# All Questions

12,666 questions
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### In-sample and out-sample backtest performance, how to do this?

I have a strategy in development that I am backtesting to optimize for parameters, a total of N combinations. Trying my best not to overfit. I run the first backtest for the in-sample period and I ...
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### Using AlphaVantage For Japan/Shanghai/Hong Kong/Shenzhen stock exchange data?

Can I use AlphaVantage to pull data from Asian stock markets? I've been able to do it for others such as the London stock exchange, India stock exchange, Australian stock exchange etc. but haven't got ...
234 views

### Jim Gatheral's ansatz

In the Ansatz section of Jim Gatheral's book Volatility Surface (page 32), he assumes $$\mathbb E[x_s|x_T]=x_T\frac{\hat w_s}{\hat w_T}$$ where $\hat w_t:=\int_0^t \hat v_s ds$ is the expected total ...
58 views

### Reference on Futures basis trading strategy

I have heard that it is possible to trade on the futures basis. In my understanding, the futures basis is essentially the difference between the futures price and the underlying asset (also referred ...
10 views

### How to forecast monthly volatility with daily gjrGarch estimates

I'm currently writing a paper and need to regress the 22 days realized volatility of the following month on its GARCH estimate and the 126days realized volatility up to t=1 The paper im referring to ...
97 views

### In-sample volatility measurement

I would like to know what is the most reasonable way to measure volatility in a sample of past observations. Aside from standard deviation, are more complex models like GARCH used for (historical) ...
81 views

### How to create a volatile market, by combining less volatile markets?

This might be against the law of gravity, but I'll give a try 🙂 Is there a way to combine two financial products $p_1$ and $p_2$, into a single product $p_c$ that is more volatile than its ...
55 views

### exponential weighting on volatility

I am trying to apply a volatility strategy. I am reading a paper where the authors defined the volatility as: "Exponential Weighted Volatility of returns with a 1-year window and 3-month half-life" ...
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### How is hypothesis testing work in population sampiling? [on hold]

I am learning the basics of quant trading from quantconnect's tutorial Confidence Interval and Hypothesis Testing. I understood the first part of the article but I dont understand "Hypothesis Testing"...
72 views

### Geometric Sharpe ratio

I'm computing different metrics for mutual fund performance. I want to use classic Sharpe ratio, but I also got to know there is geometric Sharpe ratio. Unfortunately I didn't find enough info about ...
25 views

### Strange results in Fama-Macbeth regression estimates

I am reading the paper Chordia, Tarun and Subrahmanyam, Avanidhar and Anshuman, V. Ravi, Trading Activity and Expected Stock Returns (Undated). Available at SSRN: https://ssrn.com/abstract=204488 or ...
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137 views

### ISDA CDS model Upfront Fee

Can the ISDA CDS model be used for "legacy" CDS? I understand that it lets you convert from traded spread to upfront and back on the day CDS was traded but what about CDS that was traded 2 years ago ...
26 views

### Has there been studies done on changes in model performance post-crisis?

My question is, has there been done any studies on whether the efficiency and accuracy of pricing and risk-management of derivatives using different models and algorithms has changed after the ...
41 views

### CDS Quote Conversion - Quoted vs Par

Just to be on the same page, let me start with some nomenclature: Par Spread = Coupon for which the CDS has NPV=0, assuming a piece-wise constant hazard curve (considered in conjunction with all ...
24 views

### Multi-factor vs Single-factor interest rate model for XVA / CCR

When calculating XVA or Counterparty Credit Risk (CCR), you can choose to simulate your interest rate with a Multi-factor interest rate model or a Single-factor interest rate model. What are the pros ...
17 views

### TurnbullWakemanAsianApproxOption function in R not very clear to me - tau

I would like to price an Asian Call Option with 0 carry using the formula by Turnbull and Wakeman in the book of Haug. I found a package in R, fOptions, that has ...
24 views

### why we seldom see application of copula-garch model in macroeconomic

I find a lot of reference about copula-garch in finance market,but it seems that articles about copula-garch model in macroeconomic are rare.Is there any instrinc problem when it comes to ...
15 views

### Rescaled range analysis results in Hurst exponent close to 1 for Brownian motion

I am trying to use the the RS analysis method to estimate the Hurst exponent of a time series. Bellow i am posting my python implementation of the RS analysis. ...
67 views

### Pricing structured products (Mortgage Backed Securities) [on hold]

What would someone have to do to be able to price a structured product like Mortgage/Asset Backed Securities?
6k views

### What mathematical theory is required for high frequency trading?

I am an applied math postdoc and I have been presented with the option of leaving academia to work in high frequency trading. I wanted to get a feel for the field and the theory underlying it so I ...
41 views

### What is the basis for the ansatz here? [duplicate]

I'm reposting this question: Jim Gatheral's ansatz I have the same question, but the answer given in the comment is no longer applicable since the link does not work.
9k views

### Duration of a floating rate note

I have the following C# code for calculating the modified duration of fixed coupon bonds: ...
33 views

### Option Prices on Thomson Reuters Eikon Database

I would like to get hist. option prices from Eikon. I am not looking for the entire option chain and I was wondering if Eikon offers average data/prices. Average European call and put option prices ...
38 views

### Zero rate computation in Quantlib [on hold]

I am trying following code, zerorates which is received is different than I expect. Can someone suggest where am I going wrong? ...
35 views

### Why doesn't tenor of Euribor index change spot rate in Quantlib?

I'm trying to create a yield curve in QuantLib based on swap rates. The swap rates I'm using have a 6 months fixed frequency and a 3 month float frequency based on LIBOR. What I don't understand is ...
49 views

### How to add annualized quarterly returns? [on hold]

I have four quarterly returns that have all been annualized. How do I calculate the annualized return for the year from these values? Or do I need to back into them to get the holding period returns
50 views

Relatively simple question, but came upon it in class and have not been able to come up with an answer: The two-year bond yield is equal to 4% while the 10-year one is equal to 10%. You want to put ...
50 views

### Practical Skew Model For Equity Options?

I'm looking for a simple model I can use to calibrate equity implied volatility surface. There are several models published in the literature, and most of them seem far too sophisticated for my ...
55 views

### transactions costs and leland modified volatility

When there are transactions costs, we are in a situation of incomplete market. What does the modified volatility of Leland (Option Pricing and Replication with Transactions Costs, 1985) bring us? can ...
72 views

### Fixed Income Portfolio Optimization

I'm trying to solve for a maximum sharpe ratio portfolio in the fixed income space. To do so, i use CVXPY in python. I use this Paper as reference. This is my "setup": ...