feature with stochastic rates

I came across the following about the impact of using stochastic rates in case of a barrier option: I don't really understand how having a less equity local volatility can reduce the probability ...
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### Finding an stationary Basket in FX Market [on hold]

I am looking to find a FX basket with multiple pairs such that the return stays in a range. (Mean reverting). IE: EURUSD BUY 1 LOT, GBPUSD SELL 0.8 LOT USDCHF BUY 1.23 LOTS. The basket can have as ...
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### Market Making Strategy to Interact with IB API

I was thinking to connect a market making software to the Interactive Brokers API (see IB API), but it seems it is not the best solution as per the information provided by this question: Is the ...
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### PortfolioAnalytics [R] - optimize.portfolio.rebalancing error HELP

When I run optimize.portfolio.rebalancing I get the error: Error in names(out_list) <- index(R[ep.i]) : 'names' attribute [16] must be the same length as the ...
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When looking for cointegrated pairs, you assume that times series are integrated of order one and try to find a linear relationship using a regression that makes them integrated of order 0 (I(0)). Now ...
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### Pair trading strategies in fixed income

We usually hear about finding cointegrated pairs of stocks in pair trading, but it seems it is not as developed in fixed income despite the fact that the spectrum of securities is large (different ...
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### About a formula concerning the occupation time of a Brownian motion (The arc-sine formula)

Let the process $Z_t \buildrel\textstyle\over={W_t}+ {\lambda}t$, $t\geq 0$ a brownian Motion with Drift and $A_{T}^{+k, Z}$ his occupation time above the barrier $k$ defined by A_{T}^{+k, Z}=\...
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### How do stock market simulators calculate price? [on hold]

When a player in a stock market simulator makes a trade,does the stock price react to the order within the simulator ? If it does, how is the price calculated ?
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### Probability of touch (option) for security

I read through a few related threads on quant stackExchange. Similarly, I am looking for the probability of a security touching $X$ (strike points away) before an expiry time, $T$. From thread here: ...
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### Reject inference libraries

Does any body know R/python/matlab libraries to carry out reject inference in credit scoring? I know SAS has some reject inference methods, but I am looking for some 'licence free' libraries (I have ...
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### Are ACF and PACF plots of squared returns useful in determining the lag-order when testing GARCH class of models?

I am trying to fit GARCH class of volatility models to the log return series of Bitcoin. ACF and PACF plots of the square of this return series are shown below. I need to know whether inferences can ...
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### How to calculate the normalized value of a changing stock portfolio?

My goal is to compare a portfolio of stocks with a benchmark over time. Calculating the normalized value of a static portfolio is no problem, but I am struggling when stocks are removed or added to ...
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### What is $\beta$ for a “self-financed” portfolio? BRAIN TEASER [on hold]

I have a very, very simple question. Imagine you borrow 100 dollars, then invest those 100 dollars into a stock, like Microsoft. Yahoo Fiance tells me that Microsoft has a beta of 1.25. Now, my ...
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### Why is inflation breakeven defined as real - nominal and not real/nominal?

Why is inflation breakeven defined as real - nominal and not real/nominal? Real/nominal is the actual projected inflation rate, while real-nominal is just the "Fisher approximation" for inflation. ...
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### Has work been done on PID controllers for optimal trading?

Commonly, stochastic control is the basis for optimal trading (either in execution or market making). Has any research been done (or why not, if none) as to proportional-integral-derivative ...
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### Is the volatility smile independent of the volatility itself?

Under "similar" market expectations, is the shape of the volatility smile the same for a volatility (^VIX, https://finance.yahoo.com/quote/%5EVIX/) of 13, 25, 36, > 50 etc? Or does it flatten more ...
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### Interest model calibration and binomial trees

Are there any good books for beginners on calibrating interest rate models and creating binomial trees based on these interest rate models and using them in pricing
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### Examination of Betting Against Beta

http://pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf In this article the authors explain a theory/strategy called Betting Against Beta. My background is more in Math rather than finance ...
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### Is the volatility of a $\delta$ delta call and $1-\delta$ delta put equal?

The Wikipedia article on volatility skew states: Note that to maintain put-call parity, a 20 delta put must have the same implied volatility as an 80 delta call However, in some cases two ...
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### Bootstrap daily OIS forward rate

Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap? For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able ...
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### name of this portfolio optimization strategy

I have come across a portfolio selection strategy that buys in equal amounts the top decile of expected earners, and simultaneously short sells the lowest decile in a similar fashion. What is this ...
Given a vector of attributes(eg.E/P ratios, betas) for N assets $a^T = {a_1,a_2,...,a_N}$ The exposure of portfolio $h_P$ to attribute a is $a = \sum_{n}a_n h_{P,n}$ Proposition: There is a unique ...