# All Questions

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### CML equation - from where does the square come from?

In his textbook Asset management Andrew Ang uses the following CML formula (chapter 6) E(rm) - rf = y * σ^2 Where y is risk aversion factor What is the source of square? When I look at CML graph there ...
• 13
1 vote
214 views

### Why does cost of borrow have anything to do with the equity forward price?

By non-arbitrage, you buy the stock and hold it to the delivery date of the forward, only cost of funding (of cash) and equity dividend would be involved in the equity forward calculation. Where does ...
• 736
40 views

### Why a Short Iron condor payoff is showing always positive

I created a Short Iron condor on Nifty 50 index European option for 9 Nov weekly expiry on 1 Nov morning 10.30 AM (live market). It's payoff is showing always positive curve. Why ? However when same ...
• 325
37 views

### How are VIX options priced in a mean-reverting framework?

If a trader assumes that the VIX follows a mean-reverting process like the Orstein-Uhlenbeck process, how would they price this non-martingale asset? My intuition tells me a trader would use doob-...
29 views

### A term to compare 2 stocks based on simultaneous trending and ranging characteristics

There a 2 stocks called A and B. We take a look at the daily chart of both stocks over the last 1 year. On 90% of the days A and B both trended or at least one of A or B trended. On 10% of days both ...
86 views

• 208
67 views

### Academic Mailing List Quantitative Finance / Machine Learning

I'm an early-stage researcher in Machine Learning for Finance. I was wondering if there are mailing lists where people post calls for papers, summer schools, conferences, open positions, and so on. ...
• 31
37 views

### Reliability of R Package on Covariance Matrix Shrinkage

I recently used a R package CovTools in R with the command CovEst.2003LW(X), where X is your sample covariance matrix as an input, to compute the shrunk covariance matrix (an estimate that is closest ...
• 559
20 views

### LQD and IG cash spreads

Can someone please tell me the relationship between LQD and IG cash spreads. what's the movement (widen/tighten) of the spreads can tell me about the market, supply and demand
68 views

### Combining many trading strategies in an efficient

I have a lot (>50) of back tested (and naively "validated") trading strategies. They trade different ETFs, mostly equities, but also others (like GLD, USO, ...). These are all strategies ...
1 vote
67 views

• 480
54 views

### Delta hedge call option on short rate

Usually delta hedging an european call option in the black-scholes model is constructed of three assets; a call option, the underlying stock and the risk-free asset often assumed to have constant ...
• 21
46 views

1 vote
30 views

### Seeking a Model to Extrapolate Locate Fees for Short Selling in Absence of Historical Data

I'm in the process of developing an automated stock trading algorithm, with short selling being a significant part of the strategy. A key factor in deciding whether to short a stock is the associated &...
• 33
29 views

### Interpolating FRA curves for MPC dates

I have data for all the "white" FRAs with 3m fixings in a given market, i.e., 1x4 up to 9x12 and all the central back MPC meeting dates over the next twelve months. What is the recommended ...
1 vote
51 views

In chapter 18: Entropy Features, Lopez de Prado discusses how entropy can be used to estimate adverse selection. He suggests a method where order imbalance is mapped to quantiles and entropy is ...
• 11
1 vote
198 views

### Python - yahoo finance options data - volatility smile plot

I have plotted the IV of TSLA options using yahoo options data, but the scatter plot doesn't look right, can anyone advise why the plot looks like this? I would expect to see a vol smile plotted. EDIT ...
• 33
20 views

### Determining an Appropriate Locate Fee Threshold for Short Selling Based on Expected Return

I'm working on an automated stock trading program and often consider short selling as part of my strategy. For each potential short sale, there's an associated "locate fee" that I have to ...
• 33
70 views

### Analyzing the Impact of S&P Volatility Shift on ATM Straddle Sale: Calculating Loss/Gain[black scholes]

Black scholes:The 1-month implied volatility of S& ;P is 16. The slope of the skewness curve is -1 point per 1%; For example, the 99% exercise trades at a premium of 1 vol point. regarding the ...
112 views

### Zero Coupon Bonds for Structured Products

I'd like to find out how to calculate the level of a zero coupon bond that goes into a fully funded structured product. Let's say SocGen or JPM issue a 2Y fully funded structured note (zero coupon + ...
• 23
45 views

### FX FORWARDS Calculating funding cost and wether funding will be expensive or not

Lets say for example my TN for USDHKD point per day spot is -1.9467 and for 1mnth it is -1.4142 and the notional is 100m HKD dollars. Would you say more or less I would be flat in terms of funding ? ...
25 views

### Forward Skew using constant smile rule

IV1 = IV of far month. IV2 - IV of near month. f(1,2) = Forward volatility between the two expiries. dx = difference between Strike volatility and ATMf volatility of IV2 column. As per the method ...
• 21
34 views

### Exponential smoothing - alpha choice with given half-life

I have daily data for a year and I would like to perform exponential smoothing on this data: I want a half-life of 3 months out of 12. What is the formula to find the alpha then? Thanks for your ...
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