# All Questions

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### PV of the Floating Side of an “Overnight Index Swap” (at the fixing Date)

I have a mathematical / theoretical question regarding the PV of an Overnight Index Swap (Floating Side) at the time of fixing. Starting from this question: How to compute Overnight Index Swap (OIS) ...
6 views

### Where bonds are marked v.s.where bonds are traded

We can get bond live prices from various venues, for example, BBG's CBBT prices. Usually you would get bid/ask prices. Are these prices prices that people called bonds' marked prices ? are they ...
11 views

### Sample 5 minute close price with SQLite

I've got price data in the following schema CREATE TABLE quotes( utc_time INTEGER, # seconds low REAL, high REAL, open REAL, close REAL, volume REAL ); ...
17 views

### How can the different r2 score of an AR(1) model on prices vs. returns be explained

This is maybe a silly question, but I want to understand. As far as I understand an AR(1) model, it is basically a linear regression model with the same but lagged variable, right? However I am ...
28 views

### Using Integrals With Internal Rate of Return?

I'm taking a Calculus 2 course this Fall, and for my honors project, I will be using the IRR function. My professor is requesting that I figure out a way to use an integral with the IRR. The cash flow ...
28 views

### What python library do you use for portfolio analytics?

I have been relying on empyrical and pyfolio, which are great packages but seem to lag a little behind the newer versions of pandas. I was wondering if there are other open-source python libraries ...
23 views

### Can you approximate stochastic volatility processes using GARCH processes?

Let me specific. Suppose that you have the following process: \begin{align} z_t &= \sigma_t \epsilon_t \\ \sigma_t &= \sigma \exp \left( \frac{v_t}{2} \right) \end{align} where $v_t$...
27 views

### Good ways to select best decision among N decisions, each with a profit/loss distribution?

I'm working on a problem where an asset owner (e.g., owner of a factory, power plant, etc.) can take a number of possible decisions (say 10). Each of those 10 decisions entails certain actions, but ...
14 views

### Discrepancy for apple insider trades between Yahoo finance and other sources

https://finance.yahoo.com/quote/AAPL/insider-transactions/ https://www.marketbeat.com/stocks/NASDAQ/AAPL/insider-trades/ Yahoo says there is insider net buying over the past 12 months. Other sources ...
31 views

### Difference between IR01 and DV01?

So I understand that both measure interest rate sensitivity, however, DV01 = duration * notional * (1 bp change in YTM) / 10000 IR01 = ?? I understand it also reflects the value when 1 bp change in ...
18 views

### TD Ameritrade “Get Orders By Query” API call documentation/help

First time to algorithm trading, python, and Quantitate Finance so apologies up front. I have noticed a lack of any good documentation for the TD Ameritrade API anywhere and especially with any of the ...
27 views

### Factor Model Regression Market Factor Statistically Insignificant After Adding Extra Factors

I am running a simple 4 factor model which includes the factors: Benchmark (Market - FortyConsumerSixtyHealthcare), SMB, HML and MOM. When I simply apply the regression to the portfolio returns and ...
47 views

### Why dont people just short leveraged etfs?

You can short uvxy for 30 and buy a vix 60 option for 1. ETFs go down like 19% a month. Why dont people just get a cheap hedge and short leveraged etfs? How is something this stupid allowed to exist?
34 views

### How are estimated correlation matrices used for portfolio theory?

I cant find much on this topic online but in what ways are correlation matrices used? I am assuming covariance matrices are used to minimize risk and thats how its related. Any literature on the topic ...
36 views

### Early exercise premium with discrete cash dividends using integral approximation

From my understanding, we have to integrate $N(d1(S_x-D,B,t))$ on both asset-price and time-space to derive the Early Exercise Premium $EEP(B,t)$ on each $t$ before the ex-date to get current early ...
34 views

### Why does the Hurst exponent pseudo code not match the Python implementation?

I am working on understanding the Hurst exponent calculation by Ernest Chan; however, the description of the algorithm does not match the Python implementation. Chan [Algorithmic Trading: Winning ...
52 views

### Scaling a portfolio standard deviation with beta

If a portfolio has a beta of 0.8 and the market standard deviation is 14% what is the portfolio’s standard deviation? Do we have to convert the market standard deviation to variance first, then scale ...
52 views

### Volatility estimation based on a 60 days range

In Hutchinson et al: A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Network (1994) paper (link), to estimate $\sigma$ for the Black-Scholes formula, it says (p. 881)...
28 views

### How to quantify shares float on a stock?

I searched this before but never got further than generic definitions and and websites to look at. What I'm looking for is how to define a stock's shares float quantity. How does Yahoo Finance or ...
75 views

### CIR model. Is there a closed-form solution or even a good proxy of analytical solution?

Is there a closed-form (analytical) solution for the Cox-Ingersoll-Ross SDE \begin{equation} dr_t=k_r(\theta_r-r_t)dt+\sigma_r\sqrt{r_t}dW_t\tag{1} \end{equation} ? Notice that $\{r_t\}$ is our ...
46 views

### Meta-Theorem Bjork, arbitrage and completeness

In Tomas Björk's Arbitrage Theory in Continuous Time I found this Meta-Theorem: What does it mean "meta-Theorem"? That it cannot be proved and that this is only such an indication as to ...
54 views

### How to deal with Non- normality [closed]

I want to run OLS regression and I found that residuals are non-normally distributed. I want to ask that is there any regression which deal with this non-normality and give the true relationship ...
36 views

### Simulating correlated stock paths to calculate VaR

So I wanted to generate a Monte Carlo simulation for two correlated assets to derive then the VaR as a quantile of the generated distributions. My code is the following, where the input parameters are ...
62 views

### How to estimate the risk-free rate when pricing options - calibration

I would like to calibrate my model to the current call option prices (with 17 different maturity times) but I don't know how to choose a risk-free rate in this case.
86 views

### Is it pretty easy to predict the stock market from price/sales?

Except the recent boom (entirely driven by tech) isnt the stock market just an oscillator around quarterly price to sales? I'm getting like 25% explained variance just from that. The returns are close ...
26 views

### TA-Lib abstract API benefits [closed]

I don't get the benefits of using TA-Lib abstract ¿is it speed? ¿less processing? I went through the documentation, examples, and code examples, but can't get it. ¿can anyone explain it?
51 views

### Stocks with same volatility but different drifts

In the book Quant Job Interview Questions & Answers, in section 2, question 2.4 says suppose two assets in a Black-Scholes world have the same volatility but different drifts. How will the price ...