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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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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How can we estimate new stock price after a large purchase?
Suppose someone buys $4bn of a particular stock over the period of a few weeks. Depending on how much that stock is being traded, you would expect that the price goes up in a visible way compared to ...
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Volatility pumping in practice
The fascinating thing about volatility pumping (or optimal growth portfolio, see e.g. here) is that here volatility is not the same as risk, rather it represents opportunity. Additionally it is a ...
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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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How to design a custom equity backtester? [closed]
I was thinking about writing my own backtester and I realize I have to make some assumptions. So I was hoping I could post what I am planning on doing and hopefully some of you can give me some ideas ...
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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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How do I find the most diversified portfolio, or least correlated subset, of stocks?
I have a trading system that chooses top 10 stocks in Nasdaq 100 ranked on relative strength and some other factors. However, I'd like to take positions in only 5 of these 10 stocks based on how ...
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Detect pattern from OHLC data in Python
I'm trying to create a script that, from standard OHLC data, finds patterns. The specific pattern i'm looking for right now is sideways movement after a move up, here is an example:
So basically my ...
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FX official rates
How are "official" FX rates calculated? Are these given by an average across all big dealers or brokerage systems (eg EBS, Reuters)?
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Applications of Fourier theory in trading
What are fashionable applications of Fourier analysis in trading? I have heard vague ideas of applications in High Frequency Trading but can somebody provide an example, maybe a reference?
Just for ...
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How are risk management practices applied to ML/AI-based automated trading systems
A potential issue with automated trading systems, that are based on Machine Learning (ML) and/or Artificial Intelligence (AI), is the difficulty of assessing the risk of a trade. An ML/AI algorithm ...
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How to simulate slippage
I'm backtesting a trading strategy, using free OHLC data from yahoo or google. I'm simulating friction by lopping a flat percentage (say 0.5%) off my returns for each day that I make a trade. Whats ...
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Does anyone know of an equivalent to trader test? [duplicate]
I've been looking at forums that provide links to prep for trading interviews and TraderTest.org always pops up however, the website is down. Does anyone know what happened to the website or what are ...
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A generic limit order book: What are the most important queries it should be able to answer?
Assume a class LimitOrderBook which represents a limit order book in a trading system.
To be able to represent the limit order book a data handler reads a feed ...
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Trading interview gambling question
You're invited to a one-on-one coin-flip gambling game. Your opponent has 1 million USD on hand (the max you can bet is 1 million USD). The payouts for flipping heads and tails are as follows:
Tails: ...
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How long do algorithmic trading strategies typically remain profitable?
As I understand it, an algorithmic trading strategy could lose profitability, if, for example:
it's rediscovered by others
employee turnover leaks the strategy to others
market conditions change ...
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How to use PCA for trading
Can anyone give me a few pointers of how to approach using PCA for trading? In particular, it seems to me, PCA is useful for selecting a subset of a portfolio of stocks(or other) rather than trading ...
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Which algorithm should I look into to kick off my research in algorithmic trading? [closed]
I have recently undertaken a research into automated algorithmic trading algorithms.
The aim of the research is to focus on studying algorithmic trading and trying to improve a basic implementation ...
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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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GJR-GARCH Model In R
Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?
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Which CEP platform is most popular for trading systems? [closed]
I heard that trading firms employ CEP platforms such as StreamBase, Marketcetera, JBoss Drools, and etc., to implement trading systems. I wonder which one is most popular and the recent trend of ...
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How trading in currency pair works, underlying techniques and mechanisms
I am somewhat experienced in Forex trading, but I have a question which has bothered me for quite some time.
If we for instance go back in time four months, to before the beginning of value loss the ...
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What is the best way to interpret changes in Treasury yields?
My question is quick and simple. However, I would like to use this answer to further my understanding of bonds and yields.
If the YTM on a 10yr Note yesterday was 1.00% and the YTM on the same 10yr ...
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Parameters used by brokers when executing large institutional orders?
When an institutional trader wants to enter or exit a large position, the broker has to process the trade in smaller chunks to keep market impact at a minimum. So the broker would say that they can ...
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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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How to calculate the daily rate of return for an actively traded account
I have a spot currency exchange account where the base currency is USD and where I can deposit and/or withdraw money from the account in any currency at any point in time. I can also exchange any ...
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Physical trading spot transaction analysis-Quantified
ref to my previous question here:
Physical commodity trading quantitative risk return model I am currently new to commodities and physical trading. I have currently narrowed down my area of analysis ...
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Arbitrage between markets
I'm trying to understand how arbitrage works, but I'm having some difficulties based on some restrictions:
I have markets A, B and C.
The currencies that are traded are X <-> Y, and X <-> Z.
...
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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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How am I buying at the bid?
I've done some active trading in my personal account at Fidelity. With surprising frequency when I enter market orders I am filled at the bid for buys and at the ask for sells! How and why does this ...
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