All Questions

12,051 questions
14 views

Fama French 3 factor model regression

I have a question concerning the Fama French regression model. Can I use (return on each stock-risk free rate ) as my dependent variable or do I have to use instead (return on each portfolio-risk free ...
19 views

Bachelier Pricing Formula for Interest Rate Binary Options

Similarly to the Black and Scholes formula, I am looking to replicate Bachelier's caplet formula with two digital options: (1) asset-or-nothing (forward rate in this case) and (2) cash-or-nothing. For ...
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Calculating value of bond

The bond has a facevalue of 40 and maturity of 20 years. It produces 0 coupon payments during the first 6 years but pays coupons of 2 annually during the last 14 years. The discount rate is 7%. The ...
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Regarding Issuer [on hold]

We have below mentioned Asset Classess like Equity Credit Interest Rates FX Commodities Can you please tell us answer for below questions. 1. Which all above mentioned asset classes has the issuer 2....
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Literature on return sensitivy in respect to: growth, risk and profitability

I am currently writing my master's thesis, wherein I am looking for supporting literature. Specifically, I wanted to know if there had been any research relating to how the: growth, risk and ...
161 views

Justification of Levered ETFs?

I have done some basic research on levered ETFs and cant understand them completely How do you justify the existence of Levered ETFs when margin accounts are available? E.g. If I want 3X SPY returns, ...
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Short sale and zero investmest strategy

Suppose I want to build a pairs trading strategy. Theory says that we can create a zero-investment portfolio by going long stock A and short-selling stock B, given a certain hedge ratio. My question ...
34 views

Ideal way to automate crypto hedge fund strategies [on hold]

What is the best way to automate hedge fund strategies for the crypto markets? Assume the strategies intended are profitable point-and-click. Would you adapt existing financial software for crypto ...
59 views

Rolling Winsorization for Time-Series

I'm running a multivariate time series analysis and need to deal with some outliers. I'm thinking about using a rolling winsorization (e.g., pull anything above 99.5 percentile and replace with the 99....
23 views

Implied Equilibrium Returns Example

I've been trying to work through a simple example using A Step-by-Step Guide to the Black Litterman Model, but I'm having trouble understanding implied risk aversion. Say I have two uncorrelated ...
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Getting security-level fund holdings, quarterly, from 1940 Act Funds (particularly Fixed Income)

Mutual funds of a sufficient size operating under the 1940 Investment Company Act are required to disclose their security holdings to the SEC on a quarterly basis. I understand that Morningstar also ...
25 views

Why isn't the Sharpe ratio risk free rate determined for each time period separately?

When calculating the Sharpe ratio why is the same risk free rate (90 day T-Bill) rather than the risk free rate for each individual period used?
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Volatility surface fitting, interpolation and extension from sparse data

There are some nice papers about constrained spline fitting essentially giving you a smoothing and arb free surface. I am focusing on the oil market here: The market is essentially split in a very ...
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I'm looking at different option strategies and the ways that their payoffs differ (and therefore how they can differently be used). I'm looking at the long seagull (buy a call spread and sell a put), ...
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How did Dickey and Fuller know something was wrong?

I am interested in testing if there is size distortion through simulations. I have recently been interested in replicating Dickey and Fuller (1979) and this source from another post helped a lot, here ...
114 views

Quant Interview Course [on hold]

I there any course on for quant that covers all the factors such as logical reasoning, puzzles, statistics, probability, time series analysis, portfolio management, options, machine learning, and ...