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.

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85 views

How do I estimate the factor sensitivity in a Vasicek Single Factor Model?

I understand the formula of an asset return for an obligor i is given by the following: $$A_i = \sqrt{w_i}*Z + \sqrt{1-w_i}*\epsilon_i $$ My question is - How do I calculate $w_i$? I have the PD, LGD ...
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1answer
95 views

Operating Leverage Interpretation

Operating Leverage is the ratio of Contribution margin and operating income(proxy of profit). So, Operating Leverage = [Sales-Variable Cost]/[Profit] = Quantity*(Price-AVC)/Profit Many literature ...
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24 views

FTSE 350 historical constituents

I would like to do some research on the past data of FTSE 350 from 2009 up to the end of 2020. For this analysis, I need to check which components were consistently a part of the index from the ...
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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) ...
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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.
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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 ...
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2answers
317 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 ...
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2answers
2k views

Mark Joshi's book - quant interview questions

I am currently doing the question on pricing the option with payoff: $$\max (S(S-K),0).$$ On the relevant question section, it's asked why would a bank be reluctant to sell such option? I can't really ...
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39 views

What is "level" and "term" in Derman figures?

Im doing my final thesis about implied volatility. In the last section I am talking (not too much deep) about volatility surface. Im using the figure below to show the differences between the real ...
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0answers
62 views

DV01 on IRS giving error in Quantlib for ZAR curve "1st iteration: failed at 14th alive instrument"

I am at my wits end to calcualte the DV01 of a swap but keep getting the error "RuntimeError: 1st iteration: failed at 14th alive instrument, pillar May 28th, 2024, maturity May 28th, 2024, ...
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1answer
503 views

Making a beeline to statistical arbitrage

This question is somewhat related to my previous question here but has not been addressed in any other thread. The answer in that thread hit the nail right on the head with that one line "...
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72 views

Expected value of P&L based on option prices

How can we compute the expected value of P&L assuming the option price is given? Do we need to have more information to calculate P&L?
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1answer
91 views

Correlated Wiener Process

I am in trouble with a task: I have a portfolio of 5 assets, and I Have the correlation among them, with a 5x5 matrix. Since each asset follows the BS formula: , I need to perform a montecarlo ...
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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 ...
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51 views

Career Advice Model Documentation Role (What is it exactly? and transition to wider quant role in future, can't find info online) [duplicate]

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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0answers
123 views

Random Walk Theory vs. Quant Trading

I am quite new to random walk theory so please excuse my rather simply put question but I am wondering how can quant trading desks and other algorithmic trading firms exist if there is the random walk ...
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43 views

How do I calculate inflation adjusted CAGR?

I'm running backtests with monthly data going back to the 1920's and I'd like to compare different strategies using inflation adjusted CAGR. But I don't know how to calculate it. Would any of these ...
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2answers
54 views

What happens if my risk factor caught by statistical risk model using PCA turns out to be totally different from other PM's risk factor? [closed]

In order to explain systematic risk we use risk factors and I've learned that since they try to explain 'systematic' risk, risk factors are relatively well-known. However, what happens if the risk ...
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0answers
49 views

advances in financial machine learning - problem regarding to insufficient number of financial data to train ML algorithm

After reading 'Advances in Financial Machine Learning' by Marcos Lopez de Prado, I wonder how can we train machine learning algorithm with too few financial data. If we use cumsum filter etc the ...
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0answers
49 views

How many principal components to use for statistical risk model?

If I use every principal component to explain total variance of my portfolio, does it still make sense in portfolio optimization? Because since alpha factors try to find out and explain unexplained ...
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1answer
228 views

Factor alignment problem in portfolio optimization

I'm taking a course 'AI for trading' in udacity, and there is a part I really want to make sure. The lecture keeps teaching me that there are alpha factors (driver of return) and risk factors (driver ...
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1answer
97 views

Someone help me understand why for portfolio variance or Parametric Value at Risk we have to compute the covariance matrix?

I understand that portfolio variance is computed through $w'Cw$, where w is the vector of weights, $C$ being the covariance matrix. However, what I don't get is this: why can't this portfolio variance ...
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1answer
40 views

Comprehending Corr heatmap from multiple trials of investment strategy (Paper)

Can someone please explain the heatmap of Corr from backtests in this research paper ? A Data Science Solution to the Multiple-Testing Crisis in Financial Research - Lopez De Prado (2019) - (Exhibit #...
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1answer
570 views

Quantlib: How do I price a ZC bond using the Hull White model?

I am trying to use QuantLib to model short rate and looks like QL has some material here http://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html I have been able to simulate ...
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0answers
21 views

What are different types of response variable we can consider while developing quant model

I was trying to understand the response variables used in the quantitative trading/investing model development. This question may not look good but I searched on google and could not find results. ...
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0answers
68 views

Entry points to finance for Applied Mathematics (Numerical Analysis/High Performance Scientific Computing) PhD Student [duplicate]

I'm looking to go into quantitative finance after my phd in around 2 years. With a background in pdes/numerics/heterogenous and distributed computing, I think my skill set is applicable in this area, ...
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2answers
348 views

NLP related finance projects [closed]

fist of all I do apologize if my question is not fit for this forum, but after much research I didn't find a better place to ask this question. I am a PhD student in mathematics. I do know some ML and ...
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24 views

Tradeoffs of using Loess regression to fit random walks

I am curious if anyone has had much experience attempting to predict random walks using Loess regression or a variant of local statistical methods.
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1answer
805 views

Pre-requisite math books, to the pre-requisite math needed to become a front desk quant

This question is about the pre-requisites to the pre-requisite math needed to become a front desk quant. I have done research online and I found that there are a lot of recommended books as a pre-...
2
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1answer
399 views

Open source projects to gain demonstrable experience in implementing modeling in C++

I have a mathematics background with a PhD in mathematics (not related to stochastic processors or financial mathematics) and have been in derivatives valuation for around 6 years. When applying for ...
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1answer
172 views

Current discount rate of Hull White One-Factor Monte Carlo Simulation

I have a question about the Hull-White One-Factor Monte Carlo Simulation. As we know under the Hull-White One-Factor Model, the short rate follows a random process. So basically, every simulation path ...
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2answers
94 views

What the ... are all of you studying/working for asking such questions? [closed]

Sry, I'm new here. But I am just astonished by all those sick questions and answers you ask/provide... Are most of you studying mathematics or are your finance programs that good, that you can ask/...
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3answers
512 views

Advice on learning C++ and its integration with Python/R/MATLAB for quantitative finance

For some background information, I am a PhD student in economics. Although I did not study in finance previously, I took a course on stochastic calculus and a course on asset pricing in incomplete ...
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1answer
408 views

Realized and Unrealized Profit and Loss [closed]

https://www.tradingtechnologies.com/xtrader-help/fix-adapter-reference/pl-calculation-algorithm/understanding-pl-calculations/ What I want to know is, after Scenario 4 in this article how does the ...
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1answer
38 views

Custom normalisation from 0 to 20

I want to normalise from 0 to 20 For example right now I do normalisation with dynamic outlier exclusion , using median. So it works fine for some values like below ...
5
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2answers
800 views

Quantitative Finance Interview: Brainteaser Question/Birthday Problem

I'm reading an interview book called A Practical Guide to Quantitative Finance Interview by Xinfeng Zhou and I cannot make sense of the solution provided by the book, so I really appreciate your ...
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1answer
54 views

Security Analysis By Benjamin Graham Example Doubt [closed]

So I was reading (trying to read) Security Analysis by Graham and I came across this example ("Example 1" in the image attached below) Being the noob at finance and quant that I am, I was unable to ...
2
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1answer
132 views

Labeling and excluding specific market conditions

I'm going through "Advances in Financial ML" book and got stuck with something which is not covered there (correct me if I'm wrong). Let's assume I labeled data to 0, 1, 2 according to triple barrier ...
2
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2answers
761 views

Flexible horizon in Triple Barrier Method

I'm going through "Advances in Financial ML" book and I really like the ideas behind Triple Barrier Method and using a flexible horizontal threshold based on volatility. What bothers me is that an ...
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0answers
213 views

First principles in Finance

Every so often I hear people referring to the term "first principles". It seems to me that this term does not necessarily have a universally accepted connotation in Finance. Here is the general ...
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0answers
42 views

Adjusting company financials for acquisitions/divestitures

is there a market standard that people refer to for accounting for changes to financial period comparisons (e.g. year-over-year revenue metrics) when the company makes acquisitions or divestitures? ...
3
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1answer
782 views

What on earth is an Alpha Model in the quantative investment process?

I am confused with the useage of the concept "Alpha Model" in quantative investment. According to Qian, Hua & Sorensen (2007), the first thing in the toolbox of quantative investment process is "...
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1answer
408 views

Do quants need to know bloomberg terminal and VBA? [closed]

I am a Pure Maths PhD student who will graduate in 2 years time. My aim is to land a quant job after gradauation. When collecting more information so that I can have some edges over others, I heard ...
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1answer
841 views

What are quant trading competitions besides IQC?

I am interested to participate quantitative trading competitions. I am residing in Singapore. The only quant trading competitions that I know are International Quant Championship (IQC) and SMU ...
3
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1answer
431 views

Are questions in Joshi's book really asked at Quant interviews? [closed]

I am reading some questions in Joshi's book on Quant Job Interview Questions, and am perplexed at some of the questions in the book. Some of them are extremely easy (like, "explain the Black Scholes ...
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0answers
74 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 ...
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0answers
84 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 ...
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0answers
117 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 ...
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1answer
749 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?
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1answer
426 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?