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3
votes
1answer
179 views

Historical volatility - Black Scholes

How do you best incorporate the weekends in the calculation of the Black Scholes historical volatility? (Of course historical volatility serves as approximation, if the market price of the options is ...
-1
votes
0answers
32 views

Where to begin? [duplicate]

I have a strong background in Maths & Stats, undergrad + masters from a top uni. Been working as a Data Scientist the past year and learnt a lot of programming (Python/R/SQL/KDB/Java) and Machine ...
1
vote
0answers
99 views

Can simple risk management outperform portfolio optimization like this, or is there most likely an error?

I am using a simulation approach to compare the performances achievable by simple risk management and portfolio optimization for portfolio selection. My problem is that my results indicate that simple ...
2
votes
1answer
78 views

What are the formulas to compute the greeks of a gap option?

I'm having a problem to calculate the gap option greeks since there are 2 different exercise prices K1 and K2. Do you know the answer or where can I read about these particular greeks?
1
vote
1answer
901 views

Calibration of Theta, A(t) and B(t) of Hull White 1Factor model

I’m simulating interest rates via the HullWhite One factor model. To simulate the short rate I’m using the code from the Quantlib Python Cookbook, chapter 15 and beyond (By Goutham Balaraman and Luigi ...
2
votes
1answer
71 views

Why are my Neural Network predictions “correct”, but offset from true value? Not using any past lagged values

Please bear with me through the whole question - I just want to make it very clear what I've done so far and why I'm so perplexed. I am working with a neural network with the Keras package in R, ...
4
votes
2answers
126 views

Cross Currency Swap — Unobservable bid/ask

So in the place I work, one of the traders is dealing with a cross-currency swap within a country that has really no market for that kind of product. He wants to estimate a theoretical bid/ask, and ...
2
votes
1answer
80 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 ...
3
votes
1answer
71 views

Ledoit/Wolf covariance shrinkage in risk-parity optimisation

This is more of a theoretical question. I have been working on some mean-variance / Black-Litterman models and played around with Ledoit/Wolf's covariance shrinkage method (sklearn function in Python)....
3
votes
1answer
51 views

GRS Test in R with robust residuals

I'm testing certain asset pricing factor models (e.g. Fama and French 3 factor model) and want to check if the alphas of my time series regressions are jointly zero. Most papers use the Gibbons, Ross,...
5
votes
1answer
108 views

Bootstrap with QuantLib: Fair Swap or zero NPV

In all brevity What is the termination condition used in QuantLib's curve bootstrapping? Can I modify this setup to my needs, e.g. can I tune this to a higher accuracy? Background When bootstrapping ...
1
vote
0answers
54 views

How to price a down-and-out leveraged barrier call option using Brownian motion?

I am trying to price a type of leveraged down-and-out (LDAO) barrier call option, using geometric Brownian motion. My python script is below. I am not sure how to correctly model the increasing ...
-3
votes
1answer
47 views

Where can I find official s&p500 companies list? [closed]

For some research purposes, I need the official s&p500 companies list. I cannot use any data from Wikipedia or any other such kind of websites. I can use data from yahoo finance or s&p500 ...
0
votes
1answer
48 views

Why my delta position is increasing with increase in spot?

I am trying to take position in future as per the delta position of short put. My strike is 13794 for short put option, spot 10305.3 and volatility is 20.153 then I am getting 5890 position to buy and ...
0
votes
0answers
5 views

why don't we also pay money to industries that have a negative carbon footprint? [migrated]

I understand that taxes can be used to stir the economy in a certain way. For example, if you increase the taxes on things related to cigarettes, the price increase will decrease the demand. Or, if ...
3
votes
1answer
57 views

Align volume bars for multivariate analysis

Looking at the book "Advances in financial machine learning" the author proposes a way to sample high frequency financial data in several fashions which are not only the standard time bars. I was ...
3
votes
1answer
67 views

What is the state of the art govie bond term structure recently

Specifically, the US govt bond market is segmented and the shape is difficult to model in a structural model, because recently there is a maturity gap from 12 to 20 year, and the front and back ends ...
2
votes
0answers
57 views

Mathematical techniques for Trading signals

I'm trying to come up with a reasonable and mostly mathematical way to trade signals between two people with interests in collaboration but still wary and skeptical. The idea being that you start ...
1
vote
4answers
4k views

Forex brokers with free API compatible with Node.js

I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ...
3
votes
1answer
142 views

Gamma PnL from Itô's Lemma derivation

The change in a call portfolio ($f$), derived from Itô's Lemma, is: \begin{align*} \left( \frac{\partial f}{\partial t}+\frac{1}{2}\sigma^2S^2\frac{\partial^2 f}{\partial S^2}\right)\mathrm{d}t &=...
2
votes
1answer
73 views

Appropriate Encoding for Stock Technical Indicators ? RSI

happy new year and i am new to machine learning + python.. so recently i am doing a project on my own to use machine learning models on technical indicators.. I have my technical indicators data ...
12
votes
5answers
5k views

How to download all 10-K reports for all companies listed on S&P 500?

I am doing a regression analysis of all companies listed on s&p 500. It requires their 10-k reports. Where can I download all of them once?
2
votes
1answer
52 views

Implied volatility of hypothetical options market

I am attempting to create a volatility surface for a US electricity market that has a liquid futures market but nearly non-existent options market (<5 trades per month across all strikes and ...
3
votes
2answers
644 views

What is the most efficient way to periodically download all new 10-K filings from SEC's EDGAR?

I found this website which uses a perl script to download all the filings. It states: "There are 200K+ 10-K (and equivalent) filings, which will take considerable harddisk space and time to download. ...
0
votes
0answers
38 views

Is non-linear correlation problematic in financial time series prediction?

Many traditional finance models assume linear relationships between variables and features. Aren't linear correlations/covariances unable to capture financial processes empirically since they actually ...
10
votes
2answers
3k views

Calculate turnover for portfolio

I am trying to calculate the turnover for a portfolio strategy. First I generate some random data and assign it dates: ...
-1
votes
1answer
39 views

Is there a way to formulate a Martingale series that will never explode?

Martingale's betting method can be seen here:https://www.investopedia.com/articles/forex/06/martingale.asp My question is if there is a way to put a non-exploding martingale, [There is one attempt to ...
3
votes
1answer
80 views

Contango and backwardation in VIX futures

I understand the meanings of contango and backwardation, but I'm trying to better understand the theory behind what creates each. For future readers of this question, here are the examples from the ...
1
vote
1answer
31 views

Delta-normal VaR of portfolio of stock and call option

I have to calculate the 10-day 99% VaR of a portfolio that consists of a portfolio of 260 stocks of a company $K$ and that is short 500 call (European) options of the same company. I know that the ...
1
vote
0answers
17 views

How do I calculate the real taxes paid from 10-K forms

I guess we are familiar with the discussion, whether companies especially tech companies are paying their due in taxes. There was the huge discussion of Amazon paying nearly no taxes, using loopholes ...
1
vote
0answers
73 views

Proof of variance reduction of bagging

In Lecture 4 of the following course: Advances in Financial Machine Learning: 10 Lectures by Marcos Lopez de Prado link in the proof of variance reduction for a ...
0
votes
0answers
25 views

How to implement CallableFloatingRateBond in QuantLib?

Is there anybody has any idea (or any C++ code) to implement the pricer for the CallableFloatingRateBond in QuantLib. I want to discount and forecast the cash flows on the tree using the Hull White ...
0
votes
0answers
13 views

Category 3 PRIIP MRM calculation

I know that there is already a very similar post about this. Unfortunately it does not correspond exactly to my question, so I will try it again myself. I am trying to calculate the MRM of a Category ...
0
votes
0answers
8 views

EAD = Drawn amount + Undrawn amount * CCF?

I am pretty sure the following is true $$ \text{EAD} = \text{Drawn Amount} + \text{Undrawn Amount} \times CCF $$ where $\text{CCF}$ is the credit conversion factor. It means if an overdraft line is ...
0
votes
0answers
24 views

Value Option with Forward Volatilities

That is probably a rather simple question but I got confused and would be very thankful for help. Imagine we are in 2015 and have an option that expires in either 2016, 2017, 2018, 2019, 2020 or 2021. ...
1
vote
0answers
28 views

Is the future cost of carry a upper bound for the future price?

The Future cost of carry model models the future price of a commodity. $F = Se^{((r + s - c)t)}$ Where $F$ = the future price of the commodity $S$ = the spot price of the commodity $r$ = the risk-free ...
0
votes
0answers
16 views

daily changes first difference (terminology)

While reading a paper, I stumbled upon the following term which I don't understand: "We use daily changes (i.e. first difference) of the CBOE VIX" When talking about the daily first ...
17
votes
4answers
3k views

How did you become a quant?

This question will serve as the definitive community wiki of career anecdotes. Future career questions can be pointed here. There are as many career paths as there are people. How did you get started ...
4
votes
0answers
41 views

SDF as an affine transformation of the tangency portfolio

I'm studying this paper. In the formulation of the theoretical setup they state: Our goal is to explain the differences in the cross-section of returns $R$ for individual stocks. Let $R_{t+1, i}$ ...
0
votes
0answers
17 views

How can I obtain old Form 10-K filings?

I am trying to find old filings of Form 10-K. I am looking for some filings from the 1950s, 1960s and 1970s (i.e. filings in the era before the existence of EDGAR). Where can I get them? Are the ...
3
votes
2answers
98 views

Do normal returns make the mean-variance portfolio model perform properly?

The Markowitz mean-variance model is known to suffer from estimation error due to financial returns not meeting the assumptions of a normal distribution, providing portfolio weights that underperform ...
5
votes
4answers
541 views

How do traders hedge against “tail side risk” in practice?

In a recent CNBC interview, Black Swan author Nassim Nicholas Taleb gave a categorical advice about investing in the Corona period. “It is very unwise to do any form of investment without some form of ...
0
votes
1answer
32 views

Historical SPX Intraday data with volume

I am looking for historical SPX 1minute data containing volume. Anyone knows where to get them from? Thank you,
0
votes
0answers
11 views

Do volume/dollar bar series always have less observations than time (bar) series?

Traditionally, financial returns are derived from prices that have been sampled based on constant time intervals. These are known as time bars, and a series of returns based on time bars are what we ...
0
votes
0answers
10 views

Is it easier to estimate the mean of volume/dollar bar returns than time bars?

Financial data, by default, is sampled using constant intervals of time, i.e. we collect the prices of assets every day, and then take the log-differences of prices to compute daily returns. These are ...
0
votes
0answers
23 views

Historical VIX term structure data

I see that there is a CBOE page for collecting individual moments of term structure data, however, I'm wondering if anyone knows how to access historical data in bulk. Here's the CBOE page: http://...
1
vote
2answers
59 views

How does the Collateral in Collateralized Loan Obligations (CLOs) Work?

I am trying to understand, in its simplest form, how the collateralized loan obligations (CLO) work. I refer to an article in The Atlantic for those who are interested in learning about CLOs. The way ...
0
votes
1answer
35 views

aggregate and convert tick-by-tick using fx data

I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
2
votes
1answer
45 views

Is there a sound logic for buying a portfolio of call options in the same ratio as you would buy the underlying shares?

Suppose I believe it would be profitable to build an investment portfolio by investing, say, USD 30,000 in stocks in the following ratio: 30% in shares of CompanyA, 30% in CompanyB and 40% in CompanyC....
0
votes
2answers
56 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 ...

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