# All Questions

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220k views

### What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
33k views

### What are the quantitative finance books that we should all have in our shelves?

Which books/papers should we all have in our shelves? There are a couple that I use regularly such as: An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation Asset ...
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### How to use the stock as a numeraire to price a derivative with payoff of the form $(S_T f(S_T))^+$?

I have $\frac{dS_t}{S_t} = rdt + \sigma dW_t$ as usual under the money-market numéraire and I need to price options with payoffs $$(S_T f(S_T))^+$$ How do I express the stock dynamics using the ...
5k views

### Understanding Yang-Zhang Volatility Estimator

I am using TTR in R and I am trying to understand the Yang Zhang volatility estimator (without drift). The following equations seem to imply a single value:  \sigma = \sqrt{{\sigma_o^2}+k\sigma_c^2+...
35k views

### Efficiently storing real-time intraday data in an application agnostic way

What would be the best approach to handle real-time intraday data storage? For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
123k views

### Where to get long time historical intraday data?

I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&...
25k views

### How should I store tick data?

How should I store tick data? For example, if I have an IB trading account, how should I download and store the tick data directly to my computer? Which software should I use?
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### What is the best way to “fix” a covariance matrix that is not positive semi-definite?

I have a sample covariance matrix of S&P 500 security returns where the smallest k-th eigenvalues are negative and quite small (reflecting noise and some high correlations in the matrix). I am ...
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### What are some good technical and non-technical books for a math lover to get in to quantitative analysis? [closed]

To get the ball rolling... I will answer this question this evening For people aware & unaware I think it would be a great way to introduce the group, resources for fundamental knowledge & ...
18k views

### What is the intuition behind cointegration?

What is the intuition behind cointegration? What does the Dickey-Fuller test do to test for it? Ideally, a non-technical explanation would be appreciated. Say you need to explain it to an investor ...
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### Has high frequency trading (HFT) been a net benefit or cost to society?

Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
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### Is there a standard model for market impact?

Is there a standard model for market impact? I am interested in the case of high-volume equities sold in the US, during market hours, but would be interested in any pointers.
84k views

### How to compute the implied probability of default from a CDS spread?

I have two tasks: Given country's CDS spread draw implied probability of default. Given probability of default calculate CDS spread. If possible, refer to any papers.
149k views

### How to calculate unsystematic risk?

We know that there are 2 types of risk which are systematic and unsystematic risk. Systematic risk can be estimate through the calculation of β in CAPM formula. But how can we estimate the ...
17k views

### Discrete returns versus log returns of assets

There have been similar posts here already but nevertheless I find the question worth posting: why do some people claim that log returns of assets are more suitable for statistics than discrete ...
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### Estimate probability of limit order execution over a large time frame

I have a negligible amount of money (\\$5000) that I would like to invest in a stock. I would like to buy the stock at some point in the next year, and get the lowest possible price. I would like to ...