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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.

3
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0answers
84 views

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 ...
0
votes
0answers
29 views

Soft Question: Why forward-rate curve models?

Why did people move away from short-rate models to forward-rate curve models (besides the HJM drift restriction)? Are there any benefits of short-rate models which forward-rate curve models do not ...
1
vote
0answers
71 views

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. ...
3
votes
1answer
106 views

“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 ...
0
votes
2answers
103 views

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 ...
1
vote
0answers
42 views

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 ...
1
vote
1answer
37 views

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 ...
1
vote
1answer
101 views

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 ...
1
vote
3answers
123 views

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 ...
1
vote
0answers
39 views

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 ...
1
vote
2answers
290 views

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 ...
1
vote
0answers
124 views

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 ...
1
vote
3answers
147 views

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 ...
3
votes
0answers
35 views

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 ...
2
votes
2answers
233 views

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 ...
0
votes
1answer
131 views

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. ...
1
vote
1answer
315 views

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 ...
2
votes
5answers
163 views

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 ...
3
votes
0answers
270 views

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 ...
-1
votes
1answer
981 views

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 ...
4
votes
1answer
710 views

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 ...
7
votes
3answers
1k views

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 ...
38
votes
8answers
12k views

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?
16
votes
3answers
784 views

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?
36
votes
3answers
4k views

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 ...
12
votes
5answers
684 views

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 ...
5
votes
2answers
560 views

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 ...
25
votes
9answers
5k views

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 ...
3
votes
2answers
1k views

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 ...