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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48 views

Is there a financial instrument that is exposed to the change in growth of an asset over time?

Is there a financial instrument that is exposed to the rate of change of the value of a specific asset? If I believe a stock price will continue to grow in the future, but grow more slowly than in the ...
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31 views

Is fast reaction important for quantitative trading/research/analysis?

The interview process of many quantitative finance positions involves solving something not very difficult in limited time. This includes for instance this question on practicing simple arithmetic. So ...
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101 views

Delta of FX Options, Different Currency in Trading Book - Trading Interview Question

Having done stochastic analysis in university, together with tons of other math courses, do never prepare you for an actual interview in trading. Stumbled on what I believe might be an easy question, ...
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167 views

What is C++ used for when writing code at High Frequency Trading firms?

Okay. This might be a pretty dumb question, but I really want to know what is it that the high frequency trading firms write in terms of services that requires C++. Background I am a Rust and ...
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71 views

Purpose of Vega Hedging

I am trying to understand the principle of vega hedging. When should a market maker vega hedge his position ? Let's suppose that a market maker delta and gamma hedge himself, and carries his position (...
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208 views

What is the difference between "disposition effect" and "contrarian trading strategy"?

It is not a good comparison when I compare an effect and a trading strategy. However, I see the meaning fo these two concepts are quite similar. Disposition effect is that "the tendency of ...
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87 views

Why GameStop is a case of "predatory trading"?

Predatory trading is defined as below by Brunnermeier, 2005 This paper studies predatory trading, trading that induces and/or exploits the need of other investors to reduce their positions. We show ...
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How to clarify "Predatory trading" process?

Brunnermeier, 2005 studied the "predatory trading" This paper studies predatory trading, trading that induces and/or exploits the need of other investors to reduce their positions. We show ...
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Formulas for indicators from ThinkOrSwim

I have a set of indicators that work for my trading style with TD Ameritrade ThinkOrSwim. In my attempt to replicate these indicators, I have tried TradingView but they don't match. Where can I get ...
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Is there an Ops Risk in being short a bond on the redemption date?

I am trying to understand whether everyone needs to be long or flat when a bond is redeemed, or being short a bond at that time is also not an issue
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127 views

Alternatives to Kelly Criterion

I am preparing for Quantitative Trading interviews and I know that they basically require you to solve problems on the probability of winning in a given game and then they would ask you: How much ...
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When developing an algo code with Interactive Brokers: which instruments to take during the weekend for testing orders and live data?

I am developing a trading algo that will use Interactive Brokers. Presently I use my paper trading account but face the difficulty that during the weekend the exchanges are closed. Are there any (...
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149 views

trading exit strategy

I have the following exit strategy under consideration. Suppose I have n shares of stocks that I want to sell. When the price reaches n/(n-1) of the original price, I sell 1 share. When the price ...
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96 views

Calculating win-ratio

I want to quantify the performance of a trader and as I see in the books, there's a performance measurement called win ratio for this. In a book, it is defined as: ...
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299 views

Inflation effect on FX rates

With UK's inflation surging to 3.2% as per the published figures today reported by the FT, it is interesting to ponder the effect of rising inflation on FX rates. The article linked above points out ...
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254 views

How can momentum trading strategies work if returns are not serially correlated?

Returns are demonstrably not serially correlated in most financial time series (Day 1 returns are uncorrelated to Day 2 returns etc.) . Since this is the case, how can momentum trading strategies work?...
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Spot-Vol covariance and risk reversals

I have been looking into the covariance between log spot returns and log IV returns over a variety of tenors and lookback windows. However I am not sure how these numbers relate back to the outright ...
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What does it mean to be long the skew?

Consider an equity option such as SPY and I'm long the skew, do I make money if puts raise in price and calls decrease or the opposite?
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123 views

Dice question - expected winnings of rolling dice $2$ times

Typical trading interviews consider gambling problems such as rolling a dice and winning its face value. The expected winnings are $\\\$3.5$, $\\\$4.25$, $\\\$\frac{14}{3}$ for one throw, two throws, ...
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60 views

Mini Nikkei Futures Contract - Tick and Point Value

for the Mini Nikkei Futures Contract traded at the Osaka Japanese Exchange, it states that the Tick Value is 500 Yen per Tick. But the actual contract is quoted in 5 Point Increments. Is the correct ...
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Maximum market volatility

I program trading algorithms that create profits from unpredictable market fluctuations. I am looking for markets with the most extreme fluctuations and I need them to fluctuate up and down in a zig-...
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413 views

Is publication of Black-Scholes in 1973 and founding of CBEO in 1973 coincidental?

Apparently, CBOE was founded in 1973 and opened on 1st January that year (source = Google), to start trading listed options. The famous Black-Scholes paper was published also in 1973. I am wondering ...
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134 views

Is day-trading not a zero-sum game in practice?

I would consider day-trading (by which I mean people sitting in front of their screens, buying and selling assets when they find it appropriate based on (to me very mysterious) indicators such as ...
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88 views

How should Aggressive Limit Orders be Processed in a Limit Order Book

I am a little confused about how orders get processed in a limit order book, hope to get a better understanding with this post. If we start off with an order book ...
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66 views

Is this an Example where Maximum Adverse Excursion (MAE) is not useful for a Stop-Loss?

Below is an attached screenshot of a scatter plot of a long position Percentage Return of a Asset Security on the Y-axis, and the Maximum Adverse Excursion (MAE) Percentage on the X-axis. Green dots ...
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Maximum Adverse Excursion Formula - Short Trade Position?

Is the formula for the Maximum Adverse Excursion for a Short Selling Trade the (Open - High) / Open, or (High - Open) / Open ?
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184 views

Quantlib Black Model for Commodity Options (Interest Rate Options) is extremely light on gamma and price vs BBG, is model incorrect?

I am using the QuantLib developers example to try and price a TY option. The Delta is pretty close but the price and gamma are way off (almost by a factor of 2). Am I using the model wrong or is the ...
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Implied cross currency curve

For EM countries without a liquid xccy curve, how I can imply it from local government bonds or swaps?
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why am I seeing a value error? adv_fml. lopez de prado

This code is a snippet from Lopez De Prado Advances in Financial Machine Learning page 44 ...
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157 views

Trading futures, how does it work in practice?

If my understanding is correct, then owning a future essentially means owning a contract which obliges to buy/sell something at a certain time for a certain price. But what I don't understand is how, ...
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141 views

Questions regarding a “lite/kindergarten” Barbell investement strategy implementation

The idea for this question is more or less taken from a slight hint regarding how Universa Investments L.P. functions from Taleb's Antifragile (obviously the real case is far more complex but this is ...
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89 views

Futures Market Open

I've been reading a book recently about trading ORB (Opening Range Breakout) in the futures market. I haven't been able to figure out when exactly the open is for futures. I know the futures market ...
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179 views

How is forex market Quote-Driven?

I am new to the field, and trying to understand structure of spot currency market. As it is stated here, Quote-Driven Market ... only displays the bid and asks offers for a security from designated ...
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50 views

What are the best books or sites to learn to spot algorithm actions

12 years ago Alan Farley in The Master Swing Trader Toolkit wrote about how to spot the footprints of algorithms such as incremental steps in price through a gap and how algorithms push price down ...
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145 views

Hedging Renminbi with EUR

Hedging Renminbi with EUR. What is the reason why FX traders sometimes go long EUR to hedge shorts in RMB?
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364 views

Does the Integrity of Tick Data Vary by Vendor?

My firm is currently looking at various vendors to purchase historical tick data from. The purpose of this question is not to ask for opinions on the best vendor, but purely on whether there is a ...
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158 views

Trading OTC FX options: choosing expiries

For FX options that are traded OTC vol quotes are given on a standardised grid, e.g. expiries 1D, 1W, 1M, 3M, 6M, etc. maturity and for each of these expiries you have quotes for ATM, 25 delta Risk ...
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83 views

FX hedged investments

I was reading FX hedged investments do not have an impact on the FX rate. For example, a Japanese fund buying US treasuries fully FX hedged. I understand the hedging is usually done through short term ...
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173 views

Covariance Shrinkage - Am I getting the right variances?

I am looking into a quite simple task: shrinking the sample covariance matrix of a minor sample of monthly returns data on 5 different assets. I am using Python to process my data and have been using ...
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154 views

A decent model to calculate hedges

Is there an option pricing model that wouldn't be too time consuming to set up in Python (for example) and that would provide better delta hedges than Black-Scholes? This would be mainly for equity ...
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Futures positioning reported by CFTC

How is the net futures position calculated by the CFTC? For instance, GBPUSD net contract is positive in the CFTC report, what does it mean given that for each buyer there is a seller?
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47 views

How to interpret negative fixed rate in Vanilla IRS [closed]

Currently a vanilla 4Y EUR vs. 6M Euribor IRS has a negative price e.g. -0.35%. I do not understand how to interpret the swap when the fixed rate is negative. If I am the fixed rate payer in this swap ...
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31 views

Determine what causes a stock price to move substantially. How?

The crypto currency market is young and they definitely don't use terms like Shares Float. When I trade stocks I know that a security with a small market cap and small float is capable of big price ...
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31 views

Role of multilateral trading facility

I'm trying to understand Multilateral Trading Facility why companies are traded in this type of exchange ? what's the role of High Frequency Trading firms in this exchanges ? Thank you
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70 views

India's FX foward market

https://www.bloomberg.com/news/articles/2021-05-04/india-asks-state-banks-to-protect-dollar-assets-on-cairn-concern Based on this article USDINR forward premium has spiked as there is abundant USD ...
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181 views

The most appropriate volatility model

Which would be the most appropriate models to find volatility trading opportunities (i.e. plot a theoretical volatility smile I can rely on) for the following instruments: Options on equity Options ...
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381 views

FX Options price vs implied vol

From the screenshot below, what is the difference between the option price by strike in the table versus the implied volatilities by delta in the chart at the bottom? https://www.investing.com/...
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Calculating performance decay of a strategy

Came across this thread which basically advises t-test for difference in means across periods to calculate whether our edge is deteriorating. The catch being that this test will probably not be ...
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122 views

looking for recommendation for a var/vol swap trading book

I am aware this book - volatility trading by Euan Sinclair, and it's nice book. But I am looking for book focus on var/vol swap trading, i.e., introduce about trading strategy/ideas by using var/vol ...

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