All Questions

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) ...

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 ...

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 ); ...

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 ...

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 ...

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 ...

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 $v_t$...

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 ...

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 ...

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 ...

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 ...

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 ...

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?

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 ...

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 ...

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 ...

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 ...

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)...

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 ...

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 ...

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 ...

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 ...

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 ...

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.

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 ...

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?

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 ...

Say we have assets X (with weight $w_a$) and Y (with weight $w_y$) in a portfolio. X and B returns are correlated: $Cov(R_x, R_y)\neq 0$. The portfolio's tracking error is: $std(R_p - R_b) = std((w_x*(...

I am trying Block Bootstrapping for synthetic data generation. For example in http://www.blackarbs.com/blog/synthetic-data-generation-part-1-block-bootstrapping the author @blackarbsceo use data from ...

With a payer swaptions delta and gamma is there a method for approximating pnl for a given move in underlying swap rate? (An equivalent to the Taylor expansion for a vanilla call) Thanks!

I'd like to conduct a Monte Carlo simulation with two random variables. One random variable is generated by geometric Brownian motion, the other random variable is sampled by drawing random values ...

What is meant by volatility trading? Is it trading 'options'? Aren't options meant to leverage stock prices, and not their volatility?

I would like to assess the resilience of some sectors in Europe but I honestly lack data, and it seemed to me the simplest solution to be able to implement univariate (arima etc) and multivariate (...

What are the theoretical justifications for the operation of trading algorithms based on technical analysis using different indicators such as rsi, stochastic, macd, etc.? or do they really not work?

Suppose I have an adapted process $X_t$. I have available option prices on $X_t$ for a range of strikes and maturites. In particular, I have $$ C_0(K, T_1) = D(T_1)\mathbb{E}_Q[(X_{T_1} - K)_+], $$ ...

I'm a bit confused about the definition of the 'Beta Adjusted Return', say I have benchmark whose return is $r$ and a stock whose return is $R$, the beta adjusted return is defined as $$ ...

I was reading this paper (https://www.cmegroup.com/education/files/deconstructing-futures-returns-the-role-of-roll-yield.pdf ) about futures rollover, and cannot figure out the meaning of the sentence ...

Portfolio weights are linear combinations of assets. How can it be true then for there to be, and how can someone prove that there is any, non-linear correlation issues in portfolio optimization? Is ...

I'm trading bitcoin option and i'm trying to find arbitrage opportunity with a synthetic short/long and a long/short future position. The options are europeans style and settled in BTC. The contracts ...

I would like to know how are SMB and HML defined and calculated. It seems that a native Book value is not appropriate, is taking a logarithm more appropriate?

I am trying to conduct a sector contribution analysis of a certain mutual funds. But I don't quite understand the logic. I am given these datasets. stock universe dataset.(it is a dataframe ...

I'm trying to understand which parameter controls the instantaneous correlation in the 2 F HW model. As in, correlation b/w 2 rates observed at the same time. My thinking is as follows: $$Rate(1)=P(t,...

I was lookin at some stocks and find that implied volatility changes without the stock price moving too much. What are the causes?

Firstly let me apologise if this has been asked on on here before - I went through some of the factor modelling post on here but I've struggled to find the answers. I am new to the quant world and I ...

I would like test if there are "crash risk premia" priced into out-of-the-money puts. My initial thought was to create a portfolio with a short positions in (deep) OTM put options and a long ...

Hey I write this code to calibrate Black Scholes model, but I got an error and I don't know how to correct it. Can anyone look and tell me what should I do? ...

I'm making an app that displays the last close price of each ticker in the ftse 100 but for the life of me I can't seem to find an API that has this functionality. Particularly which companies ...

Question pretty self-explanatory – I want to see if there have been any reputable papers released regarding the 2018 February market correction, since it happened quite recently. I do not need the ...

A FVA (forward volatility agreement) is a forward contract on the ATM implied volatility. So at at maturity date $T$ the payoff of a FVA with unit notional is $$ (I_{ATM}(T,T') - K) $$ where $I_{ATM}(...

Hey I need some code to implement the Kou model to price call option. I prefer Python but can be any other language. I am not a programmer, so I can not write it myself. Cna anyone help me?