Questions tagged [quantitative]
The quantitative tag has no usage guidance.
152
questions
1
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1answer
59 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
1answer
112 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
0answers
64 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. ...
1
vote
1answer
112 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
1answer
182 views
Reflection principle of the Brownian motion
really appreciate some guidance on how to get the following equality:
0
votes
1answer
168 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
1answer
78 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
0answers
22 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) ...
3
votes
2answers
704 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
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0answers
63 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
2answers
316 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
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0answers
25 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
1answer
111 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
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0answers
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
1answer
132 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
0answers
33 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
1answer
92 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
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0answers
51 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 ...
1
vote
0answers
25 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
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0answers
43 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
50 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):
...
0
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0answers
111 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
vote
1answer
237 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
0answers
54 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
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0answers
56 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
2answers
215 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
433 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
1answer
49 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
0answers
89 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
1answer
70 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
1answer
322 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
0answers
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
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0answers
72 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
3answers
595 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
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
votes
1answer
105 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
2answers
131 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
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3answers
438 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
1answer
142 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
0answers
43 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
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1answer
273 views
0
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1answer
472 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
2answers
1k 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
2answers
313 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
0answers
561 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
1answer
58 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
votes
1answer
72 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 ...
1
vote
1answer
48 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"...
4
votes
0answers
461 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 $\sigma(s,t)$...
0
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2answers
189 views
Factor-Based Equity Investing [closed]
What is the simplest way (process) to develop a factor-based investing strategy with STOCKS?
...
