# All Questions

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21 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 ...
42 views

Will replacing the 3-month tenor of the US LIBOR with SOFR or CME 3-Month SOFR Futures work as well as an indicator of credit risk? I have my doubts given: SOFR reflects secured lending LIBOR is ...
43 views

### How required yield affects price of the bond and how the durations changes

can somebody answer, those two theoretical questions? How does the bond price depend on the desired yield (market interest rates)? How the duration changes if we have a shorter / longer maturity and ...
35 views

### Mean-reverting backtest between index and components

I am a beginner with ETF replication: I have to make a code to make the value of my assets go back to the average of the index Eurostoxx 50 with a subset of components. I am not sure how to implement ...
16 views

### Portfolio construction with volume based bars

In the book Efficiently Inefficient, Lasse Pedersen interviews Myron Scholes: LHP: Why do spreads tend to widen during some periods of stress? MS: Well, capital becomes more scarce, both physical ...
374 views

### How is market buy order executed when meeting both market sell order and limit sell order?

Currently, we all know how market buy order is executed when meeting only limit sell order for time-priority rule.
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### Stochastic Volatility Models Real World Calibration

I am trying to find some research pertaining to the historical (or real world) calibration of stochastic volatility models. For example, in applications such as counterparty credit risk (IMM) or ...
192 views

### Intuition for Stock Price Numeraire Drift

I would like to ask whether there is an intuition for the drift of price processes under the Stock numeraire. I find it intuitive that the martingale measure under the Money Market numeraire induces ...
49 views

### Accounting profitability [closed]

Can anyone please help me how to solve this problem? Grocery Freshly want to open a new store. They expect an initial cost of 30,000 to buy the property in which the store will be. After ...
78 views

### Is Ornstein–Uhlenbeck process the continuous-time correspondence of AR(1) process?

I see the AR(1) process (with $|\alpha| < 1$) can be written in the following way: $$x_{t+1} = \alpha x_t + \epsilon_t$$ $$\Delta x_t = - (1 - \alpha) x_t + \epsilon_t$$ which looks quite like the ...
61 views

### LIBOR Curve bootstrapping and compounding

I am currently reading about swap pricing based on using the LIBOR curve to calculate spot rates, forward rates, and discount rates. From what I understand LIBOR is quoted as a simple interest rate ...
85 views

### Itô’s formula and Wiener process

The Wikipedia page on the formula https://en.wikipedia.org/wiki/It%C3%B4%27s_lemma and some textbooks I have looked at say we must assume that the relevant time-dependent function is over an Itô ...
71 views

### Risk Neutral Pricing and the Drift

For risk neutral pricing, why do we want to compute expectation of a martingale? why is this so important? Why do we dislike the drift so much? Avoid math heavy answers please.
200 views

### Solve the following SDE: $\mathrm{d}X_t = a(b-X_t) \,\mathrm{d}t + c X_t \, \mathrm{d}W_t$

Let $\mathrm{d}X_t = a(b-X_t) \,\mathrm{d}t + c X_t \, \mathrm{d}W_t$ be a stochastic differential equation where $a$, $b$, and $c$ are positive constants, so I tried to solve it but I got stuck in ...
32 views

### Priips : how can we proove that bootstrapping method converges to cornish fisher for category 2 priips products?

Bootstraping method used for category 3 products is in fact used also for category 2 products. but how can we mathematically proove that the first one is suitable for category 2 priips and that it ...
68 views

### Deltas on Barrier options vs Vanilla options

In "Heard on the Street" it states that $$\Delta_{\text{up and out call}} \leq \Delta_{\text{standard call}} \leq \Delta_{\text{down and out call}}$$ Is there an intuitive explanation for why this ...
50 views

### Formula for the discounted payoff of a digital option

In "Heard on the Street" it states that the expected discounted payoff of a digital option is $$H\exp^{-r(T-t)}N(d_2)$$ where $H$ is the payoff of the option, the exponential is the discounting. ...
22 views

### Fama-Macbeth practitioner's step by step guide?

I've been reading the original Fama-Macbeth (1973) paper as well as questions here and elsewhere. I feel like I'm beginning to run in circles and would like to clarify/confirm how FM regression is ...
88 views

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### Pricing of the compound coupon bond with PDE

I am now studying finance math using Steven E.Shereve's book. Using Interest Rate models, We can the price for zero-coupon with maturity price $1$ under Hull-White interest rate model[page 274] and ...
55 views

### Calculate upper bound for put option prices?

I need to know historical option prices for backtesting. The problem is I don't have such historical data. Is there a way to calculate the upper bound for out of money (American) put option selling ...
47 views

### Approximate Asian option price under Heston Model

I am looking to see if there is a formula or a derivation at least of an approximation of an Asian (Average Price) option under the heston model of stochastic volatility. Please advise
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### ADX Graph not clear [migrated]

I have to calculate ADX for a given dataset and then plot it.The dataset consist of a 2-second candlestick of an instrument for a period of 5 days.i have verified the values of ADX from excel and it ...
156 views

### Differencing vs Detrending financial time series

I'm quite newbie to time series analysis and I have to understand what's the difference between differencing time series (i.e considering $Y_t= X_t-X_{t-1}$) and detrending (using linear regression ...
153 views

### Correlation Gold and SPX in BBG

I was always under the impression that gold as a safe haven was more or less inversely correlated to the general market. After using the HRA function in Bloomberg I saw that the correlation is just -...
82 views

### Duration of portfolio equals to zero

I am solving the following problem: Consider a 2000 dollars bond with maturity of 5 years and a half-year coupon of 25 dollars at a nominal interest rate of 8% p.a and a consolidation bond (...
32 views

### Quantlib for Amortizing securitized loans with option for prepayment

I have not had much experience with QuantLib, but from a brief look through the docs it doesn't necessarily seem suited to my task. Consider a mortgage backed loan. There are various options on ...
75 views

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### What is the effect of put call open Interest on price action

how option put call open Interest affects price actions as put sellers feel price when price goes down or call sellers feel pain when price goes up and how this affects price action. ie when price ...