All Questions

12,051 questions
100 views

How to calculate monthly momentum strategies J6K6?

I am doing PhD on momentum investment (Jegadeesh and Titman, 1993). My supervisor has some concerns over the momentum strategy that I know. Let me explain my steps in J6K6 momentum strategy, i.e. ...
159 views

Why is there a convexity adjustment if the payment date differs from Libor end date?

A 3 month LIBOR that fixing at $T$, paying in 3 months does not have a convexity adjustment. However, 3 month LIBOR fixing at $T$, paying in 6 months needs a convexity adjustment. How is this shown ...
93 views

Most profitable? High % but low probability or Low % but high probability

I have identified a pattern in different assets where a quick spike/flash crash often occurs, dropping the price between -5% and -15% for a few seconds and then going back to previous average. I am ...
31 views

What is the use of undiscounted Futures/Option Prices

Reading the great book of Gatheral on Vol Surfaces (link) I can't help but notice that throughout he uses undiscounted option prices (though he obviously never assumed rates to be zero). See e.g. ...
50 views

33 views

Calculating the diviend yield for a sector?

I have the cash dividend amount for each company and its sec code, how would i go about calculating the dividend yield of the sector? What other data would I need?
41 views

Interpreting the bid-ask spread calculated by the Corwin and Schultz (2012) method

On the homepage of Corwin (https://www3.nd.edu/~scorwin/) there is an excel spreadsheet which showcases the calculation for the bid-ask spread, which is expressed as a percentage. What is this a ...
102 views

How to interpret CDF($d_1$)/PDF($d_1$) from BS model ?

In my research on put options, I come across the ratio: $\frac{(1-\mathcal{N}(d_1))}{\mathcal{N'}(d_1)}$ where $d_1=\frac{\log(S/X)+(r+\sigma^2/2)t}{\sigma \sqrt{t}}$ and $\mathcal{N}(.)$ is the ...
244 views

DB quant research

I'm trying to find DB quant research papers in "Signal Processing" series - particularly interested in "Signal Processing: The options issue" (2010). Would appreciate if anyone could share it.
171 views

arbitrage free volatility surface

Why is calendar spread arbitrage equivalent to $\partial_t \omega(k,t) \geq 0, \forall k \in \Bbb{R}$ where $\omega(k,t) = \sigma^2(k,t) t$ and $\sigma(k,t)$ represents the Black-Scholes implied ...
14 views

Collateral Mortgage Obligation Z-Tranches

I would like to inquire about a specific type of Z-Tranches used in CMOs As part of the different collateral mortgage obligation (CMO) structures, we see a specific type of tranches named "Z-Tranche"....
32 views

“J” message type in Nasdaq ITCH Totalview sample file

I am trying to parse the uncompressed file 10302018.NASDAQ_ITCH50 (from ftp://emi.nasdaq.com/ITCH/10302018.NASDAQ_ITCH50.gz). There is a strange message type "J". The spec (https://www.nasdaqtrader....
34 views

Prove unique arbitrage-free price implies attainable

I just read a Corollary in a finance course note: Suppose the market is arbitrage free and $C$ is a contingent claim. Then $C$ is attainable if and only if it admits a unique arbitrage-free price. ...
47 views

Arbitrage on Libor and swap market

I must be wrong here, but still want to know where I am wrong. I found the data of Libor rate and swap rate from this link: http://www.interestrateswapstoday.com/libor-rates.html At the time, I read ...
100 views

Insoluble Enigma [closed]

I used many statistical tools, i.e. t-SNE, SVM, Neural Network, UMAP, PCA, with the reformatted full market depth data with timestamp each second. UMAP gave me the best data representation, but ...
50 views

CIR calibration

I'm using a CIR short rate model to forecast interest rate paths. I've been thinking and also searching online about different ways of estimating its parameters (a, b and sigma). While there are a ...
95 views

Heston model computations

In the Heston model the dynamics of a single-asset $S$ are given by: $dS_t = rS_tdt+S_t \sqrt{V_t}dW^S$ where $W^s$ is a brownian-motion $W^S$ and the square root variance process $V$ is given by ...
56 views

Bond Overall Return vs Yield to Maturity

I've been working on what I had hoped to be a simple model demonstrating that a bond "returns" its yield-to-maturity over its life. However, whatever data I use, I end up with a return that is a ...
61 views

Merton's portfolio problem with constraints

Suppose the investor can invest in a Black-Scholes market with one risky asset $S$ with drift $\alpha$ and volatility $\sigma$ and a riskless asset $B$ with a riskless rate of return $r$, and the ...
83 views

Basic questions on options, implied volatility and SPY

I am a bit confused about the impact of implied volatility on options, SPY options especially. I know that option's price decays with time and that is positively correlated with implied volatility but ...
91 views

Why rise in repo rates leads to increase in forward bond prices?

Why repo rates increase is causing forward price of bond to increase. Confused with two arguments below Explanation 1 (Collaterizied loan) If repo rates are higher then it means that its very high ...
62 views

30 views

What is the influence of inflation on the Wacc?

I understand that the WACC is influenced by the debt ratio but what is the impact of the inflation on the WACC
32 views

Differences Between Portfolio Daily Average Returns

I have a doubt about the average daily return for a 2 stock porfolio. I have the data of both stock returns over a 1511 day period. I used 2 approachs to calculate the average return. In the first one,...
59 views

implementing Volatility Managed Portfolios

How to I calculate the value of c in the vol-managed equation specified by Moreira & Muir Volatilty Managed Portfolios (2016) Equation 1? Portfolio return in month t+1 =$$\frac{c}{RV_t^2}f_{t+1}$$...
29 views

Does the Asian Option (average Option) depend on the forward implied vol

I can easily understand that the forward starting Option and Barrier Option depend on the forward implied vol smile at resetting date, so we always choose the stochastic vol model for underlying to ...
17 views

Quantitative impact of Dodd-Frank Act on risk management

The US Dodd-Frank Act (DFA) introduced mandatory central clearing of standard (e.g. plain vanilla) swaps for big financial institutions in the US in 2013. It might be a broad question but: what have ...
21 views

Auto-covariance function of station time series

How to show that for any stationary time series its auto-covariance function is symmetric about the origin, that is $\gamma_{k}=\gamma_{-k}$ where, $\gamma_k=cov(z_t,z_{t-k})$
96 views

Paper recommendation with examples

Could you please advise me some papers/working documents with applications mainly focused on Fixed Income/Financial Engineering (Numerical Methods) as the one in the link below? Preferably on Matlab, ...
68 views

Libor Market Model Implementation

I'm trying to implement an LMM-MultiCurve for caplet pricing following the analytical formula mentioned in this article (pg 20): https://www.researchgate.net/publication/...
72 views

Datasource of all scheduled news events for S&P 500 stocks

I am looking for a datasource which contains all news events specific to equities of the S&P 500, whose release date was scheduled in advance. That is, I am not looking for surprise news. For ...
28 views

Mean-cVaR model: How can one include transaction cost

 \min \delta CVaR - (1-\delta) \sum_i^{n} \mu_i x_i \\ \sum x_i = \sum x^{old}_i \\ Losses(s) = \sum x_i - \sum_i^{n} (R(s,i))x_i \\ VaRDev(s) = Losses(s) - VaR \\ CVaR = VaR + \frac{\sum_s^{} ...