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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59 views

What does proprietary trading for derivatives mean?

I understand traditional asset management is buying/selling stocks with clients' money to generate alpha, and proprietary trading is using the company's own money instead. For derivatives, do ...
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64 views

How can I model the way that average Joe trades in FX markets?

I want to develop a trading bot that trades like a non-professional trader in FX markets. I wonder if it is possible to think that an average trader trades randomly regardless of the market conditions?...
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142 views

How much shall we bet on head/tail with $1m bankroll?

I was asked this question in a trading interview: how much would you bet in a game where you win 300 on tail and loses your 100 on heads? how much will you bet if you can play game once or multiple ...
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33 views

Are all companies that are part of an exchange required to trade on all trading days?

For example, if today is a trading day for NYSE or NASDAQ, does that mean that all companies which are part of these exchanges must allow stocks to be exchanged on that day? Can companies choose to ...
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88 views

Realized and Unrealized Profit and Loss [closed]

https://www.tradingtechnologies.com/xtrader-help/fix-adapter-reference/pl-calculation-algorithm/understanding-pl-calculations/ What I want to know is, after Scenario 4 in this article how does the ...
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106 views

Market makers order execution on the order book

If a market maker is required to always have at least one order on a certain side of the order book (buy or sell), if there's no one else in the market and just market makers left on the book, will ...
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24 views

Finding the selling price of FTR (energy trading) [closed]

I have been reading the forum here for a while but this is my first question. I am trying to figure out (for an assignment) the price some FTRs (Financial Transmission Rights) were sold. Here is an ...
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1answer
88 views

how to I get the statistical significance of a backtested result

If I have a simple long/short value strategy (say long stocks with high e/p and short stocks low e/p or any other parameter) rebalanced monthly, and a look back window of say 15 years. How do I ...
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551 views

How is market buy order executed when meeting both market sell order and limit sell order?

Currently, we all know how market buy order is executed when meeting only limit sell order for time-priority rule.
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305 views

How to use neural network for technical analysis?

I am working on building a Neural network for technical analysis of stocks. The input I have is the open price and two (so far) technical indicators : RSI and William's R - for the past 2 years. I can ...
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115 views

How to get know when CUSIP is changed

CUSIP code is not a constant, it could be changed. Does anybody know how to detect a CUSIP change? Is there any report with this info? Where can i find it? Thank you.
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58 views

Extreme AUDJPY FX vols

I'm seeing levels of -12% of market strangle vol at 25 delta for AUDJPY at 20Y onward that is causing havoc with my pricing routines, the 10 delta market strangle is trading around -6% which is again ...
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83 views

Correlation between the perfect market-timing strategy and the market itself?

What would be the correlation between a perfect market-timing strategy [that it always goes long (short) one unit of the market the day before the market goes up (down)] and the market itself, given ...
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34 views

How can I use both Stochastic and RSI in technical analysis?

Stochastic and RSI both are momentum indicator but they both show momentum in different way. It leading me to confusion how to use them in trading.
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82 views

Complex Event Processing Engine for traders

I have created my quant model in python and now look for a way to run it on market data. I read that CEP - complex event processing engines - are the way how to approach this problem. I am looking ...
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1answer
97 views

What is the difference between volatility and dispersion in finance?

I am confuse whether the volatility and dispersion is same or not because are use to measure the risk associated with asset. Even if they are different than what is the relationship between, if exist.
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58 views

How to calculate R for strategies with dynamic exit points

Calculating risk-reward ratio R is easy when trading a straight forward strategy which has its entry and exit points clear: ...
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230 views

What is the point of volatility curve fitting?

What is the point of fitting curves to the implied smile in the market? (Other than pricing exotics where the hedging instruments are vanillas). How does fitting a vol curve help you trade/market make ...
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285 views

Calculating % Return in Pairs Trading Strategy

Hi guys Could you help me here? I would like to calculate the return of a Pairs Trading strategy. For example: 18/11 - Open the Trade: I will go long on A and Short on B: Stock A : $ 32.24 Stock B ...
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1answer
344 views

Effective gamma/vega hedging

I want an options position where I can short some options to pocket the premiums and benefit from the time decay. I also want to be vega and gamma neutral. Is there an established way to find which ...
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188 views

Live trading strategies developed on daily data

This is a very simple perhaps naive question. Let's say I have a stock price prediction model trained on daily closing prices of that stock. So when I use this model for live trading, I'll have ...
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181 views

Risk reversal basics and trading strategies

It it written in the book by Giles Jewitt: "If a currency pair had a completely flat volatility smile, the risk reversal strikes would be positioned approximately symmetrically around the ATM strike ...
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36 views

EMA with different resolutions

I am trying to understand something: If I calculate an EMA over 5 days, using the hourly close, I have to go over 5 * 24 points. If I calculate an EMA over 5 days, using the minutes close, I have to ...
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1answer
121 views

Selling an option before maturity

There is one problem that bothers me: Let’s say I buy a European put option with a certain maturity date with premium \$1.6 Suppose that the market price of the put option rises before maturity (\$3) ...
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132 views

Definition of „getting picked off“ [closed]

Is there a precise definition of what getting picked off means. In particular I want to check whether I have been picked off. How can I measure this quantitatively?
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171 views

What are popular metrics for Option Skew?

What are popular metrics to track skew? Would it be the difference between OTM option and ATM option IV? Would it be a percentage difference in IV? Also, if both are valid, would a % change be ...
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1answer
647 views

Options Market Making Used Implied Volatility Surface

Suppose you are a market maker with a model that is producing an implied volatility surface for you. Suppose you quote bid/ask prices (vols) around the prices given by your implied vol surface. In ...
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199 views

R squared of a good Trading strategy

What would you consider a decent R square value of a good trading strategy. I know R squared is not a good metric for judging trading strategies but still at an initial stage how do you decide to ...
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128 views

How does liquidity affect trading costs?

I am aware that the liquidity of a stock directly affects the trading costs associated with it. I am however unsure about the direction of this effect, since I hypothesize two counteracting forces: ...
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1answer
86 views

SPX options strike bracket

By what rule does the CBOE determine the available strikes for puts and calls on the SPX? The contract specification (http://www.cboe.com/products/stock-index-options-spx-rut-msci-ftse/s-p-500-index-...
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83 views

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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1answer
50 views

How do I calculate option payoff before its expiration date? [closed]

How do I calculate option payoff before its expiration date? For example, if I long a 6 month call with K = 11100, T = 0.5, p = 150, what would be the payoff of the option if I exercise it in 3 months ...
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2answers
102 views

Option quotes or trades: Which one is more informative?

Suppose I have quote data as well as real transaction of option contracts? I was wondering if the informational content is the same. On the first hand, quotes show the intention of seller/buyers on ...
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397 views

Exotic Trading Basic Questions - Banking

I just joined a support team for an equity exotic trading desk in a bank, I am looking for a high level overview of how exotic trading works in a bank. For my questions let's take a common product: ...
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1answer
139 views

Trading Vol with options

One can trade vol swap to get exposure of the volatility of the underlying security in a 'clean' way. On the other hand, we know that vol swap, theoretically can be replicated by a dynamic position of ...
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65 views

Swaption pricing and strategies

I am looking for resources (books, papers, websites, etc.) that deal with Vanilla and Exotic swaptions from a more advanced and quantitative perspective. I am interested in both the pricing side (e.g. ...
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1answer
78 views

FX Forward last day first day premium

How exactly do you trade the turn of the year/quarter effect (also known as last day-first day effect). How do you track this data, is it directly quoted in the market or is it interpolated?
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1answer
52 views

How are open and close price of mini snp futures determined

I'd like to know how are open and close prices of the mini snp futures contracts determined. For some reason I cannot find an answer to this basic question on the cme website.
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1answer
72 views

Does adverse-selection have a time-frame associated with it?

When my limit order gets filled, the price almost always moves against me due to adverse-selection. However, given 'enough' time the price may yet move back in my favour. Has there been any study ...
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175 views

Relationship between tick size, tick value, and contract size?

For many options and futures I can see that Contract Size = Tick Value / Tick Size Are these values always related like this, and if so what does the relationship mean?
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186 views

How do market makers manage to sell a large number of shares at the end of a trading day without a significant reduction in their price?

The trading day of May 9, 2019 was remarkable in this respect. I have attached the Microsoft screenshot as an example, but I observed the same in many other securities.
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120 views

IPO Valuation: Share Pricing and Number of Shares

Does the number of shares matter for a company to go public? Suppose a company ABC went public and the initial valuation of the company shares to be sold stands at \$5000. Now, it can sell 1000 ...
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39 views

CFD broler spread as indicator for stock market

Retail trader on stock market has very limited ability to accomodate huge amount of information, it leds me to idea of using behavioir of more informed players - CFD brokers - spread of their CFD ...
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1answer
150 views

Inherent volatility of selling longterm options and buying short term options

A two-month option has an implied vol of 60%, the corresponding 2-year option has an implied vol of 34%. You buy the short terms and sell the long terms. What is the inherent volatility of the total ...
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1answer
95 views

How do you interpret Level 1 data to a list of transactions/trades?

If you have L1 data of a given security, what is the best practice to interpret it to a list of transaction/trades? Or, can we actually do so? Just FYI, it's not a project for school but a problem I ...
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1answer
193 views

How equity dilution could be profitable for short sellers?

I am trying to understand the concept of dilution. According to https://www.investopedia.com/terms/d/dilution.asp, dilution is Dilution is a result of a reduction in the ownership percentage of ...
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1answer
127 views

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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1answer
174 views

What is a counterparty risk trading desk

Can someone explains what does the above mentioned desk do? What are their responsibilities and how do they manage them, where do they fit into the rest of the organization?
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68 views

Is it Possible to replicate SPAN?

I currently trade intraday Options on the nearest term expiry and futures. Both E-mini S&P. I am trying to replicate the SPAN margin calculation for the entire portfolio of options and futures. So ...
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75 views

Rebalancing order on trading pairs

I'm working on a program to rebalance my portfolio among a set of crypto assets. Though I'm a bit confused on how to best order the buys in sells among the various pairs. Consider the following ...

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