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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Standard practice to round values in ARM loans
I have an application that calculates payments schedule of ARM (Adjustable Rate Mortgage) loans, where these loans are in the books of commercial banks.
It seems to work fine, with the exception of ...
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Machine learning techniques for small datasets
I am dealing with financial data which is available on a Monthly basis. I am planning to apply machine learning techniques like LSTM but issue here is that overall I have very limited training dataset ...
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Creating a Bloomberg bquant portfolio
As an ex-investment banker (salesperson to be specific) and amateur programmer, I’d like to move into quant work.
I’d like to create a coding portfolio using Bloomberg’s bquant, but as I’ve left the ...
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spectral entropy as stock volatility
There are many way to capture to stock volatility and most common is Beta. But problem with beta this is difficult to select ...
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TBA - what is and isn't a TBA? (help please)
this is probably a naming issue - but i am totally confused as the documentation is never clear. I understand well what a generic TBA is, what is a "STIP"? is it also a form of TBA? One doc ...
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OLS estimation for ornstein uhlenbeck process
I am reading the following paper. In particular, in section 4 - numerical determination of OTRs, it mentions applying Ordinary Least Square on Eq(5). However, what I don't know is whether ${P_{0,0}, ...
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111
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Recommended books/resources for IRRBB risk metrics calculation
Any recommendations for books/resources/videos/on-demand courses for in-depth IRRBB-related risk metrics calculation etc?
Yield Curve Risk, Basis Risk, Repricing Risk, Optionality Risk, Value at Risk, ...
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Replication of a payoff with vanilla products
A lot of research has been done in the direction of replication techniques, and most of them consider the max function. I was wondering if we have an interest rate benchmark $R$, a cap $C$, a floor $F$...
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For a trade to occur, should the ask price EXACTLY match the bid price, down to the last decimal point? [closed]
I had a doubt when going across the ways in which a trade happens. I have read that fora trade to happen, the buy order's price (bid) must match the sell order's price (ask). Now, what happens, if ...
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393
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Finding the trading intensity - Avellaneda Market Making
Where does the K term come from in Avellaneda's description of finding the probability an order gets filled.
Please see the image below
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103
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Using LGD (Loss Given Default) in the trading of bonds
Do you use the LGD as a risk management tool when trading credit cash bonds? Or it's more for trading the loan product.
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465
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W-shaped Event Vol and Butterfly Arbitrage
I came across the Vola Dynamics page about the W-shaped vol before an event: https://voladynamics.com/marketEquityUS_AMZN.html
I'm a bit confused by "this term does not have any butterfly ...
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Vol binomial tree
Suppose that we have a stock $X_t$ valued at 100 euros per share. At each time step the price can go up or down 1 euro with prob $1/2$. Assuming that interest rates are $0$ and the volatility of the ...
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How to backtest a strategy with irregular in-out signal?
Hi I'm currently backtesting an event-driven strategies. Unlike factor strategy which has a regular rebalancing interval, event-driven strategy is conducted whenever there is an event.
Since we do not ...
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Why does changing the step size in my Binomial Tree changes the final stock prices so much?
I am trying to price a convertible bond by using a binomial tree. For this, I wrote a binomial tree for the stock price. I noticed that changing the step size (timesteps), changes the final value of ...
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Questions on the calculation of time series momentum
I read Moskowitz, Ooi, Pedersen's Time series momentum (2012).
The ex-ante volatility estimate (equation (1) in the paper) is
I am not sure about the period of the return reflected in the volatilty ...
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How to train mental math for trading? [duplicate]
I have a mental math test coming up for a quantitative trading firm. Anyone knows good websites to practice?
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175
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Bet sizing to actual orders
At chapter 10.2 in Advances in Financial Machine Learning it says:
Suppose that one strategy produced a sequence of bet sizes $[m_{1,1}, m_{1,2}, m_{1,3}] = [.5, 1, 0]$, as the market price followed ...
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seek clarification about PFE
I'm a software developer want to know a little about quant basics. My undserstanding of PFE is that a PFE of a trade at a future time point is commonly defined by taking the average of the highest (or ...
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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 ...
user36180
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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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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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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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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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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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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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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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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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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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159
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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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663
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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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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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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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390
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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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