# All Questions

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34 views

### Market risk FRTB: calculation of Vega risk charge

I recently started working on a project that requires me to deal with the new market risk standard issued by the Basel Committe: https://www.bis.org/bcbs/publ/d457_faq.pdf I am trying to calculate ...
53 views

I am looking to optimize the open/close signals and time for a pairs trading strategy my partner and I are researching. We don't want to go p-hacking so we have been trying to decide: We have 20+ ...
27 views

### Value premium analysis - Equal or Value-weighted Portfolios?

I got a question regarding the analysis of the value premium in the U.S. stock market. The task is to use the market-to-book-value ratio to split the S&P500 in five portfolios (rank 1-100,101-200,...
85 views

### Effective gamma/vega hedging

I want an options position where I can short some options to pocket the premiums and benefit from the time decay. I also want to be vega and gamma neutral. Is there an established way to find which ...
36 views

### Constructing Daily Term Structure

I am very new to QuantLib and am trying to do Swaption Model calibration following the example here:http://gouthamanbalaraman.com/blog/short-interest-rate-model-calibration-quantlib.html Appreciate ...
30 views

### volume of SP500 index on yahoo finance

I noticed the SP500 index (^GSPC) daily volume on yahoo finance was about the same as the the SP500 index (SPX) volume on stockchart.com at the time of market close. But it became about 2x larger on ...
25 views

### How to effectively execute a strategy with close price? [duplicate]

I backtested a strategy based on close price. However, for real trading, in order to decide my position for the next day, I need to know the close price for the current day. In other words, I need to ...
23 views

### I am getting an Invalid API call from Alpha Vantage TIME_SERIES_DAILY_ADJUSTED for Mexico or Toronto Stocks (with a period). Why?

I have used the following: https://www.alphavantage.co/query?function=SYMBOL_SEARCH&keywords=URBI&apikey=nnnnnnnnn I get back this: ...
101 views

28 views

### Specific Hedge fund [on hold]

Was the success of the Renaissance fund genuine? Or did they simply pile everything into mortgage backed securities and everyone withdrew in 08 because they were using it like a bank?
23 views

### Replication; modelled or historical distribution?

For a limited time (a few months) only, I want to replicate a target portfolio (consisting of asset classes) with all the asset classes in such target portfolio minus a few. I only have 5+ years of ...
21 views

### inverse futures hedging

This is my first question here and I hope I don't make any mistakes. I have kind of a problem with spreading and hedging inverse futures such as Bitmex 3m or 6m XBTUSD contracts due to their non - ...
55 views

### Black Scholes theta as function of time to maturity

I would like to understand why the Black and Scholes greek letter theta for european call option behave in the following way: as time to maturity is far away (right part of the x-axis in the the ...
33 views

### Why does MVO cause highly concentrated asset allocations?

Why does Mean Variance Optimization resulted in highly concentrated asset allocations? This is standard knowledge that it does but Im unable to find the reason for it. And Robust Optimization seems to ...
51 views

### Downward-sloping volatility skew in equity prices

I’m learning the market price for FRM, and I’m having a hard time understand a question in the assessment: From my understanding, the volatility skew for equity is the graph on the right upper corner:...
138 views

### Survival bias when backtesting

I have been doing backtesting, and I am seeking to see if there are any flaws in my program, as it seems to be too good to be true. Based on stocks with market capitalization of > 10B, go back in ...
33 views

### Black-Scholes model - Calibration of the risk-free rate

I know there is a lot of content about this topic, but I have not seen a post which gives a satisfying answer to my problem. I am trying to hedge a European call option with real market data under ...
Assume the risk-free bond $B_t$ and the stock $S_t$ follow the dynamics of the Black & Scholes model without dividends (with interest rate r, stock drift $\mu$ and volatility $\sigma$). Show that ...