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9 views

parameter in FixedRateBondHelper of quantlib

I'm working with 10 bonds with different maturity and want to get the zero curve. I tried the quantlib. However, I cannot understand the parameter in FixedRateBondHelper. Here is my code: ...
1
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0answers
22 views

concept of return for assets which don't have a well defined price

Much of financial theory seems to assume that assets have a price, for example the concepts of return or volatility. Is there some way to operationalize these concepts for assets which don't have a ...
0
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0answers
17 views

Calibrating Short-Rate Models to Eurodollar Futures Prices via Monte Carlo

I have a short rate model specified in the risk-neutral measure $Q$ defined by the continuously compounded money market $\beta(t)=e^{\int_0^tr(u)du}$. I'd like to calibrate this model to a set of ...
1
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0answers
16 views

Tailing the Hedge for Minimum Variance Hedge Ratio (Hull, 10ed)

I am an amateur reading Hull's Options, Futures and other Derivatives. I have encountered an issue similar to the one here: How to tail a hedge? (Question 3.26 from Hull, edition 10). The author ...
0
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0answers
12 views

Local v/s global calibration for a Bermudan Option (calibrate co-terminals vs entire matrix)

I am quite new to rates modeling and I have a question on the pros and cons of calibrating to larger set of vanilla instruments v/s calibrating to an exotic's 'natural' hedges. For example, I could ...
2
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0answers
26 views

Heath–Jarrow–Morton under real-world measure

In HJM model (framework), the drift of the forward is determined by its diffusion coefficient: $$ \mu(t,s) = \sigma(t,s)\int_t^s \sigma(t,v)^Tdv $$ My understanding, is that the change of measure ...
0
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1answer
14 views

Daily to Monthly Performance Attribution - Getting Effects to equal the Excess Return

I am building a performance attribution tool on Python to help us understand the asset allocation, stock selection effects of our fund. We are using daily price data for each component within the ...
1
vote
1answer
32 views

market implied rate

today's 3m usd libor (US0003M) is 0.3625% 6m usd libor (US0006M) is 0.5484%, so from here, the implied 3m USD libor 3m forward is about 0.73%, today's EDU0 quote is 99.71 (implied 0.29% ...
1
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1answer
385 views

Pre-requisite math books, to the pre-requisite math needed to become a front desk quant

This question is about the pre-requisites to the pre-requisite math needed to become a front desk quant. I have done research online and I found that there are a lot of recommended books as a pre-...
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0answers
9 views

Asset Pricing and inferences - Intercept and relationship to returns

Ideally this question is very similar to What's the meaning of the intercept in asset pricing model? I am regressing a "buys minus sells" portfolio returns to the Carhart factors. The intercept ...
4
votes
1answer
49 views

Differential of time over Browninan motion

I know that $\frac{dW_t}{dt}$, with $W_t$ a brownian motion, does not exist. However, does $\frac{dt}{dW_t}$ exists? Or does it even make sense? I am trying to calculate the quotient of two ...
0
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0answers
16 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 ...
2
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1answer
28 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?
3
votes
2answers
283 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 ...
5
votes
2answers
232 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 ...
-2
votes
2answers
62 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
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1answer
24 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
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0answers
49 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 ...
0
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0answers
8 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
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0answers
36 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 ...
1
vote
1answer
33 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 ...
1
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0answers
33 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 ...
1
vote
1answer
48 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}...
1
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0answers
36 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
26 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
33 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 ...
-1
votes
0answers
13 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.
1
vote
2answers
81 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. ...
1
vote
2answers
49 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 ...
0
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0answers
30 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
1answer
44 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
47 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 ...
0
votes
1answer
33 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) ...
4
votes
0answers
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 ...
1
vote
0answers
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 ...
1
vote
0answers
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 ...
0
votes
1answer
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).
0
votes
2answers
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 ...
0
votes
1answer
35 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 ...
0
votes
0answers
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 ...
0
votes
1answer
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 ...
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 ...
1
vote
2answers
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 ...
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
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?
0
votes
0answers
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 ...
0
votes
1answer
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 ...
-1
votes
1answer
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 ...
1
vote
0answers
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 ...

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