Questions tagged [finance]

Finance describes the management, creation, and study of money, banking, credit, investments, assets and liabilities as well as the systems to handle these instruments.

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11 views

Why doesn't the net revenue retention + net revenue churn add up to one?

I'm running calculations on a toy dataset and I'm finding that the net revenue numbers don't add up. I'm looking at the net revenue retention numbers. For instance, in February, the net revenue ...
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1answer
119 views

Inverse Covariance Matrix Transformation from CAPM

Beginning with the CAPM model we have (with a risk free rate of 0%): $r_i=\beta_i (r_m)+\varepsilon_i$ with $\varepsilon_i$ the diversifiable risks per assets The variance matrix: $\Omega = \beta'\...
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30 views

Portfolio Weight Constraints

Hi, So I was asked to calculate the maximum sharpe ratio using solver in excel but it gave me really big numbers for the portfolio weights. So I was wondering what is a good constraint to add and why ...
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Using IMF financial statistics [closed]

I teach Politics and I've been asked to prepare a course which includes a lot of financial data because it covers recent international financial crises. I've been trying to use IMF statistics, but I ...
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2answers
59 views

EONIA 3 MONTHS or LIBOR 3 MONTHS

due to a calculation I have to make I need the OIS 3 MONTHS for the ECB. I tried searching for data for 3 months EONIA but I could not find anything. Can someone help me with this? if not can I use ...
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47 views

Option percentage quotation for structured products

I am having some trouble to understand how option premium can be a percentage for structured products. For example, in an Equity Linked Note, let's say the bond part cost 80% of notional we have 20% ...
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2answers
91 views

Why different compounding in interest rates

This is more a philosophicalquestion than a financial question, let me explain. There exist different types of interest rate (Annual Interest rate, Semi-annual interest rate, monthly interest rate, ...
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1answer
56 views

What are good machine learning projects for a senior student? [closed]

I'm a senior year student, I study software engineering, I recently started with a machine learning tutorial, I want a machine learning projects that are not hard to make and at the same time good for ...
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59 views

Linear programming related to finance

I'd like to know what are, if any, the applications of linear/non linear programming optimization techniques for financial market. I'm a business major, and I want to find an argument for my thesis ...
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15 views

What is the correct way to calculate Capital Expenditure (CAPEX) for Free Cash Flow (FCF)?

I have seen many definitions of the FCF formula and not a lot of clarity on some of the differences between formulas, and I've gotten completely wrapped around the axle on this. I'm using Investopedia ...
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210 views

What is “signal” in quant investing?

Can somebody explain (and give examples) of "signals" in quant investing? What are those? What does this word mean?
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garch(1,1) Annualised Volitility with python

I am trying to calculate the annualized Volatility of given returns for a stock with Garch(1,1) on python using a code I found online. The value I should be getting is around 27, but the value I am ...
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1answer
42 views

Is a company's exact debt structure publicly available to investors?

I am relatively new to investing and would like to look into some of the details of a few companies. As one example, we can use DAL. To assess the financial future of the company, it would be ...
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2answers
90 views

Reason to hedge a European call option

Assume I write a call option on one share of the stock that I have. After selling the option I have an obligation to sell one share of the stock at some future time. I already have the stock, why ...
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Which infinite activity Levy process is the most popular for option pricing

Hey I heard about different Levy processes with infinite activity like VG, NIG, Meixner or CGMY process, but which proccesses are the most popular? And which processes can be simulated (as simple as ...
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30 views

Kyle-style models and empirical research

Kyle (1985) introduced a model of insider trading where an informed trader seeks to capitalize on their information by chosing the size of a market order. Of course, many variants thereof have been ...
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1answer
71 views

Equilibrium in the Kyle (1985) model

In his 1985 paper, Kyle presents 3 versions of the same model: a single period model, a multiple period model and the continuous time limit of the multiple period model. When he formalizes the ...
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1answer
42 views

What currencies has LIBOR historically been offered in?

The Wikipedia article on LIBOR says: In 1986, the Libor initially fixed rates for three currencies. These were the US dollar, British pound sterling and the Deutsche Mark. Over time this grew to ...
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119 views

Is it possible to match talib's RSI results down to machine precision using just python?

I want to match talib's RSI with just python down to machine precision and I'm struggling. Out of curiosity I also tried a bunch of libraries like tulipy and pandas_ta and the gaps are similar. ...
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55 views

The distribution of mean reversion time from the OU process

I was reading the paper Statistical Arbitrage in the US Equity Market and I couldn't understand the figure that plots the histogram of the empirical distribution of characteristic time to mean ...
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7answers
912 views

Learning and applying Quantitative Finance successfully as an individual instead of a team

In the past few months, I became really interested in using machine learning techniques in the realm of quantitative finance and trading. I made a few rudimentary models and I immediately realized how ...
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1answer
67 views

How to compute portfolio returns when constructing a dollar-neutral portfolio

I am trying to wrap my head around this statement: dollar-neutral portfolios are built: dollar amounts of both long and short positions are equal. Furthermore, it is also true at the stock level: ...
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0answers
37 views

Entry points to finance for Applied Mathematics (Numerical Analysis/High Performance Scientific Computing) PhD Student [duplicate]

I'm looking to go into quantitative finance after my phd in around 2 years. With a background in pdes/numerics/heterogenous and distributed computing, I think my skill set is applicable in this area, ...
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Extreme and rare events affecting the market

There are extreme events affecting the high-probability [short-term] market such as lowering interest rates that rocket stock prices, even though such events are rare and the market's response can be ...
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How do I calculate the real taxes paid from 10-K forms

I guess we are familiar with the discussion, whether companies especially tech companies are paying their due in taxes. There was the huge discussion of Amazon paying nearly no taxes, using loopholes ...
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2answers
257 views

Can we think of Overnight Index Swaps as short-term IRS?

OIS are a series of fixed-rate cashflows discounted at the overnight rate, swapped for overnight (floating) rate. IRS are similarly discounted fixed-rate cashflows, swapped on an IBOR-floating rate. ...
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45 views

Correcting high AR(1) coefficients in dynamic Gordon model

I have just finished my thesis on a heterogeneous dividend expectations model applied to the COVID-19 crisis. However after receiving some feedback there is one last issue I want to resolve. I'm using ...
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1answer
47 views

Mutual fund performance over time

I am a little bit stuck with my dissertation thesis, so help will be greatly appreciated. I am trying to analyze the performance of different mutual funds, which I have classified according to ...
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1answer
66 views

Looking for a Book which can summaries last 20 years of economics [closed]

What I would like to read is how the economic spectrum have changed over the period ( Central banks policy decisions , QE 1/2/3 , ECB TLTRO, BOJ unlimited stimulus ). How the central bank dealt with ...
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3answers
157 views

What are the advantages and limitations of predicting future stock prices using stochastic differential equations?

Recently I came across the following stochastic differential equation that "predicts" the value of a given stock: \begin{equation} dS_t = \mu S_t dt + \sigma S_tdW_t \\ S_t(0) =S_0 \end{...
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52 views

Arbitrage strategy from Arrow Securities

I had this exercise and I calculated the prices of the Arrow Securities, π1 = 0.5 and π2 = -0.2. I know that π2 is not arbitrage-free because -0.2 < 0, but I do not understand that how to interpret ...
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1answer
27 views

How to calculate basis swap fair spread Using Quantlib 'floatfloatswap'?

I am trying to calculate a single currency basis swap by using the Quantlib floatfloatswap function. Please advice if I am doing wrongly. ...
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2answers
116 views

May someone please explain the intuition behind the Black-Scholes Equation?

Consider the Black-Scholes equation for a European Call Option, \begin{equation} \begin{cases}\frac{\partial V}{\partial t} + \frac{1}{2}\sigma^2 S^2 \frac{\partial^2 V}{\partial S^2} + r\frac{\...
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61 views

List of finance firms

Is there a definite list of finance firms that I can download or scrape? I tried using python to scrape from US News but I couldn't access the server.
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1answer
34 views

Spread determinants

Knowing that bond A is more liquid that bond B, i.e higher volumes are traded on bond A, does this information have any impact on the spread? Can we say that the large volumes traded on A will ...
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21 views

Efficient portfolio standard deviation

Is annualized/ or average monthly standard deviation applied on the x-axis of efficient portfolio graph? Assuming expected annualized portfolio return is applied on the y-axis. thanks for your help!
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4answers
123 views

Expected return rate greater than required return rate

I am a beginner to finance, today I found a question looks very simple that I am not quite sure about it. Question: Given I am paid \$50,000 now, growing at $6\%$ per year for a total of 10 years, ...
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89 views

How does negative performance of a portfolio constituent affect its weight?

This is an easy question, I hope. Suppose we have a swap A with a long position, which, originally, has a weight of 30%. Over time, it has a positive performance of 3%, meaning we have a multiplier ...
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9 views

Bank deposit insurance beyond FSCS limit in UK

For companies, the Financial Services Compensation Scheme (FSCS) provided by the Bank of England only covers up to £85,000. Is there an insurance or financial product that provides insurance above ...
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30 views

How can I find the payout ratio for this company?

I am doing this question that I couldn't find the payout ratio. For you, company equity beta is unknown, it has a target i.e. current debt to book equity ratio: 0.5 and target debt to market ...
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45 views

Issue with solving American call option questions

Here are the questions: I tried using DerivaGem, but I am not sure that I got the right result. Here are my attempts at solving the questions: a) Upper and lower bound: Is it correct? Not sure ...
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2answers
73 views

How to calculate 5 EMA

I am trying to understand the basics of finance indicators. I have made 15 minute ohlc candles for the past 50 days. Now if I try to calculate 5EMA, my doubt is ...
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51 views

Results of Fama MacBeth regression

I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant ...
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60 views

Asset Pricing and Stochastic Discount Factor: Do well-informed investors only buy efficient portfolios?

I'm currently dealing with the following question: In Asset Pricing, well-informed investors know about the concept of the efficient frontier. Does this mean that they only invest in portfolios that ...
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2answers
1k views

Which process is the most commonly used for modeling stock prices?

I'm thinking of writing a master's thesis about pricing options using Levy processes, but I wonder if these processes are actually used for modeling stock prices or not (and which specifically)? And ...
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3answers
635 views

What are the biggest new advancements in the field of quantitative finance in the last 10 years?

Examples like new research or findings but also older research or findings actually starting to get implemented. Is machine learning starting to get a foothold in finance? Are there any new practical ...
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1answer
84 views

Determining Value at Risk of a Poisson distribution

If my discrete random variable had a poisson distribution with both moments say equal to 10, how can I find the Value at Risk for a 95 percent confidence interval? I have seen that I need to ...
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1answer
115 views

Relation of risk-neutral probability measures to arbitrage opportunities

Could someone describe how risk-neutral probability measures are linked to arbitrage opportunities and also to whether or not a market is complete? I've been asked this question and am unsure how to ...
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1answer
51 views

relationship between the expected rate of return and the value measured by the beta factor

Assume that only two companies are listed on an effective capital market: companies A and company B. Capitalization (market value of all shares) of both companies is the same. Expected rate of return ...
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52 views

feasible set if short selling of risk free asset is not allowed

I have 3 risky assets and one risk-free asset. From them I have to determine what the set of portfolios achievable looks like if there is short selling of risk-free asset is not allowed. What does ...

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