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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38 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
37 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
148 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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19 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
39 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
173 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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18 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
565 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-...
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1answer
117 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
115 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
83 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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0answers
32 views

Linear programming and minimum cost network flows vs nonlinear and discrete optimization

At my college I have an option: To take either of these two classes. My intended career pathway is into quantitative finance and I wanted to know which one would have more use as a quant. Here is the ...
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3answers
245 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
123 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
37 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 ...
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2answers
423 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
45 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
85 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 ...
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2answers
350 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
147 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
40 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
426 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
316 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
658 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 ...
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1answer
251 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
63 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
61 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
102 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
446 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
279 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?
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1answer
434 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 (...
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1answer
771 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 ...
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0answers
67 views

Statistical methods to compare two financial series data

I have two financial series data, x and x', where x' was formed form ...
2
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2answers
169 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, ...
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1answer
93 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 ...
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1answer
152 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
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3answers
2k 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 ...
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1answer
60 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(...
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0answers
467 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 ...
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1answer
901 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
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1answer
260 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 ...
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1answer
578 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 ...
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3answers
2k 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 ...
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1answer
159 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
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0answers
196 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 ...
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1answer
555 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 ...
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0answers
79 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 ...
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1answer
151 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 ...
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2answers
194 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 ...
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5answers
2k 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 ...