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Questions tagged [trading]

Attempting to profit from short-term fluctuations in a security's price as opposed to investing in the security for use or income.

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Are there ways to trade differences in distribution between (or within) assets?

It's common enough to examine asset returns, or grouped subset asset returns, compare across them and make some investment decision, either directionally or via a spread/relative value trade. Can do ...
Chris's user avatar
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Trading jobs that do not require a PhD [closed]

I hope my question is allowed. On the front page, I only see technical questions although questions similar to mine have been asked before. I found trading jobs that do not require a PhD or knowledge ...
young-trader's user avatar
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Exchange redirecting order

I was reading about exchange to understand better how they execute my market-orders. So let's say I am sending a market order to buy one share of AAPL to NYSE. When NYSE gets my order he looks at the ...
missing_name's user avatar
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Do perpetual futures have initial and variation margins?

When trading perpetual futures (for example, on crypto), do the concepts of initial and variation margins take place? I'll expand on my point: Perpetual futures without leverage. For example, we want ...
Disciple's user avatar
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Kurtosis and skewness trading resources

I am writing and dissertation about distribution arbitrage, which is basically kurtosis and skewness trading with the Risk neutral densities. I found a few research papers, but I am looking for some ...
Kid000's user avatar
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Quant Strategies on longer time frames

I'm researching quant strategies suitable for retail traders, focusing on those beyond the typical 1-3 month holding period. Traditionally, retail strategies are influenced by insider information, ...
Carol.Kar's user avatar
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Autocall Selling Process [closed]

I'm new in structured products and I need some help for understanding some stuff on autocall. When a client gives his money to the bank for investing in an Autocall, this money goes in a ZCB and in ...
Simon's user avatar
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1 vote
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Analyzing a trading algorithm

I want to know what are some commons methods/tricks people use to analyze the quality of their trading signals. Let's say I have a dataframe with all my different signals and their performance. These ...
option_vol's user avatar
2 votes
1 answer
114 views

Markout PnL why looking in the past [closed]

Most of the time to analyze a strategy people will take all the trades and look at the PnL a certain markouts. Yet I don't understand why so many people look at negative markouts? What can infer from ...
option_vol's user avatar
1 vote
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48 views

Am I overcomplicating this approach to optimal actions based on a forecast?

I have been attempting to implement a simplified version of the model used in this paper which, given a forecast of future data, provides an optimal way of acting on it by choosing an optimal sequence ...
QMath's user avatar
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Commitment devices to remedy investment mistakes?

I'm looking into a new question that came up lately. Some of our clients here are prone to sell their gains too quickly while amassing larger positions of assets that have lost in value. Although this ...
T123's user avatar
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Any references on material for understanding fixed-income price discovery and occurrences of discrepancy in valuation between buy side/sell side?

Can discrepancies in pricing occur for bonds between the buy-side and sell-side ask, in addition to other complex structured credit offerings like mortgage pools? My understanding is quoted yields and ...
Michael Damien's user avatar
1 vote
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217 views

IDE to use for Python for Quant Trading [closed]

Dear Quantitative Finance Stack Community, Since many Quantitative propietary trading firms seem to be using Python over alternatives such as STATA. I have now decided to get myself familiar with ...
Julien Maas's user avatar
1 vote
0 answers
138 views

Implementing Queue Reactive Model using L2 data

I've been reading through the Queue Reactive Model paper, and wanted to implement it in Python. I have clean L2 data in the form below (over 450k events for one stock one day), with a timestamp, the ...
IGottaLearnMath's user avatar
3 votes
1 answer
290 views

Given a statistical model which predicts price, how to determine trading strategy?

Let us assume that we have a statistical model such as ARIMAX that predicts the daily closing price of an asset for the next 30 days. Assume starting capital of $1mn. The model will make new ...
MilTom's user avatar
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Stock trading data across multiple vendors interview question

I had the following coding question in a quant shop interview recently. I have no experience with quant finance, so I was hoping to get some insight on if this problem actually represents some real ...
user70981's user avatar
-1 votes
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Mental math method for large integer multiplication

I am practicing for trading interview, especially the quick calculation of mental math. But I am wondering is there any quick method to calculate the general multiplication? like the one ...
Xu Shan's user avatar
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Trading strategy with only knowledge of price increase/decrease?

Take a hypothetical model that takes a stock as input and outputs "up" or "down" indicating if the stock price will increase or decrease in a fixed time interval T. Assuming the ...
BeefJerky's user avatar
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Data on Trading Activity in Fixed Income Markets [duplicate]

Do any readers know of a good data source for trading volumes for fixed income assets (corporates [by rating, if possible], Treasuries, MBS and ABS) that provides historical data (back to 2008)? FINRA ...
user69799's user avatar
-1 votes
1 answer
155 views

Treasury Basis Trade - Real life example?

There have been some talks regarding the potential threat arising from Hedgefunds w.r.t. to their leveraged Treasury Basis Trade positions. Besides some basics, I never fully grasped the mechanics of ...
Kosta S.'s user avatar
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2 votes
1 answer
153 views

Queue Reactive Model for large spread assets

Im working on the implementation of the Queue Reactive Model by Lehalle (https://arxiv.org/pdf/1312.0563.pdf), but I have encountered some implementation problems for my specific assets. First, the ...
NICOLÁS ZANNI's user avatar
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2 answers
173 views

Assessing the value of risk reversal and the fly

This is important for traders. What I'm really asking is how do we ascertain if vanna (or dvegadspot) is being valued correctly by the market? and for the fly, fair fly value will be a combination of ...
Danny's user avatar
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615 views

Options market making process (step-by-step)

What are the steps involved in options market making? Does it roughly follow this procedure: Choose a pricing model, e.g. Black-Scholes. Calibrate the model, e.g. Volatility. Quote a bid-ask spread ...
FISR's user avatar
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1 answer
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How does unwinding of long BTC futures positions prevent further downside risk/decrease in prices of BTC/Crypto?

This seemed like the most appropriate stack exchange for this question even though the question isn't strictly quantitative, but I hope it's ok. I read an article(Article Below) and can't seem to ...
Man Dem's user avatar
2 votes
1 answer
1k views

Market Making Card Sum Game

I am preparing for an interview with a prop trading firm and wanted to discuss potential strategies for the classic market making games. I have seen similar posts on the forum, but a lot of the ...
Anon's user avatar
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222 views

Separating Forex Instruments

I'm a mathematician and I'm newish to trading. Is it possible to separate or decouple the two currencies in a trading pair? That is, given the GBP/USD pair, is it possible to create a graph of the GBP ...
Ben Crossley's user avatar
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75 views

Multiple models for one single wallet

I am an algorithm day trader. I am trying to automate certain patterns on the stock markets. Here is my question. Suppose I have $n$ models $M_1, M_2, M_3, \dots, M_n$ with expected return $E_1, E_2, ...
David's user avatar
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1 vote
1 answer
278 views

How to test an orderbook using real data

I'm pretty new to all this but haven't found anything online on my issue (the answer may be very obvious since I'm a beginner) - I'm currently coding up a very generic orderbook in C++ for fun, just ...
cocode's user avatar
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Difference between the two definitions of Ulcer Index

The Ulcer Index (UI) is defined as follows on page 89 of the book "Practical Portfolio Performance Measurement and Attribution, 2E" by Carl Bacon: $$ UI= \sqrt{\sum_{i=1}^{i=n} \frac{D_{i}^...
cc88's user avatar
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1 vote
1 answer
389 views

When to exercise a physical Bermudan swaption

I have seen a lot of literature regarding the valuation of physical Bermudan Swaptions. However, I could not find any answer to the following question: if you're a trader and an expiry date is ...
SPF531's user avatar
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17 votes
5 answers
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What is the point of mental arithmetic tests?

For example, in this post, it is asked where one can practice for trader's mental math tests. I can understand why as a trader you'd practice mental health test, but, in this day and age, can someone ...
Frido's user avatar
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3 votes
2 answers
351 views

Maximum profit from trading on a random walk with a specific strategy

My question is related to this thread, but I'm interested in a special case. Suppose that the price of an asset starts at 100 USD, and changes according to a geometric random walk; one step of 1% ...
asmani's user avatar
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2 votes
1 answer
156 views

Days to settlement for US corporate bonds

This question may be not be very relevant to quantitative finance, but I guess fixed-income modellers may encounter this some time as well. The question is about the days to settlement for US ...
L. Francis Cong's user avatar
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Define the supports and resistances [duplicate]

When I day trade, I easily notice support and resistance areas. Visually it seems very intuitive to spot them, but I can't define them so that I can spot them using python. Can you give me a clear ...
David's user avatar
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3 votes
1 answer
462 views

High-frequency risk management methodologies

In a high-frequency environment, such as a proprietary trading firm or market making firm, the primary goal of the risk management team would be to limit potential losses, but how is that done in this ...
FISR's user avatar
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Trading options - risk adjusted return

I have often wondered what kind of risk restrictions do traders of options in Hedge funds have but have not managed to find any information on this matter. I presume there must be some kind of measure ...
fwd_T's user avatar
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1 vote
2 answers
2k views

Is there a API to obtain real-time forex data in seconds?

I wanted to get sell, buy and recent trades of a currency in intervals of seconds but was only able to find APIs which offer a minimum interval of one minute (I checked Polygon and Alpha Advantage). ...
yemy's user avatar
  • 113
4 votes
1 answer
391 views

Continuous prediction vs Event-based predictions

When making a high-frequency or mid-frequency prediction on an assets return, what are the advantages and disadvantages of making a continuous prediction vs a prediction that only fires on a ...
mr_mm's user avatar
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0 votes
1 answer
643 views

What is the difference between Flow Trading and Market Making? [closed]

Are there two definitions to Flow Trading? From reading online, I've gathered two, but I'm not sure if I am mistaken, so a little bit of clarification would be very much appreciated. (1) Flow Trading -...
Murilo Gomes's user avatar
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1 answer
124 views

Using LGD (Loss Given Default) in the trading of bonds

Do you use the LGD as a risk management tool when trading credit cash bonds? Or it's more for trading the loan product.
risknewbie's user avatar
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1 answer
75 views

Comparing Volatility [closed]

Sorry for asking beginner level question. I want to compare Volatility of two different years of Nasdaq. I thought to compute true range (TR) on daily data and then average out TR values of this year ...
Ujjawal Bhandari's user avatar
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43 views

How to choose limit prices on IR futures when targeting a specific 2s10s spread?

I understand the concept of DV01s and when doing an interest rate future trade I need to use about a 2:1 ratio when trying to trade the 2s10s. This is explained here: https://www.cmegroup.com/...
filifunk's user avatar
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2 votes
2 answers
5k views

Market Making Game Strategy with Information Imbalance

I have a final round with a market making firm coming up and will be asked to play several market making games. I wanted to ask for advice on how to approach these games, especially with an ...
Max's user avatar
  • 121
0 votes
1 answer
124 views

How to lower intraday trading commisions [closed]

I’ve been running an algo in paper trading (on Interactive Brokers) that I would like to switch over to live. It makes anywhere between 20-40 trades a day, which racks up a lot of commissions. Any ...
R M's user avatar
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4 votes
0 answers
570 views

What does it mean to "sell skew to buy vol"? [closed]

A bit confused here. Skew can mean so many different things. It can mean the different IVs along the strike axis (sometimes called vertical skew), can mean the IVs along term structure (sometimes ...
A.L. Verminburger's user avatar
1 vote
3 answers
175 views

Uncorrelation between SP500 and USDJPY?

I'm planning to start a strategy on SP500 hedging losses on USDJPY, because USD usually goes the opposite of SP500. I'm also considering other symbols (USDCAD, USDCHF, USDX) I just took the charts of ...
Giova Next's user avatar
1 vote
1 answer
461 views

Interest rate swap Profit and loss attribution

I am wondering how the IRS daily PnL will normally be attributed from trader's/market risk perspective. Will it be broken down into three parts daily carry (Daily interest accrual), daily roll-down (...
kit's user avatar
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3 votes
1 answer
600 views

Trading based on the log return series

A common strategy in trading is to use a bollinger band system. Simply put, we bet on reversion to the mean and take the opposite trade to the current movement under the assumption a move is overdone. ...
John S.'s user avatar
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8 votes
5 answers
5k views

Does anyone know where to practice mental math for trader interviews in MC format? [duplicate]

I am currently using zetamac (has customizable number ranges but doesn't allow for decimals), tradermath (seems to be made to resemble the actual test for flow but costs money unfortunately), and ...
Quant In Spe's user avatar
4 votes
1 answer
617 views

Assistance understanding relation between the "Bid-ask bounce" and the "Tick rule"+"Quote rule"

I need some assistance in understanding the relation between the "bid-ask bounce" and "the tick rule" + "quote rule". The two rules mentioned above are used to classify ...
Economics_student's user avatar

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