Questions tagged [soft-question]
Questions that do not require specific technical expertise in order to answer properly. Questions must be of particular interest and usefulness to professionals and academics to qualify as on topic.
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Advances in retail modelling
The risk-neutral modelling framework leads to very advanced and mathematically rich approach to contingent claims modelling. However, in my experience, retail modelling in Banks is done using generic ...
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54
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Swap IRS - SOFR lookback
I have a fixed-float swap valuation to realize. The floating leg is referenced to SOFR with a 10 days lookback. The first coupon has already started, on 01/09/2023, and ends on 01/12/2023. The first ...
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3
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1
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Target variables in high frequency trading [closed]
Given that we are a market taker (removing liquidity from the limit order book through market orders), what should we be trying to forecast?
It seems like the most pertinent thing for us to forecast ...
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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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65
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Is the self-financing condition necessary/"useful" in practice outside of replication/valuation?
I know that the need for a portfolio/strategy to be self-financing (the purchase of a new asset needs to be funded by selling of an older one/ones) is very helpful when attempting to price derivatives ...
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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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225
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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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1
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232
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Is it fair in an introductory stochastic calculus/derivatives pricing class to ask for the price when absence of arbitrage is violated? [closed]
Re close votes: I believe this is a fair kind of opinion-based question because it's like those ethics questions in academia se or workplace se or because it's pedagogical.
Context: I'm actually ...
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129
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Book recommendation on portfolio theory [duplicate]
I am searching for books to self-study on undergraduate level on introduction to portfolio theory that has more math rigor than Modern Portfolio Theory and Investment Analysis and exercise with ...
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72
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Rationale for Historical Volatility definition
I think I understand the most common definition for historical volatility (standard deviation of log returns), but it has me puzzled because it conflicts with my intuitive idea of what volatility is. ...
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2
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809
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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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988
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What are the differences between Pareto, Fréchet, power law, fat tails and fractal?
I do get that these concepts are well-defined, but I am referring to extreme value theory in particular, and the fact that these ideas are often tossed around as synonyms, leaving the details and ...
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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 "...
2
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2
answers
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Discussion on random matrix theory and impact on PCA
I've written a paper for university on Random Matrices and during my research I've had an interesting idea, let me explain:
Wigner's Semicircle Law has seen much advancement since its original proof ...
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2
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MLFinLab package for financial machine learning from Hudson and Thames
Has anyone tried MFinLab from Hudson and Thames? The full license is not cheap, so I was wondering if there was any feedback.
(Github repository)
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How could the WTI future price be as low as -40 on Apr 20? [duplicate]
Were there any known high-frequency firms suffer from it?
As the brent price stays normal, I believe that many algorithms would have recognize that price different as an arbitrage opportunity.
For a ...
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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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Master's in Mathematical Finance [closed]
Question: I currently graduated with a Bachelor's in mathematics. I have taken classes in analysis up to and including introduction to measure and integration theory, probability theory without ...
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22
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1
answer
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What is the trickiest thing to get right in Rates Quant recently (2019)?
What are the biggest challenges for Rates Quants in 2019? Most quants have been through a lot over the past years-shifting their SABR models in JPY swaptions, fixing the FVA models for negative rates, ...
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How to reasonably aggregate returns across both different assets and different time-horizons?
This might be a somewhat open question, so any suggestion of improvement is welcome.
Suppose at time $t=0$, we have $N$ different assets whose weights are $w_1,\cdots,w_n$ ($\sum w_i = 1$), and they ...
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Regarding the post-facto predictability of stock market returns
Almost all of the research on equity factor investing deals with a priori predictability of the cross-section of stock market returns (i.e., models which use variables and data that would've have been ...
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What would it take for quants to use "quantlib" [closed]
Apologies in advance if open questions are unwelcome.
As ISDA and CCPs are beginning the slow but sure process of derivatives valuations, it starts to make sense to open source good methodologies.
...
5
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1
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"Dusty Corners of the Market" and Limits-to-Arbitrage
In his 21 November 2014 blog post, Dusty Corners of the Market, John Cochrane seems to imply that certain areas of the market tend to be more resilient to the forces of arbitrage and efficiency.
The ...
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Who benefits from more fair market?
An year ago, I asked the hedge fund owner I worked for: "What is the main benefit for the people, the society and the market from what the hedge funds do?". He simply answered that "They make the ...
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Probability distributions as solutions to differential equations
As far as what I can tell, the popularity of the Black-Scholes-Merton model partly stems from the fact that it formulates the value of a derivative in a differential form in which the solution has a ...
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Knightian Uncertainty Iff Bayesian Probabilistic View Point
If an investor operates under knightian uncertainty, does that investor then have a Bayesian viewpoint on probability implicitly, and vice versa? Has this been answered or do I have a poor ...
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Is it necessary to enter quantitative finance directly after a PhD or is taking time out to 'study up' considered acceptable? [closed]
I will graduate with an applied mathematics PhD within the next few months. My research has been on mathematical/numerical methods for waves in liquids and gas. I have received unsolicited emails ...
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3
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The ambiguity of the term "duration"
This is a soft question about terminology.
Let B be a bond with coupon payments. There seem to be two uses of the word duration in finance:
Sensitivity of B's log price to B's continuously ...
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0
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Volatility taxonomy
I have been thinking about this for a while... I can't make my head around it because of the gap that there's still on between financial economics and quantitative finance. Usually, when a student is ...
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2
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570
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Trading Interview Question (Bullish, Bearish)?
I recently had a trading interview, and they asked this question. However, I had no idea how to answer it, and I was wondering if you could help me undersatnd it.
Say you have a set of returns ...
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Interview questions pictures [closed]
I got this questions which is quite interesting,
I am in a museum, there are 100 rooms (numbered from 1 to 100) in this museum and each room has a picture in it. I go visit each room in the ...
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3
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Buy side techniques
I was speaking with a friend of mine about what techniques are used for quantitative investment management, and he told me that, when assuming active positions on the market, even in high-frequency ...
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conferences for credit portfolio managers
What are worth conferences for credit portfolio managers?
I appreciate your recommendations!
PS:I am aware that this question is not the typical quant.SE question, BUT I couldn`t find reliable ...
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3
answers
561
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Works of Nassim Taleb
I am looking to find the list of math/statistics papers of Nassim Taleb. However the google scholar page only seems to show popular articles. I know that he's famous for his theory of randomness and ...
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What are good online resources for credit portfolio managers?
I am aware that this question is not the typical quant.SE question, BUT I couldn`t find any site/forum/wiki, where credit portfolio managers hang out to share their experience and their methods. ...
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593
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Information on books about mathematical finance
In the past at my school the subject of "Mathematics of Derivative securities" has been taught out of two books.
"Quantitative Finance" by T. Wake Epps and "Options, Futures and Other Derivatives" by ...
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5
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What is the motivation for index benchmark?
I know that many funds have local index (i.e., SPX in US) as their benchmark. Why are investors interested in such kind of returns instead of absolute returns. From the first glance I'd think one ...
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Reference for Algorithmic Trading [closed]
I have recently started to look up algorithmic trading but I am finding it hard to find references related to this field.I am math major with a sound knowledge in Statistics, various programming ...
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Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
What constitutes "stealing" when it comes to publicly posted financial data?
I think there are three instances of this that we can individually vet:
a.) you physically broke into a location or ...
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How to develop journeymanship and mastery in the field Quantitative Finance?
I've read the FAQ and I know that this question may be considered off-topic by the standards set forth but I think a topic such as this is a valid exception. Questions like this one have been ...
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3
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Convexity of BS Equation for Call and Put
I have a simple question.
Is the Black-Scholes Formula convex with respect to Implied volatility parameter $\sigma$ (for calls or put) ?
When I say Black-Scholes I mean for a call the following one ...
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Recommendations for books to understand the math in quantitative finance papers?
Can anyone recommend books that explain the math used in quantitative finance academic papers?
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3
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1k
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Empirical or theoretical quant insights that have shaped your thinking?
What are some quant theoretical or empirical insights that have shaped your thinking or provided a deeper conceptual basis for explaining returns and risk?
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What papers have progressed the field of quantitative finance in recent years (post 2000)?
My question is pretty simple: what papers do you feel are foundational to quantitative finance? I'm compiling a personal reading list already, drawn from Wilmott forums, papers referenced in ...
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What benefits are there to employing agile software development methodologies for quants?
Perusing the other SE network sites, particularly Programmers, I often find vigorous support for various agile software development methodologies, particularly the various values known as Extreme ...
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What does put-call parity imply about option premiums?
We know that $$C-P = PV(F_{0,T}-K)$$
When we create a synthetic forward, we buy call and sell a put at the same strike price $K$. When we buy the call why do we assume the premium is positive? When ...
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Good quant finance jokes
Have a good quant joke? Share it here. The principle "should be of interest to quants" trumps.
I would be particularly keen to learn jokes which involve some nontrivial finance/mathematics. I am ...
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2
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On my way to becoming a Quant [closed]
I'm currently studying for my undergrad in CS, and considering to do a grad in both CS and Math. I would like to see what you guys would recommend to prepare myself for a field as a Quant. I am ...
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