All Questions

A major theme in the markets this past week has been the repo rate hikes and the sudden disappearance of liquidity. Although most are confused as to the main reason, there seems to be a consensus on ...

In the process of asking this question, I acutally found the solution. I still let this post open if it can be interesting to someone else and have added a related question at the end. I want to ...

I want to calculate the Turnover of my scaled Momentumportfolio (Barroso und Santa-Clara 2015) They described Turnover Ratio with the following formula: While i understand the general concept (...

Suppose I have a strategy, I run a backtest on it in only one symbol (suppose the historic data to backtest is 25000 candles). The results of that backtest is: Total Trades = 50 TakeProfit/...

DFA has DMREX AND DCARX. Are there others? I'm specially looking for high quality, medium or long duration MIPS but a list of anything would help.

What do you think about books on banking written by Moorad Choudhry? Someone recently recommended them to me as a good general introduction to modern banking, for example: An Introduction to Banking:...

Has anyone thought of the relationship between the option vol and distribution of option payoff? for example, I have 1000 paths of simulated underlying prices, keeping all inputs the same but only ...

I'm working with monthly data and I need to use FX rate in my model. I have daily data for exchange rate and not sure how to average it over the month. Should I compute simple arithmetic average over ...

I'm trying to implement CreditGrade in python, from the msci Technical Notes (https://www.msci.com/documents/10199/dd31bcce-6fe3-47b7-9fb7-10c4c8f750ba) but I'm running into some comprehension trouble ...

Does anyone know of any R or matlab packages for estimating garch models using kalman filtering or any other state-space methodology? I would like to estimate a Garch so that not only the variance, ...

I was reading an article and i saw this : Fund managers based outside the eurozone can profit from buying Europe’s negative-yielding government debt thanks to an uplift from hedging the currency. ...

If we have a (parametric) volatility surface which has arbitrage, then consider the delta of the options, i.e. $N(d_1)$, where $d_1 = \frac{1}{\sqrt{t}\sigma(K)}\log(F/K) + \frac{1}{2}\sigma(K)\sqrt{...

Which books are preferable for banking awareness? I need to increase my banking knowledge as I am new to this, Kindly refer me some good books to start with !!!

Currently I am reading Basic Black Scholes: Option Pricing and Trading by Timothy Falcon Crack. At page $47,$ the author mentions the following. Higher interest rates decrease the present value of ...

Currently I am reading Basic Black Scholes: Option Pricing and Trading by Timothy Falcon Crack. At page $42,$ the author mentions the following. If an option position includes short American-style ...

Assume a risk free bond $B_t$and the stock St follow the dynamics of the Black & Scholes model. (with interest rate r, stock drift $\mu$ and volatility $\sigma$). Find $\beta$ such that the ...

Does realized inflation or expected future inflation determine how much money needs to be placed into the escrow account each day?

I know this might not be a very quantitative question, but I figure this is the most relevant place to ask this. Over that last few days there has been a lot of news from the repo market, for example:...

Can you help me with the best ways to analyze/report about of difference between recents months in terms of volatility? I want to demonstrate with "numbers" why a month had been more volatile than ...

I am looking to understand the ISDA CDS Pricing Model for a 1Y "Buy Protection" CDS with Coupon = Quoted Spread = 100bp. Numbers are from Bloomberg. Cash-Flow Matrix ...

as I couldn´t find anything similar in the forum.. I am doing portfolio sorts on a variable (MISP) with stocks that are held for a month: Each month, I am building portfolios by grouping into ...

I am looking for a topic or research question on the efficiency market hypothesis for my doctoral thesis. I would like to write a paper by empirically testing the efficiency market hypothesis. I can ...

I'm working on a project where we're trying to create a database model where we can (daily) update collected data in order to make RPA predictions. We received data from Interest Rate Curves called ...

Question While optimizing a portfolio using 'Global Minimum Variance' (GMV) method, I found that annualizing a sampled covariance matrix makes a difference in stock weight vector. Q1. Why ...

I see that the Fama-French library offers annual factors for their models, but everyone seems to exclusively use monthly returns of stocks in their regressions involving Fama-French factors. I am very ...

If there is deflation does the Inflation receiver not only pay the fixed leg but also receives a reduced CPI? I.e. does he lose twice?

I am confused of how the Swiss National Bank's famous FX interventions are reflected in the change in Sight Deposits. Against the backdrop of the ECB meeting, it is said that the SNB has taken ...

I'm studying financial mathematics from Shreve's text. I have two problems. 1) "for a binomial tree with three steps, where $S_0=20$, $u=1.05$, $d=.95$ and continuously compounded risk-free interest ...

I'm trying to calculate the average entry price for perpetual swap contracts for use in back-testing a trading strategy, as per Bitmex's documentation: A Perpetual Contract is a derivative product ...

So if I was Ethan Hunt, I would break into the exchanges and go to their mainframe computer while hanging from a thread and insert a super secret disk and download the data but since I am not him (yet?...

Textbooks in finance claim that one should not include financial cashflows in capital budgeting. I get the idea of not including interest (as it should be included in the cost of capital), but I don't ...

What are they key points to use while coding a monte carlo simulation in python? I have the following monte carlo code : ...

I am aware that I can create a IRS in Quantlib/Python by using the following function: ...

The Sharpe ratio is often used to compare the relative performance of portfolios despite its IID-assumption for the returns being violated. I can find ample warnings about the consequences of ...

What is the Difference between Auction Recovery CDS and Fixed Recovery CDS?

I estimated a GARCH fit to the log returns of three series (CAC 40, a french real estate index and french T10 bond yield series) using rugarch. I then manually ...

Every strategy has a limited lifespan. How do you decide when to stop a particular strategy as it has lost its edge? Few of things that can be thought is strategy crossing its maximum drawdown, net ...

Would appreciate a clear explanation as to what the OIS/Tsy spread and the TU OIS spread is. I've seen it being talked about in Wall St research reports but can't seem to find good explanations on ...

I know the difference between open interest and trading volume. Open interest is the number of contracts, long or short, outstanding. Trading volume is the number of contracts traded in a day. ...

I found a MATLAB code online (on Volopta) that replicates the option pricing model proposed by Duan in his paper "The GARCH Option Pricing Model". However, the parameters estimated in the file do not ...

I am struggling to comprehend the difference in impact between spread duration & IR for a fixed rate bond when yields move. I know that both measures would be the same for a fixed rate bond but ...

I am trying to build a prediction model that utilize the huge transaction database of all the customers of a bank. My dataset currently looks like this: ...

Consider a basket of correlated assets $(S_1(t),\ldots, S_N(t))$, as well as a vector of strike prices $(K_1,\ldots,K_N)$, and let's look at the following European payoff types: An option that pays 1€...

I have a binary option and want to calibrate it's BS pricing model. I only have a series of Strike Price vs the Option price, no knowledge on time to maturity, volatility, risk free rate or the ...

This is my first post to this forum. I want to calculate security returns , so therefore, I have downloaded the PX last price from Bloomberg. My question is: What is PX last in Bloomberg? Is this ...

I have problem using utils/python_utils function in Python Quantlib. Code is mostly follow CookBook for Quant Finance for Quantlib - EONIA Curve Bootstrap Chapter I imported python-utils, and utils at ...

How do you evaluate this? I have tried searching online but there are no matching results. Is it just a simple average of the 3 Betas? And how do we determine the investment style aggressiveness? In ...

I am trying to solve the following exercise from Bjork's Arbitrage Theory in Continuous Time: Consider a model for the stock market where the short rate of interest $r$ is a deterministic ...

Consider a European call option on a Microsoft stock with an exercise price of 20 dollars. Assume that the expiration date is in four months and the price of the option is 5 dollars. The current stock ...

I am completely new to Python, just trying to reference Quantlib Cookbook to construct eonia curve, here is my code. I didn't change much compared to the cookbook Eonia Curve BootStrapping chapter, ...