Questions tagged [terminology]

For questions about words, phrases and definitions that are specific to quantitative finance.

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In how many ways can time endogeneity be defined?

In the literature many papers such as Wenhao Cui take into consideration the problem of time endogeneity. Is it correct to define time endogeneity uniquely as having nonzero correlation between ...
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What is the official name for this indicator?

I distinctly remember that this type of indicator was named after a person. With reference to a particular period e.g. a week or month, it is computed as: $$Ratio1(t) = \frac{Close(t) - Low(t)}{ High(...
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Terminology: "global" in "global minimum-variance portfolio"

I am confused about the meaning of "global" in "global minimum-variance portfolio". The sources that I have encountered so far do not explicitly state what "global" means....
Richard Hardy's user avatar
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what does "outright" mean in rates world?

For example, what does "outright" mean in outright OIS swap? Another similar question, what does "USD fedfund is marked as outright" mean? Thank you
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Is there a formal notion of a "reward measure"?

A risk measure, as defined in the Wikipedia page, is a function that maps random variables to real numbers and satisfies the normalized, translative, and monotone properties. There are many other ...
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What do you call a growth factor?

This is just a question about terminology for a document I'm writing. (Simple) return: $X_{t+1}/X_t - 1$ Log return: $\log\left(X_{t+1}/X_t\right)$ ???: $X_{t+1}/X_t$ I was thinking "growth ...
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Terminology - are each of the eigenvectors of a PCA themselves called an "eigen portfolio"

Sorry, I suspect this is rather trivial but just want to confirm that, given a portfolio constructed of n assets, each of the n ...
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Why is it called the No-Arbitrage Theorem if it’s really “arbitrage exists but only briefly”? [closed]

Why is it called the No-Arbitrage Theorem if it’s really “arbitrage exists but only briefly”? Is it just because all opportunities revert to equilibrium so fast that there’s no ultimate arbitrage, or ...
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Which portfolio is more "diversified": the $\frac{1}{N}$, the MDP or the max decorrelation?

Equally-weighted portfolio: weights each asset the same $w_i = 1/N$ Maximum diversification portfolio: maximizes the ratio, $\frac{w' \sigma}{\sqrt{w' \Sigma w}}$ Maximum decorrelation portfolio: ...
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Backtesting of Risk models

I am wondering if there is any difference between 2 terms call model backtesting and model validation from the perspective of <...
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Does this volatility-like measure have a name?

So, basically I'm looking at {=SQRT(AVERAGE((R1:R100)^2))}, or in words: the square root of the average of squared daily returns. Is there a nice simple term/name ...
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First principles in Finance

Every so often I hear people referring to the term "first principles". It seems to me that this term does not necessarily have a universally accepted connotation in Finance. Here is the general ...
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Definition of the field YAS_RISK for bonds on Bloomberg terminal

The Bloomberg terminal has the following definition for the field YAS_RISK (SP190): "Indicates the price sensitivity given shifts in interest rates." It does not specify, however, what currency is ...
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Basic CDS terminology

new to CDS. Few basic questions on terminology and conventions: If I look at a Sovereign 5-year Chinese CDS then the graph shows a CDS value of 42.520. (Source). Is this 42.52 basis points? Is it ...
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What do I call the combination of two or more prices when doing arbitrage?

Suppose that I’m doing forex arbitrage between multiple currencies. A possible arbitrage strategy is to combine the currency prices in pairs and then evaluate if there is a chance to make a profit. ...
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Mathematical definition of a hedge?

For two given portfolios/trading strategies I want to know what criteria need to fulfilled in order to call the one portfolio a hedge to the other. In other words; what is the mathematical definition ...
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Does it make sense to refer to a forex pair as a 'financial asset'

I am working with the AUD/USD forex pair for my master's thesis (not in finance, hence I'm asking such a simple question). I am wondering if it's proper usage of the word 'financial asset' to refer to ...
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Why does Bjork use the term "hedging" to denote a replicating portfolio? [closed]

Reading Bjork's Arbitrage Theory in Continuous Time, he keeps using the word "hedging" and "hedging portfolio" when he's talking about replicating a derivative. Why? Is this other definition of the ...
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What do you call a group consisting of stocks, etfs, and futures?

In the command line interface to my program, the user can create a basket of stocks, etfs, or futures by saying: basket = stocks basket = etfs basket = futures basket = options But I ...
PaeneInsula's user avatar
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What are flickering orders?

I am reading a paper for my bachelor thesis, Queuing Uncertainty in Limit Order Market by Bart Zhou Yueshen who is the new AP at INSEAD. In the abstract, the author said: "Flickering orders manifest ...
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What does it mean to 'receive outright'?

What does the following statement mean: "after accounting for levels of market volatility, we favor receiving outright in 6-month forward-starting 2-year swaps."? Specifically, what does "receiving ...
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Standard term for the components of a distribution waterfall?

I'm writing software for calculating distribution waterfalls. When displaying the results of a particular calculation, I want to show amounts that correspond to specific provisions in the relevant LPA....
Kenny Evitt's user avatar
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3 answers
289 views

What noun is used to describe whether an option is call or put?

I'm not sure if this should be asked elsewhere, but it seems like a good place as any. Options have a strike price, they have an underlying instrument, and they have an expiry. They are also either ...
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A basic question about market jargon

What does it mean by DBR 4s of Jan4, 2037? I know the Jan4, 2037 is the maturity. How about DBR and 4s?
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Risk theory is a part of financial mathematics

In my program on Financial mathematics we studied such topics as pricing, portfolio management, risk theory (probability of ruin of an insurance company) etc. However, now I often see a line between "...
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What does the prefix PX stand for on a Bloomberg Terminal?

Regarding PX_LAST, PX_VOLUME etc... What does the "PX" prefix stand for?
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How to distinguish between different types of algorithmic trading

Algorithmic trading involves the use of algorithms to optimally execute trading instructions. Then there are algorithms which initiate trades, based on various quantitative strategies (e.g. pairs ...
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What is a stationary process?

How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?
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Who has introduced the term 'vega' and why?

The sensitivity of the option value $V$ to volatility $\sigma$ (a.k.a. vega) is different from the other greeks. It is a derivative with respect to a parameter and not a variable. To quote from Paul ...
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