# All Questions

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### Relationship between Data Size and Arima Prediction Interval Width?

When we use Arima model to acquire Interval Predictions, will the width of prediction intervals decrease if we use more data (longer history) to fit the model?
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### Link between spot and forward rates in no-arbitrage world

With reference to the forward exchange rate definition, let be: $S$: the spot rate $F$: the forward rate $r_d$ and $r_f$: respectively the domestic and foreign interest rates $DF_d$ and $DF_f$: ...
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### MonteCarlo option pricing error estimate

Consider the problem of pricing an option via MonteCarlo with 10000 simulations. If the variance of the simulation is 100, which is the MC estimate of the error on the price?
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### Why is it not a markov process, but a martingale process?

I understand how the n+1 outcome depends on nth outcome, and nth outcome depends on n-1, but how to show it?
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### Updated Time Series Prediction Model When acquiring new data Points - Basic Question

Suppose I have a Time Series Model (assume ARIMA) and use it to make one-step ahead prediction. If I acquire a new data point, (for example I was originally using the first 100 days to fit an Arima ...
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### How to show if this is Martingale or not?

Consider the outcome of a game played by repeatedly tossing a fair coin, where you win a dollar if heads appears and you lose a dollar if tails appear, the outcome is denoted 𝑋1, 𝑋2,𝑋3, … . . 𝑋𝑛. ...
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### Undergraduate thesis topics around Brownian Motion / application to financial data [closed]

I am starting my undergraduate thesis around the Brownian Motion and Black-Scholes model, but having seen that that may not be so "fresh", I am thinking of pivoting to something new and with more room ...
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### What trading granularity has the strongest self-influence on Forex market?

As I understand, the effects that influence the Forex prices (for the major pairs) can be described as: inside effects - short term speculations by humans/robots real world events - larger scale ...
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### Are Fama French Factors market neutral?

I was wondering whether the famous fama-french factors such as e.g. SMB and HML are market neutral? I know that they are long-short factors in the sense that the net investment is essentially zero, ...
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### Calculating YTM for a floating rate bond

I am trying to understand how YTM's are calculated for floating rate notes. I have had a go at calculating it and I am always a few bps off for every FRN I try to calculate. Does anyone have any ideas ...
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### Short-Term Option Contract Worth Same as Long Term Option Contract At Same Strike?

Let's say that I'm analyzing option contracts for ABC Company, which typically trades at lower volumes. While researching ABC Company, I notice that for a given strike price, contracts that expire in ...
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### Derive hazard rate from CDS rate

I am trying to derive the hazard rate (lambda) from the CDS rate using this formula: I am aware of certain packages such as QuantLib that can derive this for you. However, i want to do this by ...