# All Questions

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75 views

### Sharpe Ratio Graphed Over Time

I looked and could not find a suitable answer to my question already, so: What is the best way to calculate the Sharpe Ratio over time, given I have about a decade's worth of 1-minute candlesticks? I ...
57 views

### sub-Gaussian random variables in financial economics

Unlike financial time series that typically possess fat tails, sub-Gaussian random variables have strong decay in the tails of their distribution. do sub-Gaussian random variables or processes appear ...
18 views

### Difference between alpha and ROI ratios?

Given the intuitive definition of "alpha" as the percentage advantage of a portfolio over its benchmark market, what is the difference between ratio (%) of ROIs and alpha? What I mean by &...
18 views

### Is it possible to compare Forex data to similar random time series to measure how predictable it is?

In relation to my previous question (Who influences Forex prices and by how much?) I have an raw idea how to determine how much is Forex influenced externally and how much is its behavior given by its ...
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### Factor investing and PCA

I'm struggling to understand how Principal Component Analysis (PCA) is used in Factor Models of returns. For example, in the JPMorgan paper (p.19) the authors write: In a multi asset portfolio, factor ...
45 views

### Covariance matrix for historical series w/ different start and end dates

I am trying to compute the variance-covariance matrix of my portfolio composed by some shares of different companies. I would select a time horizon of two years but for some shares of one company I ...
41 views

### Model Validation Aggregation Documentation (Binomial, Hosmer-Lemeshow, Tolerance) - Credit Risk et cetera

I came across some document that says for a PD (Probability of Default) model in order to assess its accuracy you need to first look at the Binomial Test, then the Hosmer-Lemeshow Chi-square test, ...
57 views

35 views

### Term Structure of Corporate Bond

I am looking for some clarity on data for Corporate Bond term structure based on Credit Rating. Let say, I need to get the Term ...
25 views

### Simulating two correlated time series using GBM [duplicate]

My situation is the following: I have two time series TS1 and TS2, whereas TS1 is a stock price. According to literature, TS2 is positively correlated to TS1. Furthermore, since TS1 is a stock price, ...
34 views

### Chinese Stock Exchange Indexes data and descriptive statistics

I am trying to reproduce the following paper: https://link.springer.com/chapter/10.1007%2F11600930_48 In this study, daily prices from January 4, 2001 to December 31, 2004 for Shanghai Stock ...
45 views

### Derivative Pricing of an Asset

The Stochastic Differential Equation that models the change in an asset price is $$dS = (12S-sin(S))dt+\frac{\sigma S}{S^2+1}dX$$ where dX's are random variables drawn from standard normal ...
59 views

### Probability of Default calculation

I am looking for some good resources with handful of workout examples, on the modelling of the Probability of Default under IFRS9...
35 views

### Path dependency for Delta hedge value

This is actually a follow-up questions for the two threads below - value of a delta hedged option: Delta hedge value formula Continuous delta hedge formula My question is that how the drift (mu) ...
31 views

### Comparing curve fits

I am experimenting with building a forward curve. I have a piece of code which constructs my prototype curve. I've got a curve sample which was constructed manually and I use it as the baseline - the &...
45 views

### Escape Dynamics in financial economics or time series

These slides describe escape dynamics to be a type of, or having some relation to, rare event(s). Black swan events in business cycles was also included under the definition of rare events. My guess ...
111 views

### Large deviations theory in finance

In probability theory, the theory of large deviations concerns the asymptotic behavior of remote tails of sequences of probability distributions. A related post says: Large deviations theory is ...
19 views

### How is the following realized-price related quantity called?

Let's say we're given a stock $S$, and let's denote by $S_t$ the market price (the last price at which the stock was traded, generally not equal to the midprice) of stock $S$ at time $t$. Is there a ...
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### Portfolio of American Binary Option and Knockout Option

Assume I have a portfolio where I long an American Perpetual Binary option (that pays 1 if S>=K and 0 otherwise) and I short a knock out barrier option. This ...
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### Is 3-month LIBOR quoted in annual terms?

If 3 month LIBOR is 0.22% and I want to find the interest rate with continuous compounding for 10 days do I multiply my principal by e^(10*r/90) or ...
16 views

### Determine if max profit/loss on group of option legs is unlimited

Say you have a group of option legs for a symbol either for a strategy like a vertical spread or maybe an iron condor. Each with different strikes, expiration dates, etc. Without identifying the type ...
39 views

### Does Fidelity Have a Python Trading API?

I'd like to do my trading through a corporate account at Fidelity, but there does not seem to be a Python api. What I'm looking for is something like this: https://github.com/jmfernandes/robin_stocks
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### How to construct a GBP FVA curve from a USD FVA curve

Our business funds itself in 2 currencies, USD and ZAR. As a consequence we have a USD funding curve. I need to price a GBPZAR cross-currency swap (XIRS) against a counterparty with which we have no ...
79 views

### SABR vs Dupire: when to use what?

I was wondering for which products one would use the (AF)SABR model and for which ones Dupire's Local Volatility model. If I understand correctly, Dupire is by construction Arbitrage-Free but produces ...
103 views

### Who influences Forex prices and by how much?

May question is probably stupid, however I cannot find some reasonable explanation who (and to what extent) is influencing the prices at the Forex market. Most of the stuff I found on the Internet ...
146 views

### The best “risk measure” for an investor who does not want to lose any of his seed money

Question There is an investor who is afraid of losing any of his seed money (initial investment). Variance of investment returns is not a problem to him. He is willing to take variance as long as he ...
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### Why do some market makers have many Market Participant Identifiers (MPIDs)?

I noticed that some (most?) US market making firms have many Market Participant Identifiers (MPIDs). For example, from the list of NASDAQ market participants1: "Jane Street Capital, LLC" ...
13 views

### How should crowdfunding be booked on the income statement, balance sheet, and cashflow statement?

This regards the financial model for a startup. Crowdfunding comes in. Months later a product is released. Using an interconnected 3-statement financial model, how should the crowdfunding be booked in ...

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