Questions tagged [reference-request]

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0 votes
1 answer
189 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 ...
14 votes
1 answer
789 views

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 ...
1 vote
1 answer
133 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 ...
12 votes
4 answers
2k views

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 ...
6 votes
4 answers
2k views

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 ...
0 votes
0 answers
82 views

AFML (by Lopez Deprado) 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 ...
1 vote
1 answer
124 views

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: ...
5 votes
2 answers
926 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?
1 vote
1 answer
172 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) ...
2 votes
0 answers
188 views

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. ...
1 vote
1 answer
70 views

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 ...
0 votes
0 answers
48 views

Reference request (Risk Management + Insurance Theory) [duplicate]

I have to study the following topics: Market and credit risk assessment models Technical risk assessment models: non-life and life Models for the valuation of bonds and for the determination of the ...
0 votes
2 answers
42 views

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 ...
5 votes
2 answers
274 views

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 ...
3 votes
1 answer
527 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 ...
0 votes
1 answer
82 views

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 ...
4 votes
0 answers
235 views

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 ...
3 votes
0 answers
70 views

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 + \...
2 votes
0 answers
43 views

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 ...
0 votes
0 answers
11 views

How important Payable Days (Account Payable) to a firm's operating?

I am wondering if there is any paper mentioning the importance of Payable turnover or Days Payable Outstanding of a firm. I found that this account has been less researched and I try to use google ...
0 votes
1 answer
44 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 ...
1 vote
0 answers
169 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 ...
0 votes
3 answers
139 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.
21 votes
6 answers
28k 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 ...
4 votes
0 answers
128 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 ...
2 votes
1 answer
61 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
14 votes
2 answers
659 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 ...
3 votes
2 answers
220 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, ...
1 vote
2 answers
173 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 ...
8 votes
3 answers
1k 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 votes
0 answers
37 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 ...
0 votes
0 answers
166 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 votes
2 answers
190 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 votes
3 answers
2k 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 votes
0 answers
151 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 votes
1 answer
343 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 $\...
-2 votes
1 answer
213 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 ...
1 vote
1 answer
63 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 (...
2 votes
2 answers
551 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 votes
1 answer
353 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: ...
1 vote
0 answers
67 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 vote
1 answer
72 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 votes
1 answer
150 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 ...
0 votes
0 answers
56 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 vote
1 answer
74 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 vote
0 answers
212 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 vote
0 answers
121 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 ...
-1 votes
1 answer
201 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 votes
1 answer
177 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 ...
0 votes
0 answers
235 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 ...

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