# All Questions

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### Can we get Index data of these exchanges? 02 S&P500 Index 03 DOW JONES 30 Index?

My Name is Salman and I am developing a stocks website. Can we get Index data of these exchanges? 02 S&P500 Index 03 DOW JONES 30 Index 04 CAC 40 Index 05 DAX 30 Index 06 FTSE 100 07 Nikkei Index ...
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### Fama: Efficient Capital Markets: A Review of Theory and Empirical Work - are martingales incorrect?

In his paper, Eugene Fama gives the definition of a "fair game" as given below. I disagree. AFAIK, a martingale has the following property: $E[X_{t+\tau} | X_t] = X_t$. What am I missing? ...
15 views

### Non-Linear Time-Dependent Volatility

My data consist of monthly electricity futures contracts. Unlike other commodities, electricity is delivered throughout a month (rather than on a specific date), which means that, as the active month ...
16 views

### Estimating the spread of a market maker

If we have an order book and we assume that we know there is only one market maker, how can we determine exactly the spread of the market maker? What if there are more than one market makers?
9 views

### Limit of conditional expectations (when limit linked to the conditionning)

I am working with conditional expectations and am trying to derive a limit property. Consider $(Y_n)_{n \in \mathbb{N}}$ a sequence of square integrable random variables, that converge in $L^2$ to a ...
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### FX implied yield

Emerging market currencies like IDR, INR, its fx implied yield generally rise in a stressed environment. While for KRW, fx implied yield usually drops in a stress environment. I would assume KRW ...
92 views

### Clean vs dirty price for bonds

Why the clean price is mostly quoted in the US bond markets and the dirty price is mostly quoted in the European bond markets?
25 views

### Is there a way to create a custom calendar using a holiday and weekend list in quantlib

We have a data set up that provides us a list of holidays and weekends which is different from the country or currency calendars.Is there any method exposed in Quantlib calendars which expects a list ...
39 views

### Optimal Change Point Detection Problem for a timeseries

W. T. Ziemba, S. Lleo and M. V. Zhitlukhin suggested an Exit Model for selling an asset based on Change Point Detection Theory from the field of Statistical Quality Control https://ideas.repec.org/h/...
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### How to simulate asset prices/returns that display market regimes?

Are there any techniques that can make a multivariate random number generating process for stock prices/returns, like geometric Brownian motion via Cholesky, also include the simulation of a finite ...
24 views

### How to understand broken wing butterfly option strategies?

I feel very confused about the greeks analysis for the broken wing butterfly strategy. Let's say for the stock ABC, we enter into a such strategy: we long a put option with strike $k_1$ and another ...
18 views

### Portfolio models that maximize cumulative returns

Portfolio optimization typically looks at minimizing portfolio volatility, or maximizing the portfolio's Sharpe ratio (risk-adjusted return), but are there any recent, reasonable approaches to ...
138 views

### Why do cumulative returns have a bimodal distribution?

Regular returns (log-differenced prices) have statistical distributions that are bell-shaped and unimodal (one mode/peak) despite being non-normal and fat-tailed. Cumulative returns, on the other hand,...
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### Is Ito's lemma involved in the Jump Diffusion Model by Merton [duplicate]

I know its involved in the black scholes, but what is it's involvement in the jump diffusion SDE.
60 views

### Option implied distributions

I am having a bit of trouble understanding how to obtain the option implied distributions. I have strike levels, deltas and implied vols for a call option that expires in 6 months. Roughly 40 data ...
17 views

### Are there noticeable jumps in index options price due to systematic hedging of structured products close to big expiry dates?

I am looking at investigating factors that will cause jumps in index options prices close to big expiries in the name. I imagine systematic rebalancing of structured products will have a large impact ...
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### Is there a packages to estimate Diebold-Li Parameters in R?

"The models implemented are: Nelson-Siegel, Diebold-Li and Svensson" is written in the description of the packages "YieldCurve". However, I can't find a specific estimation ...
16 views

### Is this a new way to profit from earnings releases using long straddles?

How much can I reasonably make if I buy a long straddle just as soon as earnings release day is announced and ride the rise in implied volatility along with any movements till the earnings release ...
22 views

### Why Risk neutral pricing [closed]

I just wanted to understand a basic concept: Why do we do the option pricing under risk-neutral measure and not the general P.