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5 views

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) ...
0
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0answers
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 ...
0
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0answers
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 ); ...
0
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0answers
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 ...
1
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1answer
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 ...
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0answers
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 ...
1
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0answers
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 $v_t$...
0
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1answer
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 ...
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0answers
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 ...
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0answers
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 ...
0
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0answers
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 ...
1
vote
1answer
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 ...
-2
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0answers
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?
-3
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0answers
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 ...
0
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0answers
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 ...
2
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0answers
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 ...
-1
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1answer
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 ...
1
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2answers
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)...
0
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1answer
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 ...
1
vote
1answer
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 ...
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0answers
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 ...
-4
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0answers
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 ...
0
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0answers
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 ...
0
votes
1answer
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.
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0answers
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 ...
-2
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0answers
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?
2
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0answers
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 ...
1
vote
1answer
74 views

How to calculate a position's contribution to its portfolio's tracking error?

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*(...
0
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0answers
40 views

Block Bootstrapping for synthetic data

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 ...
4
votes
1answer
65 views

Swaption PnL approximation/attribution

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!
0
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0answers
47 views

How to generate two correlated random samples, one follows geometric Brownian motion, the other follows a beta distribution? [closed]

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 ...
-2
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1answer
82 views

What is volatility trading? [closed]

What is meant by volatility trading? Is it trading 'options'? Aren't options meant to leverage stock prices, and not their volatility?
0
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1answer
55 views

Is it legitimate to assess the resilience of industries and sectors through the stock market?

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 (...
3
votes
2answers
240 views

Theoretical justification for technical analysis

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?
4
votes
1answer
72 views

Ratio of the same process at different times

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 $$ C_0(K, T_1) = D(T_1)\mathbb{E}_Q[(X_{T_1} - K)_+], $$ ...
0
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0answers
36 views

Beta Adjusted Return

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 $$ ...
-1
votes
1answer
60 views

Rolling Futures - VXX [closed]

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 ...
0
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0answers
41 views

Is non-linear correlation an issue in portfolio optimization?

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 ...
-1
votes
1answer
45 views

Options conversion/reversion arbitrage

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 ...
-3
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0answers
25 views

Question on the definition of variables in Fama-French [closed]

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?
0
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0answers
15 views

Sector Contribution Analysis

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 ...
0
votes
0answers
51 views

Instantaneous correlation in the 2 factor Hull White model

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,...
2
votes
2answers
297 views

Why does implied volatility decrease without a change in stock price?

I was lookin at some stocks and find that implied volatility changes without the stock price moving too much. What are the causes?
0
votes
2answers
53 views

How can you use factor modelling to improve your current portfolio [closed]

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 ...
0
votes
1answer
42 views

Option trading strategy to test crash risk premium

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 ...
-4
votes
0answers
53 views

Black Scholes model calibration with Python - small error in the code

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? ...
0
votes
2answers
21 views

Obtaining current list of companies in the FTSE 100 via an API

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 ...
3
votes
0answers
66 views

Are there any good academic articles about Feb 2018 correction?

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 ...
5
votes
1answer
81 views

Hedging a FVA in practice

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}(...
-4
votes
0answers
35 views

Kou model matlab/python code [closed]

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?

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