# Questions tagged [quantitative]

The tag has no usage guidance.

133 questions
Filter by
Sorted by
Tagged with
29 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 ...
38 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 ...
150 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 ...
76 views

...
57 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 ...
351 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 ...
80 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 ...
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 ...
16 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. ...
39 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 ...
50 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 ...
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 ...
68 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 ...
354 views

### Java platform/lib widely use in industry

I am currently switching from Java dev to quant and for my self-study I want to code a few auto-trading algorithms to get my hands on the subject. Are there any must know platforms/libs that I should ...
93 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 ...
1k 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)...
40 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 ...
67 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 ...
10k views

### Hurst Exponent Calculation

I am trying to calculate the Hurst Exponent using Excel. I am facing a problem where the exponent value sometime goes beyond 1. Can someone share a link / material so that it will help me to calculate ...
164 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 ...
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 ...
1k views

### Quantum Mechanics and Economics… What

I was reading this paper: Financial Turbulence, Business Cycles and Intrinsic Time in an Artificial Economy. The author has the model presented here: Quantum Evolutionary Financial Economics But I am ...
751 views

### Quantum Computing for Quantitative Finance

It's been a while that quantum computing is looked as the next step in computational science. I somewhat always tought we were decade aways from it's happening but it appears I was wrong: ibm-quantum-...
88 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 ...
32 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 ...
113 views

...
82 views