# All Questions

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11 views

### Random Forests - Relationships

This question relates to the use of random forests in finance and the relationship between the number of features, the observations, and the number of trees. Consider the relation between an RF, the ...
16 views

### Subadditivity of cvar(R)، R is random vector

$R=(R_1,\ldots,R_n)$ is random vector in $L^1(\mathcal{R}^n)$. Then is it true that $$\operatorname{Cvar}(R_1+ \cdots + R_n) \le \operatorname{Cvar}(R_1) + \cdots +\operatorname{Cvar}(R_n)?$$ Can ...
24 views

### stock specific volatility

I was unsure about the precise definition of "stock specific volatility". Used in this question "A stock has beta of 2.0 and stock specific daily volatility of 0.02. Suppose that yesterday's closing ...
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### Really simple question regarding options. (Amateur level)

I'm just starting to educate myself on trading and financial instruments and I have what to me seems like a somewhat stupid question but I'd like to pose it nontheless. If I have an option to sell ...
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### Market maker's Operating Model

I got a question about the liquidity provider's operating model. Really hope if someone can take a look and share some thoughts! Scenario: Say an ETF investor wants to offload a million ETF shares; ...
48 views

### Model-Free Option Pricing

From Breeden and Litzenberger (1978) and subsequent work, we may find the risk-neutral density $q_{S_T}$ of $S_T$ from European option prices - assuming there are enough traded options (e.g. SPX) via ...
28 views

### Performance attribution of a fund manager

I am given the following data: 1) the monthly sector (consumer staples, utilities, tech, etc.) exposures such that they sum to 100%, but not their individual returns. 2) the fund's monthly returns. ...
45 views

### FX Futures pricing formula

I'm reading Paul Wilmott's Introduces Quantitative Finance and stuck a bit with formula $F = S(t)e^{(r-r_f)(T-t)}$ for FX futures pricing. I don't get how to incorporate $r_f$ into the formula, could ...
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### How can i insert a if condition in my loop to create returns for my formation period [on hold]

I'm trying to implement a momentum strategy. To do this i need to sort my stocks based on their return in the previous 11 mths. My current code works quite well: ...