Questions tagged [reference-request]

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0answers
139 views

Current research in price prediction

I am returning to studying the markets after ten years spent in banking. I would like to ask for directions, what approaches to price prediction are currently used - I want to catch up quickly. Papers ...
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0answers
20 views

Reference request: “Sustainable competitive advantage” and “cash holdings”

Sustainable competitive advantage are company assets, attributes, or abilities that are difficult to duplicate or exceed; and provide a superior or favorable long-term position over competitors. In ...
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1answer
87 views

Looking for a good introduction to modelling ARCH-type models

I am starting to think about my dissertation topic for my undergraduate degree. I am interested in comparing volatility of stock indices during COVID-19 to the years leading up to the pandemic. I have ...
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3answers
110 views

List of Option Payoffs [closed]

Does anyone know of a good resource which lists all commonly used options together with their payoff functions? I'm specifically interested in non-path-dependent options.
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6answers
27k views

How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?

I am looking to convince someone that an annualized Sharpe Ratio of 7 is 'extremely high' for a low frequency (daily rebalancing, say) long-short technical strategy on U.S. equities. I was hoping for ...
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0answers
109 views

Finding optimal calendar spreads and diagonals

I am looking for some pointers on risk/return profiles of calendar spreads and diagonals with different strikes and expiration dates, preferably based on historical backtests with SPY options. Please ...
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1answer
58 views

Is there a source for structured product statistics?

Is there a source giving statistics for structured products by type, number of issuances, location, etc.? Thank you
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2answers
601 views

Something fundamentally different about cryptocurrencies?

You read a lot about cryptocurrencies these days, especially bitcoin. My question: Do you see something fundamentally different about them compared to other asset classes, i.e. other currencies, from ...
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0answers
23 views

Estimate of loan risk due to change in income

Disclaimer: despite working at a bank, my background is in data science and not in quantitative finance. I'm very likely to miss certain technical terms of the domain and if that's the case, I'd ...
1
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1answer
132 views

Long-Term Energy Price Modelling: Log Returns, Distributions, Time-Weighting

I wish to forecast energy prices in the long-term (ca. 20 years) for energy-efficiency investments. While I understand that the energy carriers are particularly sensitive to external (geo-political) ...
3
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2answers
146 views

References for Counterparty Credit Risk, especially derivatives exposure

I fortunately landed an internship in Model Risk Management in one of the largest European Banks and now am looking for good references for Counterparty Credit Risk, especially derivatives exposure, ...
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2answers
101 views

Spectral clustering in finance

What are some examples of applying spectral clustering to financial times series data or other areas of finance? Why spectral clustering was used for each application rather than other types of ...
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3answers
796 views

Asset pricing textbooks

What are some asset pricing textbooks that give a solid introduction into the field? I suggest one textbook per answer with a list of its pros and cons.
3
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0answers
35 views

Replication of “recovery bond”

I just started learning about credit products. Let $B_t^T$ be the price of a risk free zero coupon bond at time $t$. Similarly, let $C_t^T$ be the price of a zero coupon risky bond from some fixed ...
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0answers
82 views

Machine/Deep Learning for Exotic Option Pricing - Reference Request

Exotic options, in general, have very time-consuming valuation models. I believe in recent years there has been some research done on using supervised machine/deep learning to predict the valuation ...
0
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2answers
166 views

Starting Point for understanding Financial Theory for a Statistician

I am a Master’s student in Statistics who is interested in the field of Financial Modelling. I have very little experience or knowledge of Finance and have mostly worked on introductory projects in ...
3
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3answers
1k views

What is a canonical book or article to learn pair trading?

Can someone suggest a resource with a clean cut explanation of pair trading?
3
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0answers
140 views

Other statistical financial modeling textbooks like Risk and asset allocation by Attilio Meucci

I recently read about the book (Risk and asset allocation) written by Attilio Meucci and I found those statistical modeling and inference methods quite robust in my point of view, although there are ...
0
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1answer
152 views

Mathematical proof that the covariance between two portfolios is $w_A^\top\Sigma w_B$

How to prove in a line-by-line derivation that the covariance between two mean-variance efficient portfolios is equal to $$w_A^\top\Sigma w_B$$ where $w_i$ is a unique portfolio weight vector, and $\...
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1answer
88 views

Efficient frontier portfolio's analytical solution for a given expected return $r$

$$\begin{equation} \boldsymbol{w}(r) = \frac{r\mathbf\Sigma^{-1} \boldsymbol{\mu}}{\boldsymbol{\mu}^{\top} \mathbf{\Sigma}^{-1}\boldsymbol{\mu}} \end{equation} $$ is the closed-form analytical ...
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1answer
56 views

Alternative low-moment measure of skewness

$$ \widehat{\text {Skew}}_{i, t}=\frac{3 \cdot\left[\hat{\mu}_{i, t}-\operatorname{median}\left(r_{i, d, t}\right)\right]}{\hat{\sigma}_{i, t}} $$ is called Low Moment Skewness by Baltas and Salinas (...
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2answers
392 views

Good references on PNL explain?

Can anyone share good references for how PNL explain should be calculated and presented for the best use of a derivatives trading desk?
2
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2answers
285 views

Proof of Feller condition for CIR square root process. Any reference?

Could you please give me some reference for the proof of the so-called Feller condition as to a stochastic differential equation of the form: $$dr_t=a(b-r_t)dt+\sigma\sqrt{r_t}dB_t\tag{1}$$ with $\...
5
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1answer
303 views

Comprehensive List of Regime Switching/Change-Point Detection Models

I am looking for a comprehensive list of regime switching/change point models/techniques which can be used to model different regimes / change points in financial time series. What I found so far are: ...
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0answers
53 views

Concentration of measure phenomena in financial mathematics

Concentration of measure is a small area of statistics and probability theory that proved inequalities regarding the statistical properties of sets of random variables that exclude one of those random ...
1
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1answer
56 views

Clustering the observations in a price or returns series [closed]

Given one stock, what value would there be in clustering the individual sample observations within that stock's historical prices series, or its return series? is univariate clustering done in finance?...
3
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1answer
139 views

Which references would be useful as an introduction to econometrics as it pertains to CONTINUOUS TIME models?

It seems like the problem of trying to estimate model parameters for continuous time models is not commonly covered in standard econometric textbooks, even those focusing on time series. I certainly ...
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0answers
38 views

Symbol for the feasible set of portfolios in mean-variance analysis?

When we optimize some mean-variance efficient portfolio, it lies on the efficient frontier (blue line) which is considered superior to the feasible set of portfolios. The feasible set (red dots), on ...
1
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1answer
63 views

Book/Reference on LEAPs/ Long dated options

Can anyone suggest a book on pricing and trading in LEAPs / Long dated options (maturity atleast 6 months )or a generic book which covers this topic in great detail. I’m specifically looking at how ...
1
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0answers
131 views

Source on multivariate correlated geometric Brownian motion returns, not prices

Can anyone provide a source that formulates how to generate multivariate geometric Brownian motion returns using the Cholesky method with target correlation matrix, instead of correlated GBM prices? ...
1
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0answers
99 views

Where could I get a mathematical background on circular arbitrage?

I am particularly interested in the dependence of profit on the path length (the number of intermediate currencies) and graphical models / algorithms. More specifically: How can we model currency ...
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1answer
116 views

What are some of the more Math-oriented professional certificates in Finance? (more math-oriented than CFA) [closed]

What are some of the more Math-oriented professional certificates in Finance? In particular, I'm interested in learning about professional certificates that are more Math/Statistics-oriented than the ...
2
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1answer
151 views

Reference request for AI / deep learning for finance

Are there any particular references that are recommended for learning about AI / deep learning and how to apply them to quant finance? I have written programs that price options, done sentiment ...
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0answers
172 views

How to implement copula portfolio optimization?

This a reference request for any python notebooks, packages or blogs that teach how to do asset allocation using multivariate copulas. How can copula portfolio optimization actually be implemented in ...
3
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1answer
201 views

ETF pricing papers

May I request for research paper recommendations, if any, on existing models that study how the presence of ETFs affect equilibrium prices of the underlying assets? I am exploring a project on a ...
0
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0answers
79 views

Any books on systematic investing in credit securitized products (RMBS, CLO)?

I'm looking for books/research papers that would have information on systematic strategies used in the Credit Securitized products space (specifically RMBS, CLO, etc.), if there are any? I've been ...
6
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2answers
304 views

Forecasting volatility farther ahead with autoregressive machine learning

ARIMA and GARCH are old news for predicting volatility time series of asset returns. I am aware of papers that replace ARIMA and GARCH with machine learning algorithms to predict financial volatility ...
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3answers
1k views

Extreme Value Theory in Risk Management

1 - I am trying to understand the concept of EVT and how we are able to calculate VaR and ES from that. I would like to understand the maths in more detail. 2 - If I have a portfolio of Long and ...
21
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4answers
13k views

Is statistical arbitrage on FX possible?

Do you know of any papers which consider pairs trading (or statistical arbitrage) on foreign exchange? I couldn't find any. I asked this question on several forums and got no reply. Thus, I guess ...
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0answers
30 views

Portfolio models that maximize cumulative returns

Portfolio optimization typically looks at minimizing portfolio volatility, or maximizing the portfolio's Sharpe ratio (risk-adjusted return), but are there any recent, reasonable approaches to ...
5
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3answers
475 views

Basics of trading strategy development

I am Computer engineer and I know programming in python, go-lang, C++, I am interested in trading, I know how to make system to get data, send orders, back-test, fault-tolerance system, etc I have ...
0
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1answer
114 views

Book/ Articles recommendation for Volatility models

I am looking for references on volatility models. I want to gain more insights on these models but have a little background as of now. Thus, looking for references that can pick the topic from basics ...
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1answer
76 views

Reference of using $\mu = \frac{1}{T}(\log K - \log S_0)$ in binomial tree model

Notations: Given a binomial tree with $N$ periods and time to maturity $T,$ let $\Delta t = T / N.$ It is well-known that CRR uses the up and down multipliers as $$u = e^{\sigma\sqrt{\Delta t}} \...
1
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1answer
61 views

Canonical text on numerical PDEs in finance

I am looking for a text similar to Glasserman's Monte Carlo Methods in Financial Engineering, but with a focus on numerical methods for PDEs. Glasserman's book seems to cover a lot for what is ...
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0answers
37 views

Fama Foundations of Finance today

Which could be a recent equivalent of Fama's book Foundations of Finance? By "equivalent" I mean a book which is rigorous, but without being a book on stochastic calculus; which is focused on stock ...
2
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1answer
292 views

Where can one get data concerning ETF holdings and changes in their holdings?

I am trying to write my masters thesis in finance and my topic will be ETF related. I wanted to ask whether it is possible to find data for an empirical analysis for my thesis. I have been searching ...
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0answers
79 views

Intraday volatility measures in comparison to end of day measurement

I'm experimenting with Parkinson's Number and the Garman-Klass estimator I'm wondering what the appropriate number of days to sample over, is the number over 1-day useful at all, or should one take it ...
0
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1answer
30 views

Reference for “an increase in volatility increases value/price of american options”

I'm looking for a textbook/journal article reference for the well-known result that an increase in volatility increases the value/price of a standard American (call and put) option. In the case of ...
9
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0answers
5k views

Bridgewater's Daily Observations

Bridgewater Associates send out Daily Observations to their clients, but I haven't found many traces of these publications online. The series started some 40 years ago by Ray Dalio, and there're just ...
0
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1answer
222 views

Fixes of quadratic utility when probability of decreasing utility is large

In finance and specifically portfolio theory, a popular utility function is quadratic utility $$ u(x)=x-\frac{\lambda}{2}(x-\mu_X)^2 $$ where $x$ is wealth and $\lambda$ is the parameter of risk ...

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