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19 views

how to take fold difference? [closed]

![Remove from train data genes with fold differences across samples less than 2. Fold difference is defined as a ratio between maximum and minimum values (Max/Min) for a given data set.]1
0
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1answer
15 views

How to make the effective date to start on a holiday/weekend in py QuantLib?

I'm trying to price a non-standard swap. However, my schedule is not returning the correct dates. In particular, the effective date starts on a Saturday but the schedule returns the next biz date ...
1
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1answer
49 views

BS model without volatility

Maybe it is a naive question, I simply can't understand how the industry is using the BS model to price options, as the option pricing formula requires implied volatility as an input, which itself is ...
2
votes
1answer
58 views

yield curve basics

Suppose we observe the following term structure (of annualised spot rates): 0-3 Months $\rightarrow$ 4.0%. 0-6 Months $\rightarrow$ 4.2%. 0-9 Months $\rightarrow$ 4.4%. Question1) How can we ...
0
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1answer
40 views

Black Scholes model without using Girsanov's theorem? It might happen?

We can calculate the stock price by the equation: $\frac{dS_t}{dt} = \mu dt + \sigma dB_t$,where $B_t$ is a Brownian motion. First i create a portfolio that consists of $\Phi$ units of stock share ...
1
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0answers
32 views

Results of Fama MacBeth regression

I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant ...
0
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0answers
15 views

Variance minimization vs. Value at risk

When computing Minimum Variance Hedge Ratios as explained f.e. in Hull (2012) the goal is to select a hedge ratio such that the variance of the portfolio is minimized. My question is now what are the ...
0
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0answers
14 views

Exact Simulation algorithm SVCJ (Broadie Kaja)

I'm trying to write the code for Exact simulation algorithm SVCJ http://www.columbia.edu/~mnb2/broadie/Assets/broadie_kaya_WSC2004.pdf The code seems to be working but fluctuates a lot. Could anyone ...
1
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0answers
28 views

Currency of CDS and adjustment of interest rated for country risk

I have question concered currency of the CDS spreads. In the analysis I am conducting, I perform adjustment of interest rates for country risk (CDS could be a reference to reflect a country risk). ...
0
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1answer
40 views

What are an option's “tested” and “untested” sides? [closed]

What does 2 below mean? Adjust what once? What do tested and untested side mean? teamspritemini. 2 points 3 years ago My preference is as follows: If Naked, 3X premium as stop ...
0
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1answer
46 views

What does buying back a “short strike” for .05 mean?

What does the red phrase below mean? doougle. 7 points 3 years ago. This is one of the "not as easy as it sounds" things about options. You always hear things like "Make money if the market ...
1
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0answers
59 views

Anyone got references where we can find examples of codes for agent-based simulations of financial markets?

I'm looking for references with codes for trying out simple agent-based simulations for modeling financial markets. I mostly worked with MATLAB and R, but I know a bit of python and I am learning C++ ...
5
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0answers
59 views

What machine learning algorithms are important for quant interviews? [closed]

I'm not sure if this question is appropriate for this SE board. If not, I can definitely remove it. FWIW, I saw a few other interview-related questions posted on here. Anyways, I will be ...
4
votes
1answer
53 views

CRRA Ultility, simple question

for CRRA, does increasing gamma leads to increase in risk-aversion? Looking at the curve, I think increasing gamma leads to less in risk-aversion (since the risk preimum is less). But in terms of ...
2
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1answer
30 views

Properties of risk aversion

What are some common properties for risk aversion? I know the basic definition of the risk premium, absolute risk adversion, relative absolute risk adversion. Besides the basic definition, what are ...
1
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1answer
36 views

Why do we regress with respect to premiums in factor models like FF?

Factor investing can be explained by factor models, via the factors exposures. For example Fama-French observed that Size and Book-to-Ratio were systematic risks of a portfolio and consequently they ...
0
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0answers
12 views

Cost basis for Month-to-date unrealized and realized p&l calculation

how do you calculate Month-to-date unrealized and realized P&L/performance? What is the cost basis for both? Should the cost be reset based on the end-of-previous month mark to market or the ...
0
votes
1answer
32 views

Why are the risk neutral probabilities constant in the Cox Rubinstein model when delta needs to be changed at each time step

Consider the Cox Rubinstein binomial pricing model with N steps, with stock price change given by parameters u and d so that at step $i$ we have $S_{i+1} = uS_{i}$ or $S_{i+1} = dS_{i}$ with $0\leq i \...
1
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0answers
28 views

Excel rate function with nper as decimal returns unexpected result [closed]

I set up a simple problem Payment after 0.4 year is 25. The rate is 10%. I calculated PV as $\frac{25}{(1+10\%)^{0.4}} = 24.77$ Then I did Rate(0.4,25,-24.77,0) in ...
0
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0answers
49 views

Simple question on Brownian Motion [closed]

$$ \log W_t = \int_0^t \left(r + \pi(\mu-r) - \frac{1}{2} \pi^2\sigma^2\right) du + \int_0^t \pi \sigma \,d Z_u $$ And that $$\log W_t \sim \operatorname{Normal} (\left(r + \pi(\mu-r) - \frac{1}{2}\...
0
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0answers
9 views

Minimum variance hedge ratio price difference vs. log-returns

So from my understanding Hull (2012) f.e. shows that the optimal hedge ratio minimizes the variance of the returns. But what happens to the variance of the prices? Is the Minimum variance hedge ...
0
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0answers
8 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 RM package ...
1
vote
1answer
41 views

How can I extract the strike price from a Quantlib option object?

I am trying to write a Python function that performs some calculations using a list of Quantlib options, and I would like to pass only that list without other information. In particular, the strike of ...
0
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0answers
23 views

COMPANIES CIK FROM COMPANY NAME [closed]

I have a list of companies that filed an 8-K. I need to find the respective CIK for each company. How do I do this?
0
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0answers
16 views

Equity Valuation before and after IPO [closed]

I'm doing a project work where i am asked to estimate Equity Valuation before and after IPO. Our Equity Value (estimated with WACC and Multiples Method) before IPO is 2.6 mln (Euros). We sell a stake ...
0
votes
1answer
76 views

Why would the market systematically underestimate the probability of unlikely events?

(I'm not in finance, so pardon my ignorance) In The Big Short (2015), there is a little story about Cornwall Capital's early trading strategy: Their strategy was simple and brilliant. Jamie and ...
2
votes
0answers
51 views

Implied volatility surface modelling in filtered historical simulation

What is the best way to model implied volatility surface in filtered historical simulation (other than keeping it constant)? Is it appropriate to apply GARCH-like model to every point on the surface? ...
0
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0answers
22 views

Can someone show the resolution of the expression $c = \frac{\sigma_b IR} { \sigma_A SR_b}$

In the post below (Active Portfolio Management: What is the logic behind this equation?), would someone be able to show the demonstration of the solution $c = \frac{\sigma_b IR} { \sigma_A SR_b}$. ...
1
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0answers
54 views

Master's in Mathematical Finance [closed]

Question: I currently graduated with a Bachelor's in mathematics. I have taken classes in analysis up to and including introduction to measure and integration theory, probability theory without ...
0
votes
1answer
107 views

Active vol strategy within a portfolio

Suppose I'd like to have 10 % of my portfolio allocated to "long volatility" by rolling straddles . Obviously going all in on one trade implies significant risk of losing all the money. Does anyone ...
0
votes
1answer
63 views

Pricing coupon bond on weekly basis effectively

I have a coupon bond with $NV=20 000 000$ and coupon $4\% p.a.$, assumed the coupon is paid annually (I don't have this stated explicitly). Let's assume, the starting date is 27.4.2015, so the first ...
0
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0answers
29 views

Expectation of a normal random variable under risk-neutral probability measure [closed]

let's say that $X \sim N(m, s^2)$, that is X is normally distributed with mean $m$ and variance $s^2$. I'd like to calculate the expected value of $e^X$ under risk neutral probability measure $Q$. I'm ...
0
votes
1answer
73 views

Why is overnight more expensive than spot in an increasing forward swap values table?

I'm looking at EUR/USD fwd prices. Currently they are the following ones: These are the swap points to be added to the spot price. It seems it increases with time. Therefore, since overnight value ...
0
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0answers
55 views

realized correlation estimation

I'm trying to implement the Hayashi - Yoshida estimator for correlation (T. Hayashi, N. Yoshida: On covariance estimation of non-synchronously observed diffusion processes, 2005) and there's something ...
0
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0answers
34 views

Digital Caps/Floors in Quantlib Python

Am I missing something or is there currently no way to price digital libor Caps/Floors in Quantlib Python? It seems there's no mention of DigitalIborCoupon in the cashflows SWIG interface.
0
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0answers
17 views

Asset Pricing and Stochastic Discount Factor: Do well-informed investors only buy efficient portfolios?

I'm currently dealing with the following question: In Asset Pricing, well-informed investors know about the concept of the efficient frontier. Does this mean that they only invest in portfolios that ...
1
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0answers
28 views

How to expand lognormal approximation of Brownian motion

How can we expand this sum? $\sum_{i=1}^n (e^{rt_i-\frac{1}{2}\sigma^2t_i+\sigma w_{t_i}})^2$ where: $w_{t_i}$ is a standard Brownian motion. If we let $m_t=e^{-\frac{1}{2}\sigma^2t_i+\sigma w_{t_i}}$...
0
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0answers
11 views

Mutual Fund holdings data

Is there any source where mutual fund full holdings data can be found? I cannot seem to find it anywhere, even paid sources. Some sites will have to 10 or 25 holdings but not full.
1
vote
3answers
63 views

What is the benefit of buying stock options vs. purchasing stock? [closed]

I am aware that this is a simple question; but, given the scenario below, I have not found a satisfying answer while searching this site or Google. My understanding Stock options have been described ...
-4
votes
0answers
35 views

AI for trading? [closed]

everyone! I'm co-founder of a startup, where we are looking for a solution to boost trading with help of Artificial Intelligence. That is not so simple to understand how this industry works and how ...
0
votes
1answer
16 views

Multiple tracking error constraints - is this problem convex?

Let's say I have a return forecast for each stock in the DAX index. I also have a covariance matrix for these 30 stocks. I want to solve for the 30 weights by maximising the forecast portfolio ...
2
votes
0answers
209 views

Black and Scholes equation for portfolio **with** arbitrage

I am well aware of how the ordinary Black and Scholes equation is derived, under the assumption of an arbitrage free portfolio, $V=G-hS$. Here $S$ is the price of the underlying and $G$ is the option ...
0
votes
0answers
16 views

Insured Portfolio via call + cash: how much cash?

I am unsure about the quantities to keep in the risky asset, S, and the non-risky asset, M, when constructing an insured portfolio via Call + Cash (rather than Stock + Put). My understanding so far is ...
0
votes
0answers
22 views

Log return of a coupon bond [closed]

let's say I have a coupon bond with 10 years maturity, annual coupon payment with coupon rate being 4% and notional 20000000. I also have the information about 10 years zero coupon rates accessible. ...
0
votes
0answers
26 views

Variance of the risk systematic component in Fama and French Three Factor Model

in my assignment i have to compute the variance of the risk systematic component in the Fama and French Three Factor Model. Does anyone know the formula or how to compute it? Thank you
1
vote
1answer
47 views

Ito's lemma for a Forward

I'm trying to understand the derivation of Ito's process with respect to a Forward $F$ on a stock $S$ that pays a constant dividend yield, say $y$. Stock follows brownian motion $\\$ $dS_{t} = S_{t}(\...
0
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0answers
36 views

Second derivative w.r.t. strike as risk-neutral density?

According to Breeden & Litzenberger(1978), the second derivative of the call-value-function, with respect to the strike price, can be seen as the risk-neutral density of the underlying asset at ...
1
vote
1answer
66 views

Put-Call parity arbitrage relationship

I would like to know what the relationship is between the time value of call/puts. From the put call parity formula $$C-P = S_{t} - PV(K)$$ and that value of call/put options is simply the sum of ...
0
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0answers
28 views

Broker Cost Historic extrapolation

Given some broker costs today. What is the best way to extrapolate them into the history ? Would it be linear or exponential rise (towards history) ? This would be for backtest simulation involving ...
0
votes
1answer
31 views

How to calculate long-short performance using CFDs?

I am trying to calculate NAV and performance for a L/S fund which shorts via CFD. Obviously in a traditional short sale, there would be cash generated to match liability incurred but this is not the ...

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