# All Questions

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### How to compute the Value-at-Risk of the sum of two dependent lognormal random variables?

Hy I posted this question first at mathflow.net they suggested me this page, which I was not aware of. Question Let $(X_1,X_2)$ be a multivariate normal random vector ($X_1$ and $X_2$ need not be ...
454 views

### What should be considered when selecting a windowing function when smoothing a time series?

If one wants to smooth a time series using a window function such as Hanning, Hamming, Blackman etc. what are the considerations for favouring any one window over another?
693 views

### Bank of England base rate feed

I am implementing a program in Java that needs the Bank of England base rate. Rather than the user inputting this into the system, I have heard that there is a way to get a live feed of the base rate ...
9k views

### Time Series Regression with Overlapping Data

I am seeing a regression model which is regressing Year-on-Year stock index returns on lagged (12 months) Year-on-Year returns of the same stock index, credit spread (difference between monthly mean ...
15k views

### Are public historical time series available for ratings of sovereign debt?

The nice list of free online data sources What data sources are available online? does not mention any data from ratings agencies. Are historical time series available for sovereign credit ratings (...
3k views

### Cluster analysis vs PCA for risk models?

I built risk models using cluster analysis in a previous life. Years ago I learned about principal component analysis and I've often wondered whether that would have been more appropriate. What are ...
774 views

### Is Walk Forward Analysis a good method to estimate the edge of a trading system?

Do you think Walk Forward Analysis is a good method to estimate the predictability or edge of a trading system? Are there similar methods to know (estimate) how much alpha can capture an algo (in the ...
207 views

### Any example code implementing the Shelton CDO 'Back To Normal' Paper?

I'm having a hard time getting my expected loss calculations to tie out with the standard recursion method when implementing the proxy distribution algorithm described by the Back To Normal CDO paper ...
3k views

### Longstaff Schwartz method

I try to implemente the LSM method with this algorithm but my price is always too low. By example for an American put option with the following parameters: S0 = 36, Strike = 40, rate = 6%, T = 1 ...
21k views

### Switching from C++ to R - limitations/applications

I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are ...
209 views

### Data on US bankruptcy rate vs. standard valuation ratios

Does anyone know of any research or data on US corporate bankruptcy rates as a function of standard valuation ratios, such as P/B, P/E, etc.? I'm trying to adjust the results of backtests to account ...
8k views

### Rationale for OIS discounting for collateralized derivatives?

Can someone explain to me the rationale for why the market may be moving towards OIS discounting for fully collateralized derivatives?
4k views

### Arbitraging OANDA continuous rollover vs other brokers' discrete rollover

Most brokers compute rollover once a day (2200 GMT), but OANDA calculates it continuously. I thought I'd cleverly found an arbitrage opportunity, but it turns out OANDA knows about this and ...
440 views

### Currency Hedged ETFs

At work we were talking about currency hedging our equity index exposures but I am struggling to understand how this happens in a typical iShares ETF. If we take the Japan ETF IJPN then we see this ...
1k views

### Does HFT make sense in a pro-rata market?

If orders are filled pro rata, is there still incentive to engage in HFT? Because pro rata nullifies the time precedence rule, my intuition is no, but I figure there could be other aspects to it I'm ...
6k views

### Predicting Price Movements on a Betting Exchange

On a betting exchange the price (the odds that an event will happen expressed as a decimal, 1/(percentage chance event occurring) of a runner can experience a great deal of volatility before the event ...
2k views

### How do I reproduce the cross-sectional regression in “Intraday Patterns in the Cross-section of Stock Returns”?

Recently I was trying to reproduce the results of "Intraday Patterns in the Cross-section of Stock Returns" (published in the Journal of Finance 2010). The authors used cross-sectional regression to ...
939 views

### Do low volatility stocks outperform high volatility stocks over the long run?

A recent article from Forbes seems to indicate that low volatility stocks outperform high volatility stocks over the long run. Does anyone have any supporting or contradicting evidence to this claim? ...
1k views

### Does the gamma function have any application in quantitative finance?

I was looking into the factorial function in an R package called gregmisc and came across the implementation of the gamma function, instead of a recursive or iterative process as I was expecting. The ...
1k views

### On my way to becoming a Quant [closed]

I'm currently studying for my undergrad in CS, and considering to do a grad in both CS and Math. I would like to see what you guys would recommend to prepare myself for a field as a Quant. I am ...
3k views

### Methods for pricing options

I'm looking at doing some research drawing comparisons between various methods of approaching option pricing. I'm aware of the Monte Carlo simulation for option pricing, Black-Scholes, and that ...
428 views

### Seeking Historical Non-Finance Datapoints for Backtesting

I'm working on some financial analysis code which I'd like to test against a historical dataseries to analyze the correlations to my algorithm to some non-finance related data. Ideally, I'd like to ...
1k views

### How do practitioners use the Malliavin calculus (if at all)?

This question is inspired by the remark due to Vladimir Piterbarg made in a related thread on Wilmott back in 2004: Not to be a party-pooper, but Malliavin calculus is essentially useless in ...
492 views

### How do bond pricing formulae differ between the US, UK and the Euro zone?

Let's restrict the scope of the question a little bit: I'm interested to learn about major differences in pricing formulae for nominal government bonds. The pricing formulae for inflation-linked bonds ...
1k views

### How would one price a “credit event binary option”?

CBOE has introduced credit event binary options, kind of as a retail trader's CDS. These binary options are worth $1 if there is a credit event (ie, bankruptcy) before expiration, and$0 if there is ...
1k views

### Varswap Basis - What is it in practice?

What is the varswap basis? I am not completely sure what this number represents. Is it the basis between the estimated future realized volatility and the vol surface implied volatilty at a specified ...
693 views

### Quant PMs need to know the following… [closed]

To the degree in which it's possible, I'd like to know what the community believes are the objective skills/knowledge required to run a successful Quant book. I'm not interested in strategies, ...
17k views

### What is the reference python library for portfolio optimization?

Does anyone know of a python library/source that is able to calculate the traditional mean-variance portfolio? To press my luck, any resources where the library/source also contains functions such as ...
342 views