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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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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Effect size for information coefficient
The information coefficient is the correlation between a signal $g(t)$ and returns $r(t)$. I’m hoping to build some practical intuition on the information coefficient.
Similar to the notion of effect ...
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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 ...
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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 ...
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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 ...
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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, ...
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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 ...
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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}^...
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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 ...
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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 ...
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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% ...
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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 ...
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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 ...
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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 ...
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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 ...
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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). ...
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Academic literature on quantitative trading [duplicate]
I’m looking for an academic paper (a survey) on quantitative (algorithmic) trading. Not for a list of resources, a survey on popular strategies,history and so on.
Those that I came across are heavily ...
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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 ...
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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 -...
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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.
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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 ...
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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/...
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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 ...
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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 ...
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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 ...
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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 ...
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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 (...
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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.
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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 ...
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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 ...
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How to correctly explain the current price action in a trading chart with the Hurst Exponent found?
I watched this video tutorial to learn how to estimate the Hurst Exponent using an Excel spreadsheet and a time series sample of 1025 data.
I decided to use futures 1H markPriceKlines data from ...
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Hedging large single asset positions
I recently came across an article that described how big market participants like GS, JPM, etc. take off large equity positions (block trades) of their clients, and putting that risk on their own ...
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How to train mental math for trading? [duplicate]
I have a mental math test coming up for a quantitative trading firm. Anyone knows good websites to practice?
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What is gamma to do with realized volatility?
I keep hearing that gamma is a bet on realized volatility. That is, if we are long gamma then we need higher realized volatility to come in the future in order to make a profit.
from other source:
If ...
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How to optimize the finding of divergences between 2 signals
I am trying to create an indicator that will find all the divergences between 2 signals.
(A divergence being defined as t1, t2 such that one signal increases between t1 and t2 while the other ...
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implied vol smile relative to atm vols
Am I correct in saying that most stochastic vol models are meant to behave in a way that as atm vol goes up the smile comes down and risk reversals become "less stretched?" - by that i mean ...
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Open Interest on Stocks
According to the first bullet point in this explanation, "In the stock market, open interest is the number of buy orders submitted before the market opens. When the open interest is high, people ...
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Does anyone know of any brokerages that allow trades to be placed in prices out to the 5th decimal place?
I have owned a penny stock for a while now that typically trades between \$0.0002 and \$0.0003. The thing is, though, that it most frequently trades BETWEEN those two price points and doesn't actually ...
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What advantage does cash-settled futures have over spot? [closed]
For example with bitcoin there is both the spot market and a cash-settled quarterly futures market.
As a buyer when would I want to buy quarterly futures instead of just buying on the spot market?
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Momentum Indicators/Oscellators for Trading
The concept of momentum in trading is a bit weird to me.
It seems to me to be measuring a first derivative or first difference of price, or something in that ballpark depending on the exact formulae ...
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S&P e mini price difference between close and opening
Why on some days is there a price gap on the S&P futures market. Meaning why is there a major difference in the closing price and opening price. Example on 2/18/2022 market closed at 4343.5 and ...
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Formal definition of Open-High-Low-Close (OHLC) price data
I am trying to understand Open-High-Low-Close (OHLC) data. Several sources agree in the following type of definition (Source):
An OHLC chart is a type of bar chart that shows open, high, low, and
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Interest Rate Options - OTC vs Exchange, vol difference
I understand that Exchange Traded Interest Options (USD Libor 3m or Euribor 3m) trade with a lower volatility than the respective Cap or Floor for an equivalent structure.
Can anyone give any colour ...
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TradingView STC vs any python STC
I am trying to use in a trading strategy the STC indicator, but I can not find out why its not working properly.
The chart that I am using is BTC/USDT on UTC as a timeframe.
Chart time: 01 Feb 22 - 16:...
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Relative Strength in Altcoins compared to Bitcoin
I trade stocks using relative strength analysis compared with S&P index. I was wondering if crypto traders do the same compared with Bitcoin price %change. These coins had a higher %gain than btc ...
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You are long a hedged ATM SPX Call and the market moves down. Do you gain or lose in volatility terms?
The shape of the volatility curve in index options trading typically shows that the 'just' OTM Calls (ITM Puts) options have the lowest implied volatility.
If you are long an ATM Call and the market ...
