All Questions

Filter by
Sorted by
Tagged with
2
votes
2answers
23 views

What are the main types of orders on an exchange?

I'm currently reading Michael Lewis' Flash Boys, which is about high-frequency trading. It was published in 2014 and it says that there are 150 types of orders on exchanges (mainly built for HTF ...
1
vote
1answer
25 views

Can one successfully daytrade 0dte options based on RSI?

I've been doing that manually for 2 months successfully (40% ROI) with SPX 0-1 DTE (Days To Expiration) options, both puts and calls. I might be just lucky so I purchased some data to do backtesting ...
1
vote
1answer
26 views

Are asset return means difficult to predict because they have no lower bound?

In finance, it is widely known that the volatility of asset returns ($\sigma$) are easier to predict than the expected value of asset returns ($\mu$) , otherwise known as the average return or mean. ...
0
votes
0answers
7 views

Backtesting conditional VaR

I'm writing a thesis about conditional VaR of Standard & Poor's 500 index. I have fitted my log-returns with GARCH(1,1)-proces and then made some conditional VaR-forecast (500 observations) with ...
0
votes
2answers
107 views

Trading after the close

Are there institutions that will fill stock trades after the close (from stock on their order book) at the official close price? If so, would it be significantly more expensive to execute a trade this ...
1
vote
0answers
11 views

Estimating risk aversion from option bid-ask spreads

Is it possible to use bid-ask spreads on contracts from a specific tenor to estimate risk aversion and use it to transform risk-neutral density into real-world density?
1
vote
2answers
38 views

Converting time bars to tick bars or volume bars in python

Recently I've started reading Advances in Financial Machine Learning by Marcos Lopez de Prado. In the second chapter the author defines some essencial financial data structures, like tick bars, volume ...
-2
votes
2answers
38 views

What's the difference between Statistics and Econometrics?

I can't really grasp the similarities and differences between Statistics and Econometrics. Is Econometrics includes every Statistical models inside it? or is there areas of Statistics outside of the ...
0
votes
1answer
15 views

Historical data for global stocks

Where are companies like finnhub.io or finance portals getting their data from? Do they fetch the historical stock quotes from the exchanges directly? If so, the have to collect the data from a lot ...
0
votes
0answers
26 views

Is there a simplified framework to consider for modelling the stock market?

Does anyone know a reference where one can read up on different aspects of modelling when simulating the stock market? i.e what is known as "stylized facts" and which of these fact that are more ...
1
vote
1answer
38 views

FX convention and volatility calibration

In general, call/put options are quoted with respect to their Black-Scholes volatility. In the FX market we define the risk reversal volatility as $$\sigma_{25-RR} = \sigma_{25-Call} - \sigma_{25-Put}...
0
votes
0answers
6 views

Sampling and cross-validating with tick, volume and dollar bars

Financial data is usually structured with time bars. Other sampling techniques include: tick bars volume bars dollar bars. These are so-called sampling techniques to better identify signals and ...
2
votes
0answers
21 views

Overview of frequentist, likelihood and Bayesian approaches to finance problems

In quantitative finance tasks (asset pricing, portfolio optimization, option pricing, volatility forecasting, etc), there are frequentist, likelihoodist and Bayesian approaches or interpretations to ...
0
votes
1answer
26 views

The use of volatility from log returns and raw return

As far as I know, we usually use log returns( $ln\frac{p_{t+1}}{p_{t}}$ ) in quantitative finance. For example, let's say we have lots of monthly log returns data, $R_m$. Then, we can get the mean ...
0
votes
1answer
33 views

Extract time and sales from the level 2

I need data to test some mathematical models. So far I have the level 2 over 120 layers, but I can't pay for the time and sales. Is it possible to extract the time and sales from the level 2? By ...
1
vote
0answers
13 views

How to evaluate embedded floor option in inflation linked bonds if interbank inflation floor instruments cannot be used or do not exist

Suppose we consider simple case that only par is protected against base price index, so it is with zero coupon floor feature. How do we value this option given that there is no inflation floor ...
0
votes
0answers
25 views

Interest Rate Swap Question

I am new to IRS. Pay 2Y HKD-USD IRS spread. It is a trade idea recommendation. Can someone explain what this trade entails? Does it mean paying fixed and receiving 3m USD LIBOR over 2 years? Please ...
0
votes
1answer
85 views

Getting Dow Jones 30 components data

I'm trying to get the Dow Jones Industrial Average 30 Components data (open, high, low, close prices) from 2008-01-01 to 2018-12-31. I tried at first Quandl, but it seems that the data was no longer ...
1
vote
0answers
24 views

Futures Carry for Index Spread Trade

This question is about a leveraged trade involving index futures. Let's use an example of buying two contracts YM futures and selling three contracts RTY futures. CME will give the trade a margin ...
0
votes
1answer
25 views

Converting between Bloomberg exchange codes and MICs

Is there an (open) way to map Bloomberg's 2-letter exchange code to MIC identifiers, e.g. UN to XNYS?
0
votes
1answer
133 views

Why use reinforcement learning for portfolio optimization with historical market data?

One of the main advantages of (deep) reinforcement learning approaches (compared to more widely known supervised deep learning approaches) is the fact that it enables us to automatically take ...
0
votes
0answers
12 views

Extract archived data from tradingeconomics [closed]

For my project, i need to extract archive data from tradingeconomics.com. The data must be in Dec 2020 since now the data has been adjusted regarding covid19 Hope someone can help me.
0
votes
1answer
43 views

call vs average of prices

Consider a two-period binomial model, with one risky asset. The are two types of options: call option with strike price $K$, i.e., the payoff is given by $g(S_T)=(S_T-K)^{+}$ option with ...
0
votes
0answers
24 views

What is the relationship between the Black-Scholes Model and Geometric Brownian Motion [closed]

Im just a beginner in finance and understand a bit of mathematics. Im just wondering in layman terms. Please explain very simply, in addition, I don't understand the log-normal aspect.
0
votes
0answers
8 views

Bank deposit insurance beyond FSCS limit in UK

For companies, the Financial Services Compensation Scheme (FSCS) provided by the Bank of England only covers up to £85,000. Is there an insurance or financial product that provides insurance above ...
0
votes
0answers
41 views

characteristic function - fourier pricing

Some literature states that, for instance for the Heston model, the characteristic function is given by: $$\varphi_{\mathrm{H}}(u, t, T)=\exp \left(A(u, t, T)+B(u, t, T) V(t)+i u X(t)\right)$$ Other ...
3
votes
5answers
15k views

Symbols for DAX from Alpha Vantage

I found the website https://www.alphavantage.co as an alternative for yahoo finance stock API. I am interested in the top 30 DAX symbols, but I seem to cannot find them on Alpha Vantage. Is there a ...
0
votes
1answer
30 views

Tick by Tick stock data

let's suppose a stock 'X' is quoted in a particular market with a specific bid and ask price. I would like to see for all transactions within a day on stock X: The transaction time (in milliseconds) ...
3
votes
1answer
79 views

Exposure/Factor Analysis on a loan portfolio?

I am working on performing factor analysis on a loan portfolio. This is my understanding so far, and I was hoping that some of the smart folks here might be able to chime and guide me through this ...
4
votes
0answers
38 views

Modeling regulations of middlemen

I am searching for some paper that models the regulations of market makers in stock or OTC markets. Is there anybody who have seen some marekt microstructure paper for modeling regulations and what ...
1
vote
2answers
216 views

where does the cost of delta hedging come from?

I am reading John Hull's book, and am a bit confused about the explanation regarding the cost of delta hedging. Here is the background: a financial institute is selling call options with strike price ...
1
vote
0answers
20 views

The discontinuity when applying the combinatorial purged cross-validation

In Marcos Lopez de Prado's book, Advances in financial machine learning, he recommends using the combinatorial purged cross-validation(CPCV) for backtesting. His motivation is sensible. Through the ...
0
votes
1answer
30 views

How do you build a model with uncertain time range?

Let's say you want to test the hypothesis that given a signal reaches some threshold, some asset will have some return over the next period. Here we have two unknowns. One, the value of your ...
0
votes
2answers
37 views

Does asset volume, rather than asset returns, predict performance?

Asset returns are the most common data type used in finance. They are derived from closing price data. Ordinary level 1 data for stocks not only consists of closing prices, but also gross volume ...
0
votes
1answer
34 views

What is the difference between ^GSPC and ^SPX in yahoo finance?

I have understood that both display the same valute (S&P 500) but in ^SPX there are more option's data (more expiries).
1
vote
0answers
16 views

In BS model, is there a way to show that the risk-neutral Q is unique without using MRT nor the fact that the market is complete?

In Black-Scholes model, is there a way to show that the risk-neutral probability measure is unique without using the martingale representation theorem nor the fact that the market (in BS model) is ...
0
votes
0answers
24 views

Accurate day trading environment model using model-base methods

There are several different angles we can classify Reinforcement Learning methods from. We can distinguished three main aspects : Value-based and policy-based On-policy and off-policy Model-free and ...
0
votes
0answers
25 views

calibration of correlation in vasicek model

how can I calibrate the correlation by numerical integration of the normal bivariate distribution assuming that the standardized asset returns of two firms are described by the single-factor Vasicek ...
15
votes
7answers
36k views

Where can I get historical fundamental data for multiple companies in a single CSV file?

Summary I seek an explicit reference to a source that gives me a fixed URL, e.g. http://example.com/?isin=US1912161007 or ...
0
votes
0answers
14 views

Help me understand how to calculate a laspeyres index

I'm trying to write a small software to calculate a laspeyres, as an exercise, but not having a finance background it's a bit hard to understand some stuff. I'm having problems calculating this ...
20
votes
3answers
3k views

Cleansing covariance matrices via Random matrix theory

I am exploring de-noising and cleansing of covariance matrices via Random Matrix Theory. RMT is a competitor to shrinkage methods of covariance estimation. There are various methods expressed usually ...
0
votes
1answer
23 views

n day ahead forecast for assymmetric DCC model

I am working on forecasting covariances with the use of MGARCH models. I was wondering if anyone knows how to implement a n-day ahead forecast of the aDCC (assymmetric DCC) model in R. The rmgarch ...
1
vote
0answers
39 views
+50

Optimization on D-Wave quantum annealer (application in finance)

Does anybody know wheter any bank uses D-Wave quantum annealer for doing optimization? Quantum annealers are single purpose quatum computers used for optimization. They implement quantum simulated ...
3
votes
5answers
463 views

bank issuing structured products

"The investment banks supplying structured products were effectively buying options from investors" How to understand this quote from this source? I would think the investors are usually had (long) ...
0
votes
1answer
69 views

Which metric is most predictive: Mean, Sharpe, Calmar, …?

Suppose you have created a new trading algorithm: by varying the params of the algorithm, you get a large number of similar trading strategies (e.g. slightly different trigger thresholds, stop loss ...
-1
votes
5answers
177 views

Why worry about fat tails, if you can use stoploss?

Sorry this might sound a silly question, but -humbly- I don't understand why models assume that returns range from [-∞,+∞] instead of [-stoplimit, +takeprofit]. A common objection to most models is "...
-1
votes
1answer
26 views

Can a pay-for-order-flow wholesaler front-run orders it sees?

An argument I often hear (which was repeated here) against sending orders through "pay-for-flow" wholesalers is that those wholesalers can potentially determine if you are an "informed" trader (as ...
3
votes
4answers
5k views

Alternative to tradertest.org for mental math practice

The most recommended resource for preparation for Optiver's math test is tradertest.org. But the website is down. What are the closest alternatives to it? Although this question has been asked on ...
1
vote
1answer
81 views

Is the variance calculation correct in the book?

I'm reading the book "Financial Markets Under the Microscope" for my market microstructure studies. In the book, the variance of the market maker's gain is calculated as follows: Assume that with ...
1
vote
1answer
148 views

MBS Market Duration & Convexity

Soft question...hopefully. I am working on a swaption hedging strategy. Part of this strategy calls for a forward looking indication of changes in implied volatility, using 1m10y implied as a proxy ...

15 30 50 per page
1
2 3 4 5
309