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Questions tagged [quants]

For questions *about* being a quant, akin to questions on programmers.SE vs. SO. Includes soft questions, career-related questions, questions about best practices, etc.

2
votes
0answers
25 views

QuantLib XL Swap Valuation Fixing Dates

I want to rate IRS Swaps on an specific Valuation Date using QuantLibXL. Everything works fine besides the last Index Fixing before the Val Date. After using SwapLegAnalysis I saw that the Index ...
1
vote
0answers
37 views

Functional Analysis or Ordinary Differential Equations? [closed]

I am a current undergraduate and will be looking to apply to Quant Programs next year. This semester I have the choice between selecting Functional Analysis and Ordinary Differential Equations. I have ...
3
votes
0answers
62 views

Stochastic Differential equation: CAPM

Let $R=(R_1, \dots ,R_M)$′ denote a vector of excess returns of M assets observed at $n$ time points, $0<t_1<t_2< \cdots <t_n<T$, within a time span $T>0$. We wish to explain the ...
-2
votes
1answer
145 views

Work hours as a quantitative finance worker [closed]

How long does a quantitative finance worker work per day? Does he/she need to work over time? I've heard it depends on the field. Maybe no over work in big companies?
-2
votes
1answer
206 views

Is being a quant as easy to look for high paid jobs as before [closed]

I've heard quants are not as popular as before, due to regulations etc, there's less things to do in terms of maths and algorithms. I wonder if it's true?
2
votes
1answer
242 views

Why are there so few published research papers that apply Deep Learning to Algorithmic Trading?

The only related papers I can find are: Financial Trading as a Game: A Deep Reinforcement Learning Approach (2018) Deep Neural Networks in High Frequency Trading (2018) MACHINE LEARNING FOR TRADING (...
-1
votes
1answer
632 views

Choosing programming language for the next generation of a pricing library [closed]

If I were to start development of a pricing library, which programming language would be most suitable to satisfy the following needs: Implement highly parallelizable pricing models using GPU or any ...
1
vote
0answers
60 views

Statistical methods to compare two financial series data

I have two financial series data, x and x', where x' was formed form ...
2
votes
2answers
111 views

Quantitative Finance education/skills [closed]

What is currently most desired in candidates by employers in quantitative finance/algorithmic trading? Strong quantitative academic background, for example, MSc/PhD in Physics, Engineering, ...
0
votes
1answer
63 views

Subset selection to identify independent variables that impact the market?

Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally ...
1
vote
1answer
84 views

Questions related to Sharpe's return-based style analysis

I have been reading about Sharpe's return-based style analysis, which tries to determine the manager's exposure/effective asset mix to changes in the values of the asset classes. It does so by using ...
5
votes
1answer
590 views

Understanding Cover's Universal Portfolio Algorithm

I am trying to implement the Universal Portfolio algorithm strategy inspired by the paper by Professor Cover from Stanford. At the moment I am trying to understand the underlying logic of the ...
0
votes
1answer
52 views

Brownian motion

Suppose I have the process $X = X(t)$ for $t \ge 0$ given by $X(t) = \sqrt{t}*Z \,\forall t \ge 0$ where $Z$ is normally distributed with $N(0,1)$. Is this a Brownian motion? Solution yields: $$X(...
1
vote
0answers
282 views

Recommendations on Quant Study Path

Hello, I'm looking for suggestions and tweaks to my study plan. I'm planning to go down the list, and I hope to finish all of this in 2-3 years. For Starters Some general college level statistics ...
-2
votes
1answer
325 views

Log-moneyness definition [closed]

Define the time-0 log-moneyness of a call on stock $S$ with strike $K$ and expiry $T$ to be: $$\log(S(0)\exp(rT)/K)$$ What does it mean for the strikes K to be at-the-log-moneyness?? I guessed this ...
2
votes
1answer
196 views

Long term career trajectories of quants [closed]

Every year a place like Goldman Sachs hires dozens of new strategists (quants) and the same can be said about many other firms. Some of those quants become managing directors and are set for life. But ...
-1
votes
1answer
408 views

quantstrat for backtesting vs. writing one's own code in R

I have invested a few years in learning R and have developed a number of Monte Carlo backtesting scripts. My question is this: In general, for a person with some experience writing R code who is ...
0
votes
1answer
499 views

Is there any public data to get OIS for differal time (1d, 1W, 1M, …, 10Y)?

I want to get data of Overnight Index Swap, also known as OIS rate, there is any public why to get this always from yesterday? For example, I want to get EFFR(Effective Federal Funds Rate), I can get ...
1
vote
1answer
138 views

How should I develop my coding ability in order to set myself up for a quant role? [closed]

First of all, I apologise if similar questions have already been asked; I've googled around but most similar questions aren't focused on developing specifically quant-friendly programming skills. I'm ...
2
votes
0answers
129 views

Derivative and Credit Risk Modelling

I am looking at acquiring a system to help with multi-instrument modelling. Across the spectrum Equity/FI/Swap/Repo/CDS/FxSwap/Forward/Future/etc for vanilla and more complex derivatives. The modeling ...
1
vote
1answer
436 views

What are the possible topics of quantitative research in M&A?

I'm genuinely interested in Quantitative Finance, mostly volatility (e.g. Realized Volatility (MSRV, Realized Kernel), VaR based on GARCH under higher order conditional moment dynamics, etc) or just ...
1
vote
0answers
75 views

What is the intuition to believe that a properly designed option can be dynamically hedged (just for the 1 stock case)?

I would always presume that the portfolio consists of 1 stock and 1 risk-free asset. And that the $r, \alpha,\sigma$ are all non-zero, but might be time-dependent. When I say "any" option, I am ...
1
vote
1answer
117 views

What is the principle of determining an arbitrary option price

First I want to talk about one of my wrong ways of pricing an European call option. When I consider the simplest case of European call option, the first idea of determining the price is to calculate ...
1
vote
2answers
165 views

The meaning of risk-neutral pricing?

Assume that the underlying $S$ is some index, hence the risk-return $\mu=0$, where $S$ meets $$d S = \sigma S d W_t.$$ Let $V$ denote the price of the corresponding call option. To construct the ...
9
votes
4answers
831 views

Free or Relatively Less Pricey Quant Finance courses online

I am trying to figure out what all online Quant Finance courses are out there which are free or relatively less pricey? CQF is not less pricey Financial Engineering course on Coursera - Not so great ...
-1
votes
2answers
325 views

Close form solution for Geometric Brownian Motion

I have a very fundamental problem, please help me out. I am little confused with the derivation for the close form solution for the Geometric Brownian Motion, from the very fundamental stock model: $$\...
1
vote
1answer
137 views

How to understand the following brownian integral using Fubini's method?

I am a little bit stucked with the following integral process, using Fubini's method, this is an intermediate step of short rate Merton Model. $\int_{t}^{T} W(s)ds=\int_{0}^{\hat {T}}ds\int_{0}^{s}...
2
votes
1answer
174 views

Calculating required funds on Futures trades

I'm coding in python a backtester for trading the Futures markets (equity futures, precious metals, bond futures, etc..). When I open a position long or short, I need to deduct an appropriate amount ...
3
votes
3answers
3k views

How to build a cross currency swap pricer?

We're looking to build a pricer to convert a funding spread in a given currency over a specific funding basis e.g. 20 bps EUR 3m€ and convert it to a funding spread to a different currency with a ...
1
vote
0answers
309 views

FIX engines comparison

Need help, looking for some comparison between c++ FIX engines, like onixs, antenna and some fpga solutions. If anyone has experienced some of the named engines also would like to hear the ...
1
vote
0answers
38 views

Toxic FX Flow - how to avoid it [duplicate]

So, basically i want to debate and find out the real reason behind being flag by ECNs and venues as "toxic". How to avoid being flag? What kind of strategies are toxic and why? Below is an article ...
2
votes
1answer
166 views

What qualifications do the traders have that quants don't?

What qualifications do the traders have that quants don't? I know that they are not expected to know as much math, but that can't be it, can it? (I'm not in finance, nor am I really planning to go ...
1
vote
2answers
144 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 ...
1
vote
1answer
861 views

Portfolio Management in R

I’ve been looking around for a R-package that will allow me to track my stock portfolio - basically I would like to enter stocks that I own, track the trades I make, calculate my open position & ...
2
votes
2answers
894 views

What are the advantages of financial modelling in R? [closed]

Recently I've found out that quantitative department in my company uses mostly R software for modeling in general. What is the advantage of modeling financial data in R instead of Excel, or some ...
1
vote
1answer
192 views

Newbie Quant: Bulding price feeder to securities master db

First of all, warm hello to all. I am newbie and i admit it, but with at least 15+ years of exp in C++. Working in IB - derivatives mainly, but unfortunately on the business side not trading at all. ...
4
votes
2answers
754 views

Covariance between two stocks in a two-factor model

I am studying the Arbitrage Pricing Theory using Pairs Trading: Quantitative Methods and Analysis.In page 44 the author gives an example on how to calculate the covariance between two stocks. I will ...
6
votes
1answer
393 views

Why Lie groups, differential geometry and string theory relate to MF?

I'm reading Peter Carr's "A Practitioner’s Guide to Mathematical Finance". When talking about the math used in mathematical finance, he mentions Lie groups, differential geometry, string theory. Can ...
59
votes
8answers
24k views

Is R being replaced by Python at quant desks?

I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...
2
votes
0answers
352 views

Getting Into Quant Field without Phd or Masters [closed]

I was wondering it is possible to get into a quant role without a masters or a PhD. And if so, what are the steps to do so? The only resources I've really been able to find speaking to this on ...
6
votes
2answers
11k views

The future language of quant programming? [closed]

Im just about to begin the programming aspect of my education towards being a Quant. I know what languages are currently being used and how popular they are. However, I have several good friends ...
21
votes
3answers
4k views

What is the necessary level of Econometrics-Know-How for a quant

It seems quants increasingly use econometric models at work. As someone who has sold his soul to probability theory and stochastical analysis I would like to catch up. What are the econometric tools ...
5
votes
3answers
20k views

Kalman Filter Equity Example

I am looking out for some material where I can study about Kalman Filter applied to Equity using Excel or R?
12
votes
5answers
697 views

What benefits are there to employing agile software development methodologies for quants?

Perusing the other SE network sites, particularly Programmers, I often find vigorous support for various agile software development methodologies, particularly the various values known as Extreme ...
6
votes
3answers
907 views

Financial Products Markup Language

I am asked to map financial products into XML. It can be in any format. I know there is an open specification FPML. Is that worth to adopt FPML rather than my own standards? Also, how common FPML is ...
14
votes
3answers
2k views

What is a Quant

In the interest of having "canonical questions" on this site ... What is a Quant?