# All Questions

17,696 questions
Filter by
Sorted by
Tagged with
15 views

### Issue with Monte Carlo Simulation on an interest rate tree in Excel

I need to build a Monte Carlo simulation model that does 10 iterations on the interest rate tree. I need to identify the interest rate given a sequence of moving up and down the interest rate tree. I ...
26 views

### What are the practical costs of repo for a bond trading desk?

I appreciate what a repo/reverse repo transaction is, but I'm struggling to understand exactly how the cost of funding trades via repo works from a practical point of view for a bond trader. Current ...
10 views

### Designing scanning logic of past history for probability of common market pattern re-occurrences in single timeframe

How should I go about designing algorithm that would collect VWAP from all "candles" in a timeframe and determine common patterns like the once in the image. I'm not sure if the logic design ...
12 views

### Cross-checking Treasury's Major Foreign Holders Report

I was looking for bad things waiting to happen on the Ides of March, and the next Major Foreign Holders of Treasury Securities report came up as a candidate. It is due on March 15th, 2021. The report ...
16 views

### Fama-French model interpretation of coefficients help

So i've run a regression for a stock and these are the results. I was wondering if I'm right in inferring that because the SMB coefficient is negative, this particular stock I've chosen has a large ...
27 views

### Portfolio allocation question: is it not circular reasoning?

Is portfolio allocation not circular reasoning? Say we have a portfolio manager, Michael, and a risk manager, Vito. Michael has a portfolio and would like to determine the optimal allocation of his ...
31 views

30 views

### When to stop GBM/drift Monte Carlos? How much memory is expected? [closed]

So I don't have a quantiative finance background, really. Just computing and economics... I have a question for y'all. I am currently running an MC simulation that is your basic stock drift formula. I ...
199 views

### What are the “sniffing” or “stalking” algorithms?

I was looking for all the sorts of trading algorithms used in stock market and I came across the so-called "sniffing" algorithms. However, the explanations of this concept I found are very ...