# All Questions

18,012 questions
Filter by
Sorted by
Tagged with
500 views

### What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger?

I'm investigating a situation where the chance for gain or loss is the same, but the amount gained is greater than the amount that is lost. For example, the gain would be about 30% of the trade ...
957 views

### One dimensional analog of cleansing a correlation matrix via random matrix theory

The general idea of cleansing a correlation matrix via random matrix theory is to compare its eigenvalues to that of a random one to see which parts of it are beyond normal randomness. These are then ...
204 views

### Can a higher P/E ratio be beneficial under certain circumstances? [closed]

I am new to investing. I understand that the P/E ratio along with other data can be used to determine whether a stock may or may not be undervalued. Are there situations where a HIGH P/E is actually ...
1k views

### Can you fully hedge an option in the presence of counterparty risk?

The derivation of the Black-Scholes model assumes no counterparty risk. Does the presence of counterparty risk invalidate the argument behind the model? EDIT: The question is about options in general,...
3k views

### How do different methods and techniques used in pairs trading compare?

I was going through the paper of Avellaneda (2008) on stat arb and I found it interesting that he uses asset returns vs. their respective ETFs to compute the s-score. I am wondering if anyone has ...
3k views

### Is equity market making a game of speed?

I have always felt that equity market making was a speed game for HFTs. But recently I talked to someone on the buy side, who made a claim to the contrary. He argued that with the right market making ...
2k views

### How can higher co-moments be applied to portfolio optimization in an asset allocation context?

Traditional portfolio optimization involves mean variance optimization, where only the mean and covariance matrix of returns are estimated. What asset allocation and portfolio optimization techniques ...
970 views

### How to account for jumps in intraday data when calculating beta?

I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling $$Y = \beta * X + c$$ where $Y$ is the return of XLF ...
4k views

### Why do expected return models and risk models use different factors?

This is a question responding to weekly topic challenge. I happen to see an interesting question from SYMMYS by Michael Kapler. I always approached expected return and risk modeling as separate ...
5k views

### How do you mix quantitative asset allocation with qualitative views?

Usually in asset allocation you have a quantitative approach (which can be from example mean-variance), but you (or you and your firm) also have a more qualitative approach given market-conditions, ...
182 views

### Are there quantitative models which can guide one's choice of target risk?

Note: This question was written for the weekly topic challenge. Many asset allocation funds presume the investor knows his target risk level, typically on some spectrum from conservative (mostly G7 ...
1k views

614 views

### How to create a Stochastic Process through pre specified points?

I want to create a random (quasi random) process which goes through pre determined points and constraints. E.g. I have a daily price series but want to generate intra-day prices with the same OHLC ...
5k views

### How to interpolate gaps in a time series using closely related time series?

I am trying to construct a daily time series of prices and returns for some large universe of securities. However, all I have available are a monthly time series of the prices/returns (as well as ...
2k views

### Can momentum strategies be quantitative in nature?

I have read some papers on quantitative trading strategies and it seems like strategies that focus on mean reversion or statistical arbitrage give signals that are dependent on some quantitative model....
707 views

### What tools and libraries may be used to model limit/stop systematic trading?

A lot of the tools/libraries out there seem to focus on close to close time series analysis. This is all fine but I typically do not trade close to close, I will use limit or stop orders that may or ...
445 views

### What are some quantitative method behind etf vs cash arbitrage?

Has there been any studies done on the correlation between etf vs cash (i.e. GLD vs GD) for example and how they should theoretically move together, and what fundamental reasons could cause them to ...

15 30 50 per page