Questions tagged [quantitative]
The quantitative tag has no usage guidance.
156
questions
0
votes
0
answers
30
views
I am struggling to prove how when volatility tends to infinity, call option is equal to St and pt option = Ke-r(T-t) [duplicate]
I know how to prove when volatility tends to infinity but i am struggling to prove this. Can anone help?
0
votes
0
answers
67
views
Risk Factors, Portfolio Optimization
I really need help with a project that I am working on, for my university.I study in Ecuador and the research material here is very limited. Nonetheless I have tried my best to start with the basics ...
1
vote
0
answers
67
views
Modeling investment decisions with ML / Econometrics
I was given the task to decide whether it is a good time to invest into a certain stock index (e.g. S&P 500) or not given a 6 months Investment horizon. The goal is to get one of the following ...
0
votes
0
answers
55
views
Pricing asian options with Monte Carlo and brownian bridge
I am trying to price arithmetic asian options using Monte Carlo method and a brownian bridge construction. My code does not seem right as the price with a geometric conditioning gives me a price of 5....
2
votes
0
answers
61
views
Zero coupon price using Vasiceks model under the Real-world P measure model
I'm wondering if there is a way to work out the formula for the price of the zero-coupon bond using the Vasicek's model (P measure). I have tried to find reference on it but could not, I don't know if ...
0
votes
0
answers
76
views
S&P 500 historic high frequency data
I am trying to reproduce the analysis discussed in https://arxiv.org/pdf/cond-mat/9905305.pdf where they use high-frequency data (1minute thick) of S&P500 from 1984 to 1996.
In particular, I want ...
1
vote
1
answer
82
views
30E/360 bond payment schedule
I have a bond that was issued on the 30th of April with 30/360 European day convention basis and semiannual compounding. As far as I understand payments should be every 180 days according to the day ...
1
vote
1
answer
215
views
Alternatives to Kelly Criterion
I am preparing for Quantitative Trading interviews and I know that they basically require you to solve problems on the probability of winning in a given game and then they would ask you:
How much ...
2
votes
0
answers
69
views
how to do hedging in global market give the time zone issue [closed]
Hi I am considering a question:
Give you have a global portfolio, consisting of U.S stocks, Euro Stocks or even Japan stocks and you have to rebalance daily according to my calculated trading signals. ...
2
votes
1
answer
247
views
Pricing a Forward Rate Agreement using QuantLib Python
Can someone please help with the pricing of the following forward rate agreement using QuantLib Python?
A 3x6 forward rate agreement, with a notional of $100,000, the FRA rate being 6%, The FRA ...
2
votes
1
answer
201
views
Reflection principle of the Brownian motion
really appreciate some guidance on how to get the following equality:
-1
votes
1
answer
395
views
Difference arising between Dirty Price and NPV using QuantLib Python
I have used QuantLib Python to price a fixed rate bond.
My codes are as follows:
...
0
votes
1
answer
223
views
Explanation for Different Piecewise Yield Term Structures from QuantLib Python
I am new to QuantLib on Python, but as far as I understand, there are different types of piecewise yield term structures which exist on QuantLib which are bootstrapped on a number of interest rate ...
0
votes
0
answers
25
views
Simulating FX OPTION PRICE for Counterparty credit exposure under SA-CCR
I am looking to generate/simulate the prices for FX option price to calculate the counterparty credit exposure under SA-CCR.
However, I have some doubt since I want to use PDE (Black-Scholes model) ...
4
votes
2
answers
732
views
Where can I find detailed information of famous quant companies such as Renaissance Technologies?
I am doing a report about famous quant companies such as Renaissance Technologies. Where can I find information such as ranking of these companies and their fund's rate of return.
0
votes
0
answers
87
views
How to implement a factor model from scratch?
Imagine we have price-volume data set and fundamental data set which gives us all the info we need (e.g,. OHLC, earnings, dividends etc.) for stocks listed in a market for long time period. I.e., you ...
0
votes
3
answers
511
views
Multi-Period Contribution
I've read multiple research papers but can't find a good answer as to why multi-period contributions don't add up to the returns of a portfolio. I understand that arithmetic sums miss the compounding ...
0
votes
0
answers
29
views
Higher Capital and margin requirement for bilateral Non-central cleared OTC Derivatives
The OTC Derivatives reforms after Global Financial Crisis include higher capital and margin requirement for bilateral traded OTC derivatives?
I have the followings questions:
The higher capital ...
0
votes
1
answer
217
views
Coupon Adjusted Spread vs Z-Spread
Hi so I'm trying to figure out how to adjust for the coupon value in the Z-Spread of a given bond. For example we can take UKRAIN 9.75 11/28. The coupon is 9.75 which is quite a bit higher than the ...
1
vote
0
answers
43
views
Model Documentation role [closed]
first timer here,I received an 'inmail' on linkedin from a recruiter regarding a role in model documentation team as part of the quantitative modeling and analytics department of a 'global bank'. The ...
4
votes
1
answer
149
views
forward variances under rough bergomi
I have seen in several papers on rough volatility using the following expression for the forward variances
$$ d\xi_t(u) = \xi_t(u) \eta \sqrt{2H} (u-t)^{H-1/2}dW_t $$
Can anyone explain to me how this ...
1
vote
0
answers
38
views
Change weights of the portfolio [closed]
I have spent a lot of time finding some trading alphas. Now, I have about 10 alphas to trade Future, I also optimized the portfolio by using Markowitz's Modern Portfolio Theory (MPT) to get weights. ...
0
votes
1
answer
98
views
Curve fitting under different regions and stitching
Is there a way to fit a 2D curve under the following conditions:
The curve is defined by 2 functions for x>a, and x<a
Prefer a fit that is continuous and differentiable at x=a
0
votes
0
answers
56
views
Optimal order placement in limit order markets
I am reading the paper: https://sci-hub.do/10.1080/14697688.2016.1190030 because I want to split the target shares in market order book and limit order book.
I have a question when it comes to page 10 ...
2
votes
0
answers
28
views
Latest and currently utilized research on modeling option pricing with IV smile
As per title, where would I find the latest research papers on modeling option pricing, accounting for IV smile?
I'm specifically interested in papers that already found practical application in some ...
0
votes
0
answers
56
views
What can we say about digital puts and calls with different strike prices?
I am a noob to the field of quantitative finance. I am reading this book by Mark S. Joshi. Can you help me make sense of one of the exercise questions? Here is the question (from page 40 of the book):
...
1
vote
1
answer
321
views
What's the interpretation of the probability of default implied from CDS spreads?
What's the time horizon of the probability of default implied from a CDS spread? Given CDS = PD*(1-R), if I use a 5yr CDS spread in the formula, is the implied PD the probability that that name ...
2
votes
0
answers
58
views
Should the sharpe ratio always change with number of assets?
I am trying to understand if the Sharpe ratio of a portfolio change if we increase or decrease the number of assets in the portfolio. It would be helpful if you could provide an explanation with ...
0
votes
0
answers
76
views
Cumulative returns from ROI of individual trades
I've a series of ROIs: $R(n) = [r_1, r_2, ... r_n]$ generated from taking $n$ trades. Each ROI value is in percent $[0, 1]$. How do I generate cumulative return $C(n)$ from this data?
My understanding ...
0
votes
2
answers
240
views
Utility Function with respect to Quantitative Finance
I am trying to understand utility function and its application in quantitative finance. I have done some preliminary research on the same (have gone through Paul Wilmott on Quantitative Finance) but ...
2
votes
0
answers
474
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 ...
0
votes
1
answer
60
views
Agency Fixed Rate RMBS Yield Decomposition
I'm trying to find the best way to decompose the yield on an index of fixed residential MBS securities and want to open up the question to the community. The goal is to look at this from a ...
1
vote
0
answers
99
views
Is there a scientific significance to Fibonacci numbers in economics?
I am new to the field and have read popular articles on Fibonacci numbers, but I did not find it grounded in academic research and would love to know if there is a research basis for this and whether ...
-1
votes
1
answer
75
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 ...
0
votes
2
answers
557
views
How does Linear-Exponential Loss (Linex) function tend towards Quadratic Loss function?
Thank you for your help everyone, and I apologise beforehand if this is a lousy or dumb question.
I am looking to read up more on Quadratic Loss & Linex Loss, and forecast optimality.
In my ...
0
votes
0
answers
20
views
Does Alpha Vantage provides real-time data for free? [duplicate]
I tried a python script with alpha vantage API. But it was not giving the real-time price for GOOG, though the time was Monday, 11am ET. Does it really provides the data for free. If not, please ...
0
votes
0
answers
91
views
How to find Flow of Funds and Money Trail in Python for Finance
I'm trying to find Flow of Funds and Money Trail using python
but i'm stuck in middle of it not understanding what to do next
My Main goal is to finding Flow of Funds i.e flow of transaction from ...
0
votes
3
answers
802
views
Daily to Monthly Performance Attribution - Getting Effects to equal the Excess Return
I am building a performance attribution tool on Python to help us understand the asset allocation, stock selection effects of our fund.
We are using daily price data for each component within the ...
2
votes
4
answers
3k
views
Algorithmic Trading: Python vs SQL
I am new to algo trading. But I have bit of coding experience in SQL. Now I am planning to develop a Algorithmic Trading system. In here I am storing all the historical data in Database (PostgreSQL DB)...
0
votes
1
answer
124
views
How Can I Use Python and Data Science in my Personal Trading? [closed]
I started learning about the stock market during the Pandemic. I don't necessarily think to be a quant but I'd like to atleast use my skills in programming in python, data visualization, (i don't ...
2
votes
2
answers
157
views
Quantitative risk management for energy markets
I'm currently preparing an exam about energy markets. The knowledge of notions of quantitative risk management accounts for the 50% of the total exam. During my university education, though, I didn't ...
1
vote
3
answers
680
views
C++ textbook recommendation for quants
I work as a Quant Dev at a financial institution where I'm mostly using Python for development and thus I have a few years of Python programming experience. I'm planning on learning C++ and therefore ...
0
votes
1
answer
163
views
Is it possible to construct a hedge that matches value Delta Gamma and Vega?
Given a strike price, current price, risk free rate, dividend yield and volatility, I have been asked to calculate:
- a hedge which matches the value Delta and Gamma
- a hedge which matches the value ...
1
vote
0
answers
57
views
What is a call-spread and its formula?
I am attempting Mark Joshi's The Concepts and Practice of Mathematical Finance.
In B.3 Project 1: Vanilla options in a Black-Scholes world, he asked the following question.
We need to be sure that ...
0
votes
1
answer
342
views
0
votes
1
answer
601
views
Stock pricing using Binomial model
A stock is prices at $ \$100$ and follows a one-period binomial process with an up move that equals 1.05 and a down move that equals 0.97. If one million Bernoulli trials are performed and the average ...
8
votes
2
answers
2k
views
Differencing vs Detrending financial time series
I'm quite newbie to time series analysis and I have to understand what's the difference between differencing time series (i.e considering $Y_t= X_t-X_{t-1}$) and detrending (using linear regression ...
2
votes
2
answers
368
views
Carry vs Roll-Down on a zero-coupon IRS
I am trying to understand the differences between carry vs roll-down on a zero-coupon interest rate swap.
Lets say we have a 10 day ZC IRS, meaning we will only swap once on maturity. We are a payer ...
1
vote
0
answers
706
views
How should I interpret the (insignificant) coefficients of Fama-French 3-factor model?
I am writing a mid-term thesis on the Fama-French factor model.
I have built 5 portfolios sorted by the Book-to-Market ratio. The first portfolio is the lowest-BM group and the last portfolio is the ...
0
votes
1
answer
65
views
How do I calculate option payoff before its expiration date? [closed]
How do I calculate option payoff before its expiration date? For example, if I long a 6 month call with K = 11100, T = 0.5, p = 150, what would be the payoff of the option if I exercise it in 3 months ...