Questions tagged [quantitative]
The quantitative tag has no usage guidance.
138
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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 ...
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0answers
13 views
Performance Attribution - changing weights
I would appreciate it if someone could help me tackle this problem.
I have daily data of returns for my portfolio, daily weights accounting for various portfolio changes.
Could someone explain how I ...
0
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0answers
31 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):
...
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0answers
61 views
What are some other programs like WorldQuant's Research consultant and Trexquant's Global Alpha Researcher?
Basically programs that allow you to work remotely and gain experience in researching and implementing investment strategies, like the Worldquant research consultant program and the Trexquant GAR. I ...
1
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1answer
98 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
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0answers
43 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 ...
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0answers
40 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 ...
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2answers
164 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
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0answers
95 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
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1answer
31 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
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0answers
83 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 ...
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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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17 views
annualized sharpe from single day returns with varying cash outlay
Lets say I have a series of daily returns with varying cash outlay. I am trying to take these daily returns to compute the sharpe ratio for the year. my question is about treatment of the weightings.
...
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1answer
82 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
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0answers
18 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 ...
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0answers
57 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
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2answers
235 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 ...
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0answers
43 views
Is Vega hedging a complex derivative self financing?
Let's consider an incomplete market where I am pricing a complex derivative (Say a Bermudan). I hedge vega by a vanilla option(S). Let's say at t=1 I want to re-hedge. However, I have no guarantee ...
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4answers
2k 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
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1answer
76 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
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2answers
104 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 ...
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3answers
196 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 ...
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0answers
5 views
Non-binary Strategy evaluation by comparing to a perfect baseline
When building a strategy, how do you evaluate if it is 'good enough'? Some may say 'Well if it has positive return and low drawdown it should be a good indication', and others will add more 'things it ...
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1answer
105 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
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0answers
35 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 ...
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1answer
95 views
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1answer
138 views
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1answer
145 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
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2answers
666 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
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2answers
235 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 ...
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0answers
286 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
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1answer
51 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 ...
0
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1answer
61 views
Definition Of A Portfolio
I have very recently started studying quantitative finance on my own through a book called An Introduction To Quantitative Finance by Stephen Blythe.
In chapter 6 of his book, he sets out to prove ...
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1answer
46 views
How is hypothesis testing work in population sampiling? [closed]
I am learning the basics of quant trading from quantconnect's tutorial Confidence Interval and Hypothesis Testing. I understood the first part of the article but I dont understand "Hypothesis Testing"...
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0answers
349 views
How to price the american options using local volatility
I have given with a surface of american option prices $C_{am}(T, K)$. From these american option prices the implied volatility surface is deduced.
Now I want to find the local volatility $\sigma(s,t)$...
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2answers
171 views
Factor-Based Equity Investing [closed]
What is the simplest way (process) to develop a factor-based investing strategy with STOCKS?
...
1
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2answers
239 views
Are there any quant strategies which do not involve simultaneous buying and selling of two or more assets?
Whenever I read about quant strategies it leads me to stratergies which involve simultaneous buying and selling of two or more assets. Pairs trading, arbitrage, market neurtal or headging all these ...
1
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1answer
363 views
Longstaff Schwartz algorithm
I am new in finance, I have implemented the Longstaff Schwartz algorithm for pricing american otion - one asset (dimension = 1).
My questions :
Does this algorithm still efficient for a high ...
2
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0answers
82 views
Jacobs and Levy: Enhanced Active Equity Strategies
Hello to everyone I am writing because I am having a bit of tough time figuring out how to replicate the constraints for a Portfolio Optimization using the set up from Jacobs & Levy 2006 - '...
4
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1answer
169 views
Is there such a thing as resonance in economic underliers?
In physics the occurence of resonance is explained and widely understood in its linear form and subject to research in nonlinear resonance.
Example for instance are resonant frequencies of objects.
...
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0answers
62 views
Quantitative model for investing in ETFs [closed]
I want to build a model for asset allocation of my own personal pension in ETFs across four main asset classes: equity, bonds, commodity and property. I am familiar with Python and the basics of risk ...
1
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1answer
110 views
How to modify binomial tree to incorporate one more asset?
I wonder, what would happen if we use the binomial tree to price exchange option, an option to exchange one asset for another at the expiry date. Payoff is $\max(S_1-S_2,0)$
For instance, I have two ...
4
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1answer
397 views
Barrier Option from binomial tree
What is the smallest information structure that is required for using the binomial tree to calculate the price of a barrier (up-and-in) option? My gut feeling is any node below the node that reaches ...
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1answer
480 views
Is R suited for a Quantitative Finance executable application
I wonder if a R-Shiny application works well for a production environment or the only option is C++. I make this question taking in account that R and C++ have a widely set of quant libraries that ...
4
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3answers
455 views
Who trades exchange options in practice (Margrabe's formula)?
I'm currently studying the pricing of the exchange option.
https://en.wikipedia.org/wiki/Margrabe%27s_formula
While I can appreciate the theory, who actually buys these options in practice? Are ...
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1answer
689 views
How do I calculate the spot rate?
How can I calculate the rates to construct the curve? I was thinking to use the formula converting par yield to spot rate, but I am not confident about it. Please give some hints or working on how to ...
0
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1answer
41 views
Kenneth Frenches Data library return data to price data?
I have downloaded the industry portfolios from Kenneth Frenches data library, I am wondering if anyone knows where I can find the price data?
Can I convert it even if I don't have a starting value?
...
3
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1answer
704 views
Monte Carlo model with multiple assets step by step
Here are the following steps to calculate Monte Carlo VaR. I am learning how to proceed with each steps and I would need somebody who can explain. Do I have to create only 1 vector in step 4 (even if ...
2
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1answer
889 views
Fama French sorting
I am trying to calculate my own monthly fama french factors SMB and HML and I have a general question about a final screening act.
I understand that to sort companies in june of year $t$ they need to ...
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0answers
100 views
How to calculate Market Return based on an own sample?
I have read several papers and am more confused than clearer about my problem after the reading. I am trying to validate my sample. I use the Schmidt et al. paper (2015) as a guidance to construct ...
