Questions tagged [reference-request]
use this tag to signal questions about books or papers on a specific topic. Please have a careful look at questions already answered on the same topic in this category.
236
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Suggested readings for a beginner with Math backgroung [closed]
Before asking any reference, I think it makes sense to give some feature of the recipient.
I am a pure mathematician. After the PhD I went to industry to work as software engineer. Recently I started ...
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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 ...
CommunityBot
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a good book on option pricing from theoretical and practical aspect
This is the situation someone I know is in:
She has good understandings of stochastic calculus and the very basics about black-scholes and binomial model, but nothing more.
Her background is in ...
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Static and Dynamic Hedging of Vol/Var Swaps
Why can a variance swap be perfectly statically hedged whereas a volatility swap requires dynamic hedging?
Possible reference request to the corresponding literature.
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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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Differences between editions of Security Analysis by Graham and Dodd?
Where can I find a comparison of the contents, a list of everything that changed or the differences among the different editions of the book Security Analysis by ...
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Resource recommendations: Levy process estimation using programming languages
Perhaps this type of question is not very suitable for this forum, but I'll try to make my question a little useful.
I'm studying stochastic processes, more precisely, Levy processes. A Levy process $...
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References/Direction on what functional of wealth to optimize for a given goal?
I seem to have gotten stuck trying to approach trading strategy development from a financial mathematics(?) perspective.
To start, let:
$T \gt 0.$
$\mathcal{T}$ be a closed non-empty set of $\mathbb{...
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Quantitative trading strategies with a focus on low-frequency dislocations
I am looking for references that are specific to quantitative trading strategies that exploit low-frequency dislocations in markets, which lend themselves as overlays for a strategic asset allocation ...
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Input/References on Generating Exit Signals for Positions that Profit Very Highly from Extreme and "Unpredictable" Events?
For focus, let us restrict the scope of this to vanilla options-based positions/strategies.
In a lot of the accounts that I've seen of those that engage in this sort of investment/trading strategy (...
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CAPM yields very poor fit (low R-squared). Is that normal?
I am playing around with the CAPM for a small European stock market (about 100 stocks). First, I use five years of monthly data (January 2017 to December 2021) to estimate betas for each firm using ...
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Nominal vs. real (inflation-adjusted) prices/returns in cross-sectional asset pricing
I have the impression that asset pricing models such as the CAPM or Fama & French 3 factor model typically concern nominal rather than real (inflation-adjusted) prices/returns. If this is indeed ...
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VaR backtesting. Reasons for over- and underestimation of value at risk estimates?
I use an ARMA-GARCH model for univariate distributions and a copula model for the multivariate distribution. For the value at risk (VaR) estimation, I do a Monte Carlo simulation. I'm looking for some ...
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Why do we use the letter $q$ for dividends?
In derivative pricing models, we often use the letter $q$ to designate the dividend yield i.e.:
$$\textrm{d}S_t=S_t((\mu-q) \textrm{d}t+\sigma\textrm{d}W_t)$$
for the price process $S$ of the stock.
...
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Is there a general approach to predicting future (vanilla) option prices in practice?
I realize that this question may be verging on asking for the proprietary/"secret", so if suggestion of a general approach that doesn't divulge details isn't really possible, I understand.
...
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Method of conditional expectations for basket
I am reading paper "An analysis of pricing methods for baskets options".
Unfortunatly, I can not find the working paper "Beisser, J. (1999): Another Way to Value Basket Options, Working ...
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Is there a commonly accepted way to leverage the granularity of high frequency data while working within the constraints of lower frequencies?
Apologies if this is not the correct forum for this question.
Access to high frequency data (trade data, quote data, limit order book updates, etc.) is currently relatively easy through various public ...
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Estimating the knockout probability of a discretely observed autocall note
For simplicity, let's suppose the underlier follows a Geometric Brownian Motion $S_t\sim\text{GBM}(\mu, \sigma), t\ge 0$ with $S_0=1$. A discretely-observed binary autocall note is a derivative ...
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Optimal Input and Target Variables for Forecasting Using a Deep Neural Network on Daily Stock/Index Data [closed]
What is the optimal input and target variables for forecasting with a deep neural network on daily stock/index data? More specifically I’m training a temporal convolutional network, but a more general ...
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Is the time derivative of asset returns expressible as an SDE?
Consider the following SDE for $(S_t)_{t\geq 0}$ under $\mathbb{Q}$,
\begin{equation}
\mathop{dS_t}=S_t\left(r\mathop{dt}+\sigma(t,S_t)\mathop{dW_t}\right),
\end{equation}
which (in Langevin form) may ...
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Good guide to test a new 'factor' and control using other factors in regression model (like Fama French)?
I'm trying to get a better understanding of different ways one can test a new factor within the Fama-French framework?
For example, some questions I have are:
I want to test if Warren Buffet is in a ...
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References for path-dependent GBMs or continuous time analog of discrete time filters
Consider a path-dependent GBM model for a stock price:
$$dS_t = \mu(t, S_.)S_tdt + \sigma(t, S_.) S_t dB_t,$$
where $\mu, \sigma : [0,\infty)\times C_{[0,\infty)}\to \mathbb{R}$ are previsible path-...
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What is an algo wheel and where can I find references?
The term "algo wheel" has been flying around for some time yet I have yet to find a consistent definition. It obviously has to do with making trading strategies more comparable, but where ...
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First known reference using martingale theory to derive BS formula
What is the first known paper which derives the Black-Scholes valuation formula for an option (1973) using martingale machinery - instead of PDEs?
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Why do some anomalies persist while others fade away?
In their 1990 book, A Non-Random Walk Down Wall Street, Andrew Lo and Craig MacKinlay document a number of persistent predictable patterns in stock prices. One of these "anomalies" is variously known ...
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Where to find dissertations in risk management
I'm looking for open databases of master's dissertations/theses in risk management & quantitative finance written by risk practitioners.
The goal is to find current research topics or problems in ...
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Topological methods in finance
Recently a promising start-up (Ayasdi) has made headlines. They are a spin-off of the Applied and Computational Algebraic Topology group of Stanford University (ComTop). What they basically do is ...
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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 ...
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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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Quantifying climate change risk
I am looking for resources on applicable and practical solutions for estimation and quantifying climate change risk from asset owners perspective (for example, a portfolio of equity, fixed income, and ...
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283
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AFML (by Lopez De Prado) Vs ESL by Trevor Hastie
The books "The Elements of Statistical Learning" by Trevor Hastie, and "Advances in Financial Machine Learning" by Lopez De Prado are highly recommended books for ML. They both ...
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References for Stochastic Control for finance
What are some good references to study Stochastic Control with applications to Finance, like the Merton problem and other variants? Books or review papers?
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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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Why is volatility said to be persistent?
Persistence in volatility of stock returns is one of the common 'stylized facts' when it comes to analyzing time series. However, I am wondering for theoretical arguments why (estimated) volatility ...
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Online courses or C++ books combined with Finance (alternatives to Duffy and Joshi)
I am trying to find a book for our study group that teaches the bare minimum C++ needed for financial applications.
I am trying to teach it in a project based manner. In case, I don't settle on one ...
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Game theoretic description of stock market
I read the book "Theory of Games and Economic Behavior" by John von Neumann and Oskar Morgenstern. I think that stock market may be described by game theory. But here are the problems:
...
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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?
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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) ...
CommunityBot
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Research papers and other resources to learn about useful statistical tools for pairs trading
Brief background: I recently started writing a Python code to find stocks which might be cointegrated. I iterated over a really long list of stocks trying to find a pair which might be cointegrated. ...
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Is GameStop is a lottery-like stock?
I am finding the evidence or reference saying that GameStop is a lottery-like stock but I could not find that.
What I did find so far is:
Hasso, 2021 documented that
GameStop investors had a history ...
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What is the source of classify the developed and emerging market worldwide?
I am doing a cross-country research where different countries implement anti-corruption at the different year. I want to examine the impact of the laws in each set of countries (developed and ...
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Do high dividend yield stocks generally outperform the market?
The only paper I could find is the following:
Dividend Yield Strategy in the British Stock Market 1994-2007 by Brzeszczynski et al. (2008)
It states that a portfolio of stocks with high dividend ...
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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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Reference for path dependent options
I want to study path dependent options for which I am following the book Paul Wilmott on Quantitative finance.But here I dont find the detailed explanations or derivations for the various PDEs .So is ...
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What is Nassim Taleb's Stance on Volatility
Over the years I have read all of Taleb's Incerto. I recall him more or less writing that "stock returns have no second moment". Hence stock volatilities, defined via the standard deviation ...
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What is the relationship between the estimated GARCH(1,1) conditional volatility and the true conditional volatility
Suppose that the data has been generated by a GARCH(1,1) model, i.e.
\begin{align}
y_t &= h_t \epsilon_t, \; \epsilon_t \sim N(0,1) \\
h_t &= \alpha_0 + \alpha_1 \epsilon_{t-1}^2 + \...
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Compound Option Monte Carlo Methods Reference Request
I am interested in valuing option where the underlying security is similar (not exact) to an option. The underlying security might be a Preferred Share (option to convert into common share plus ...
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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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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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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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