# All Questions

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81 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 ...
39 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 ...
223 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 ...
21 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 ...
32 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 ...
39 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 ...
37 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).
17 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 ...
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 ...
27 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 ...
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 ...
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 ...
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 ...
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 ...
43 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 ...
464 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) ...
70 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 ...
178 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 "...
28 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 ...
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 ...
83 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 ...
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 ...
54 views

### How to deal with missing returns?

I'm backtesting a strategy that forms stock portfolios on a monthly basis. It sometimes happen that a stock chosen on month t does not have return data on month t+1, so I can't correctly calculate ...
11 views

### What are some robust Contingent Capital Instrument available?

I recently was made aware of the existence of Contingent Capital Instruments like CoCo Bonds. I was wondering if there are other robust options available for Big Banks in this domain?
60 views

### Convert option inputs to standard Brownian motion

I want to know the probability that the strike price of an option is touched. My input values are: P = price S = strike v = vol t = time to expiration According ...
15 views

### Close not adjusted for splits and dividends - Interactive Brokers

Interactive brokers allows me to download several historical bar data types. Can somebody tell me, which of the historical data types are not adjusted for splits and dividends or anything else? I ...
39 views

### Modelling considerations for a jump model

The Problem: Suppose I have a simple jump model for an asset price $$dS = S(t-)[\mu dt + YdN(t)]$$ where $N(t)$ is a Poisson process and $Y_i$ are the jump sizes (assume independece of $N(t)$ and ...
59 views
+50

### understanding the linear constraint on a regression performance report

I am trying to understand a regression performance attribution. The problem the code solves is shown below. min 0.5 * x'Hx + f'x st. Ax <= b So I have n ...
62 views

### Treasury zero coupon curve for discounting two bonds but OAS different on Bloomberg

Using zero coupon Treasury curve, I discounted a 10% coupon bond. Using the same curve, I discounted a 5% coupon bond. Both these bonds have the same maturity. Since I discount both these bonds using ...
25 views

### How can I find the payout ratio for this company?

I am doing this question that I couldn't find the payout ratio. For you, company equity beta is unknown, it has a target i.e. current debt to book equity ratio: 0.5 and target debt to market ...
188 views

### Investors degree of risk aversion in capm model

I am a bit confused about one assumption of the CAPM. My professor said that in the CAPM model all investors share the same utility function and the same degrees of risk aversion. Then as a final ...
70 views

### What is the use of implied volatility, the skewness and its surface? [closed]

I am leaning about options, saw various video lectures and read some literature including John C Hull. After a while I forgot where I started and where I am currently and I unable to connect dots. The ...
106 views

### Do different prices under different models admit arbitrage?

There are many models for interest rate. If two people use two different models to price the same interest rate derivative, and come to two different prices, doesn't that admit an arbitrage? How ...
49 views

### Most liquid index options?

I need to work with option prices in my master's thesis. Specifically, I investigate index options (S&P 500). Which kind of options could you recommend to use? I have seen that there are options ...
54 views

### Backtesting with Level 2 depth of book

I'm new to automated trading. I'm in the process of coding the methodology I've been using manually for a few weeks into a quantitative algorithm using IBKR and Python. I read everywhere I should ...
46 views

### How to use multi-periods and mult-factors to predict stock price by linear regression?

Give data in $t_n$ denoted by $[x_1^n, x_2^n, ... x_d^n]$ and label $y_n$ to be predicted. We can just train a $d$-dimensional linear regression $y_n=\sum b_ix_i^n$ to make a prediction. However, I ...
39 views

### What SEC Forms Show Stock Buy Backs and Government Bail out money

I've been randomly searching forms and I pulled up this https://www.sec.gov/forms. However, I'm financially illiterate to the point that I don't know what terminology I'm looking for. I've seen that ...
96 views

### LSTM for trend prediction

Been wanting to get my hands dirty with ML for a while now and since I'm interested in finance and trading as well, I figured this would be a good project to get started after reading Deep LSTM with ...
60 views

### Extensive list of financial derivatives and what method is used to value them

What I'm imagining is a long list of different types of financial instruments traded on the market along with the model(s) that is industry standard for valuing it. Something like: European equity ...
392 views

### What are some popular free/open-source charting controls?

Recently I've tried SciChart and VisiBlox - beautiful charting tools. Are there any free or open-source tools for visualizing charts in C#? Thank you for answers.
1k views

I've got an ARIMA model (with a GARCH model for variance estimation) and parameters estimated in Matlab for my set of data. Now I need to use this model in my Java based application for making ...
52 views

### Wha't the best place to grab historical sophisticated data about stocks?

I am looking for an API which allow me to grab a data about companies & their stocks in the historical perspective. Like not only prices, but let's say balance sheets & cashflow statements ...
204 views

### Any portfolio theories not based on asset return moments?

The mean-variance model for portfolio optimization minimizes portfolio risk (covariance matrix), which is the second statistical moment of multivariate asset returns, and sometimes simultaneously ...
170 views

### monte carlo simulation

I'm a graduate student working on a real options research problem suggested to me by my advisor. I'm not looking for a solution, but I'd like to know about the feasibility of numerically solving the ...
45 views

### Dealing with stochastic results of Machine Learning Models

I'm building stock selection models, and pick top 5 and bottom 5 stocks. Given the variability in Stochastic gradient decent results, they keep changing. One way to get consistent results is to use ...
78 views

### Expected returns for scalping futures [closed]

I've been an investor for about 12 years now. My annual return, November 2008 until today, is 25.77% on my stock portfolio, which is heavy on AAPL, BRK.B and recently TSLA. Mostly buy and hold, hardly ...
18 views

### R Portfolioanalytics - How to calcuate the objective measures for a given portfolio weights

I am trying to calculate the objective measure i.e return and std dev for a given set of portfolio weights using PortfolioAnalytics package. i am able to set the weights of the assets in the portfolio ...
2k views

### What commercial financial libraries are available to outsource implementation risk?

During our daily jobs as quants, we tend to be willing to develop all the quantitative libraries ourselves. While I know that we need to develop specific algorithms which are the foundations of our ...