Questions tagged [quantitative]
The quantitative tag has no usage guidance.
171
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Is sorting stocks into portfolio mandatory in Fama-French model?
I am currently doing a report regarding Fama and French 3 and 5 factors model. I was provided 3 companies with each of its daily stock return from 2015-2020, and the values of all 5 factors during ...
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33
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Standard practice to round values in ARM loans
I have an application that calculates payments schedule of ARM (Adjustable Rate Mortgage) loans, where these loans are in the books of commercial banks.
It seems to work fine, with the exception of ...
- 50
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56
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From OHCLV dataset to Tick Chart
We are all familiar with time-based candlestick charts, such as 1 Minut, 15 Minuts, 1 Hour and so on.
The dataset is more or less something similar:
...
-2
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1
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73
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Simulation of SFGK Model for limit order books [closed]
am trying to simulate the SFGK model from the paper "Statistical theory of the Continuous Double Auction", Eric Smith, J. Doyne Farmer, Laszlo Gillemot and Supriya Krishnamurthy [1].
The ...
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174
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How are SOFR implied vols calculated? Are they normal or log normal?
How are SOFR implied vols calculated? Are they normal or log normal?
When we are pricing options with black-76 model, implied volatility must be log-normal as black model assumes log normal ...
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58
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PE ratio of QQQ = 3.5? [duplicate]
According to yahoo finance, QQQ (a Nasdaq ETF) has a PE ratio of 3.56. Since that is significantly less than the rule of thumb cutoff of 20, I'm not complaining. I'm just wondering two things:
How is ...
- 101
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33
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What is the closed-form solution for the PV of the following series? [closed]
I have the following exercise, where a closed-form solution is needed for the PV of the cash flows.
The teacher's solution is the following:
But I fail to understand how exactly we get to it in the ...
- 33
2
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1
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242
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Closed-form solution for the PV of these cash flows
I've been trying to find a closed-form solution for the following equation, but without any progress.
I notice that the cash flows can be separated in: C1,C3,C5... which are 0; C2,C6,C10... negative; ...
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0
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68
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Finite Difference Application
We all know that the traditional BS equation is:
$$\frac{\partial \mathrm V}{ \partial \mathrm t } + \frac{1}{2}\sigma^{2} \mathrm S^{2} \frac{\partial^{2} \mathrm V}{\partial \mathrm S^2}
+ \...
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70
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Calibration for CIR Model Discretization for Predictor Corrector and Milstein method
I'm new to Quantitative Finance. I've data which I need to fit a CIR model and estimate its parameters.
$ dX_{t+1} = a(b-X_{t})dt + \sigma \sqrt{X_t}dW_{t} $
While I can fit and obtain ...
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194
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Crypto perpetual futures contracts- How does the exchange fund the leverage?
Am I correct in saying that with the leverage system in crypto perpetual futures contracts, the user does not borrow from the exchange and the exchange does not have to borrow from external sources ...
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131
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How you explain that result?
I'm reading this paper :
What Does the Individual Option Volatility
Smirk Tell Us About Future Equity Returns?
Yuhang Xing, Xiaoyan Zhang, and Rui Zhao∗
In section 2. A i found this equation:
... And ...
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47
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What does structured estimator mean?
I'm reading Ledoit&Wolf's paper "Honey, I shrunk the sample covariance matrix" and it is mentioned a lot of time, but I don't understand what it means. I thought that probably referred ...
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125
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how to estimate Geometric Brownian Motion parameters on long timeseries [closed]
I'm working on a 50-years financial timeseries and I would like to simulate GBM paths from it.
The first thing I'm supposed to do is to estimate the drift $\mu$ and the volatility $\sigma$ parameters.
...
- 11
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225
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CEV model effective simulation
I want to simulate the following CEV process : $$ dM_t = \sigma_t M_t^{\eta} dW_t $$
Using Euler discretization to $M_t$, if at a given time $t$, $M_t$ takes a negative value then $M_{t+1} = M_t + \...
- 11
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1
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118
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Martingales and Arbitrage in Multiperiod Securities Markets
I have been reading the paper "Martingales and Arbitrage in Multiperiod Securities Markets".
The paper works in the probability space $(\Omega, F, \mathbf{P})$. $X$ is defined as the set of ...
- 199
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95
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How to scale t-bond yield movements on a chart to visualize its relative impact to the pricing of other assets?
How does one scale bond yields on a chart to visualize its relative impact to asset valuations? I.e., so that the risk-free rate moving from 1->2% shows as a much larger movement than 11->12%.
...
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108
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How to backtest a strategy with irregular in-out signal?
Hi I'm currently backtesting an event-driven strategies. Unlike factor strategy which has a regular rebalancing interval, event-driven strategy is conducted whenever there is an event.
Since we do not ...
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97
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Locally riskless
Most derivations of the Black-Scholes formula end up with the following dynamics of some (hedged) portfolio:
$$
\int_{t=0}^{T} \left(\frac{\partial f}{\partial \tau}(S(t),t)+\frac{1}{2}\cdot\frac{\...
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504
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What is a good daily newsletter?
What newsletters do you read daily that help you learn new methods, keep up to date on news, new research, etc in quant finance? Looking for something similar to those morning newsletters sent out by ...
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126
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How do you cross-sectionally standardize a variable?
i am doing research on a so-called carbon beta where I made a portfolio that takes a short position in 'green' stocks and a long position in 'brown' stocks, from a period of 2005 until 2020. So from ...
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1
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141
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Vasicek interest rate of T-forward measure [closed]
I know dr of risk-neutrual measure is
There is a price of a pure-discount bond can be derived by computing the expectation, I get:
where A and B are:
why dr becomes to:
under T-forward measure?
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72
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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 ...
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135
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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 ...
- 21
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448
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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 ...
- 213
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1
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253
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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 ...
- 193
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796
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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 ...
- 165
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0
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71
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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. ...
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2
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1
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847
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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 ...
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242
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Reflection principle of the Brownian motion
really appreciate some guidance on how to get the following equality:
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1
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1k
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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:
...
- 211
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1
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1k
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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 ...
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2
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809
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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.
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306
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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 ...
- 163
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4
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2k
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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 ...
- 115
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666
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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 ...
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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 ...
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1
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223
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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 ...
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0
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53
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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. ...
- 11
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1
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131
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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
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82
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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 ...
- 11
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31
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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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76
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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):
...
- 153
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708
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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 ...
- 341
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74
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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 ...
- 21
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123
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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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2
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340
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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 ...
- 101
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575
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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 ...
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92
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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 ...
- 719
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128
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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 ...
