All Questions

Filter by
Sorted by
Tagged with
-3
votes
0answers
9 views

Algorithm to find certain patterns in multiple markets (e.g Doji)

Assuming that I exported the daily chart from lets say trading view as .csv format for multiple markets. I want to write an algorithm that generates daily buy and sell signals for multiple markets. ...
-2
votes
0answers
24 views

Reverse REPO. Exposure [closed]

How to determine a current exposure if I have a reverse REPO? https://www.icmagroup.org/Regulatory-Policy-and-Market-Practice/repo-and-collateral-markets/legal-documentation/global-master-repurchase-...
-2
votes
0answers
24 views

Bull/Bear and Trending/Mean reverting [closed]

The market trend can be either bull or bear depending on the direction of the price movement. Also, the price process can be either trending or mean reverting. How does Bull/Bear and Trending/Mean ...
-1
votes
0answers
25 views

project curve spot risk (PV01) into forward risk (PV01)

is there a (simplistic?) formula to convert spot risk PV01 into the forward risk PV01? For example, if I have a a) PV01 spot risk : 1yr = 100k/bp, 2yr = 50k/bp, 3yr = 25k/bp b) how can I project ...
1
vote
1answer
40 views

Arbitrage when discounting and forward computation is done with different curves

I notice that (equity derivatives) trades generally are priced with different forward curve and discounting curve, which clearly lead to arbitrage. Is this arbitrage value too small to be ignored? How ...
0
votes
0answers
21 views

Calculating front month VIX future returns

I'm currently reading a paper* which deals with seperating the volatility of volatility index (VVIX) into a physical measure of volatility of volatility (RVVIX) and a risk premium of v.o.v (VVRP). To ...
0
votes
0answers
20 views

Avellaneda Stoikov: How to arrive at the formula with infinite horizon?

I am reading a paper High-frequency trading in a limit order book by Avellaneda and Stoikov. I cannot verify the reservation prices given in section [2.3]. Do you know how to arrive? Thanks!
0
votes
1answer
35 views

Is it possible to use options to increase the yield of a dividend paying stock?

I was wondering if it is possible to use call options (selling call options) to increase the yield of a dividend-paying stock (that I already own) by 1-2 percent per year? What are the cons of this ...
1
vote
1answer
46 views

Why do we perform change of variable for Black Scholes equation

As an entry level financial engineer, I'm studying the Black Scholes equation, which looks like follows: $${\frac {\partial V}{\partial t}}+{\frac {1}{2}}\sigma ^{2}S^{2}{\frac {\partial ^{2}V}{\...
2
votes
1answer
65 views

Using Implied Volatility for Portfolio Optimization

Hello I am interested in portfolio optimization . Previously I when I have done portfolio optimization I would take the historical returns of a stock and use them to perform a mean variance ...
1
vote
1answer
25 views

Forecasting Volatility using GARCH in Python - Arch Package

Disclaimer: Posted this on stackoverflow, but maybe here should be the right place to ask something about GARCH I'm testing ARCH package to forecast the Variance (Standard Deviation) of two series ...
0
votes
1answer
36 views

Market makers order execution on the order book

If a market maker is required to always have at least one order on a certain side of the order book (buy or sell), if there's no one else in the market and just market makers left on the book, will ...
0
votes
0answers
39 views

Simulation of Heston process Quantlib-Python

I am wondering weather there exists some method such that one can simulate sample paths for the Heston model in Quantlib-Python. I am currently working on a project that require simulations with the ...
2
votes
1answer
53 views

Is there an issue with estimating future returns from autocorrelated returns?

I have a time series $X_t$ generated from a standard GBM $$dS_t = \mu S_t dt + \sigma S_t dW_t$$ If I take the log returns over a rolling window of length $l$ $$r^{(l)}_i = \log \left( \frac{S_i}{...
2
votes
1answer
69 views

Process with negative quadratic variation

Today seems to be question day for me, sorry. The complex process $$ dX = i\sigma dW $$ where $i = \sqrt{-1}$ and $dW$ is a standard (real-valued) Brownian motion will have a negative variance ...
1
vote
1answer
40 views

How do 409a's and market caps compare?

I've found that MarketCap is a quick and decent way to evaluate a public company. For private companies, the best I've found is a 409a. It seems like, in many scenarios, both evaluation methods ...
2
votes
1answer
57 views

Backtest overfitting - in-sample vs out-of-sample

Recently, I read a great paper by De Prado et al. on backtest overfitting problem in Quantitative Finance titled Pseudo-Mathematics and Financial Charlatanism: the Effects of Backtest Overfitting on ...
1
vote
0answers
25 views

How to find the volatility indices corresponding to equity indices?

I have a list of equity indices that I got through Eikon API (with Python). I successfully got their time series but at this point I would need the corresponding implied volatility, which is not ...
3
votes
2answers
100 views

Margrabe option: change of numeraire versus conditioning and numerical integration

I am having a slight brain meltdown because I do not seem to be able to understand the following basic thing. Consider a BS economy, and two assets $X$ and $Y$ $$ dX = \sigma X dW $$ $$ dY = \nu Y dZ ...
0
votes
0answers
22 views

What is the appropriate breakpoints for portfolio sorting (using CRSP stocks) based on size?

I want to sort stocks based on size. I use CRSP database from 1962 to 2018. My question is that in order to create quintiles, what is the appropriate breakpoints? and how can I calculate them? I saw ...
0
votes
1answer
57 views

Forward Contract Price on Zero Coupon Bond

I'm trying to calculate the forward contract on a zero coupon bond where the forward contract matures at t=4. The zero coupon bond matures at t=10 and has a face value of 100. The price of that bond ...
0
votes
1answer
48 views

Where can I find data about Options for Europe (entire dataset)?

I need to get data about the entire dataset (i.e. all) of options for European countries. Where can I do that? For example, if I had to do it for US options, I would just use WRDS (to which I have ...
1
vote
1answer
59 views

Benchmark of a Dollar Neutral Strategy

A dollar neutral strategy invests the same amount of money long and short without accounting for the volatility (risk) of either side. Depending on volatility you either end up positively or ...
1
vote
1answer
83 views

Intuition for consistent Derivative Prices under different Numeraires and Measures

This is essentially the Fundamental Theorem, however I am not asking for a thorough proof, I am more interested in the general intuition. In words, it makes sense that whatever your unit of account (...
0
votes
0answers
11 views

GoogleFinance often returns #N/A and internal error messages while getting stock quotes [migrated]

Anyone know workarounds to make GoogleFinance actually work? It works for a while so it is not a problem with my formulas but then periodically the cells that were showing stock quotes suddenly show "...
2
votes
1answer
99 views

Steven Shreve: Stochastic Calculus and Finance

The lecture notes have the following theorem: Let $\theta\in \mathbb{R}$ be given and $B(t)$ stands for the Brownian motion which is a martingale, then $Z(t)=exp\{-\theta B(t)-\dfrac{1}{2}\theta^2t\}$...
0
votes
0answers
24 views

Hedging Strategy for European Call Option (Single period Binomial Model)

I am hoping to gain some insight to an exercise from my undergraduate Mathematics of Finance class. (This is my first course ever in finance, so bear with me.) The exercise is: Consider a single ...
0
votes
0answers
35 views

How can I approximate Dollar Bars from Minute Data instead of Tick Data?

Having been influenced by de Prado's Advances in Machine learning book, I've set out to build the dollar bars (in which each bar represents a set dollar amount of transactions in the security) that he ...
0
votes
1answer
40 views

Fixes of quadratic utility when probability of decreasing utility is large

In finance and specifically portfolio theory, a popular utility function is quadratic utility $$ u(x)=x-\frac{\lambda}{2}(x-\mu_X)^2 $$ where $x$ is wealth and $\lambda$ is the parameter of risk ...
1
vote
1answer
78 views

Eonia swap calculation of floating rate

I'm new to swaps, I've a question about how to calculate the floating rate of an EONIA Swap from market quotation, so that we can keep an eye on the evaluation of our contract Market Value, DV01, etc.....
1
vote
1answer
60 views

Why do I get this difference when simulating geometric Brownian motion?

I tried simulating GBM using both the SDE definition and the closed form solution. The paths I get through these methods are very different. Can someone help me figure my mistake? ...
0
votes
1answer
46 views

How to calculate Money-weighted Rate of Return when there are multiple negative cash flows during investment period?

I know that when there are multiple changes of sign in the sequence of cash flows of a project, the project may have multiple IRR, which render this criterion impractical. Therefore, in such ...
0
votes
0answers
13 views

What is the formula that considers periodic (week/fortnightly/monthly) repayments

I am writing some code that can take in variables such as loan amount,payment freq (weekly, fortnightly, monthly),...
1
vote
0answers
33 views

Information asymmetry models

I am searching for some textbook in financial mathematics that presents information asymmetry models (maybe more advanced models), so as to make some practice. Does anbody know such a book?
0
votes
1answer
78 views

What is the SDE of this equation? [closed]

I am new and struggling to understand how to solve this using Ito lemma. Can someone please explain it to me: $$dS_t=-\frac{1}{2}\sigma^2 S_t dW_t$$ what is the solution with explanation please
2
votes
1answer
81 views

Why are some currency pairs more volatile than others?

Why for example GBP/JPY is twice volatile as USD/JPY ? ... and many more cases involving other major forex pairs here: full list. thanks in advance!
2
votes
1answer
147 views

Question on Realized Vol vs Implied Vol

I have heard the following argument- barring transaction fees, if my estimation of future realized vol is 30% and 1-month ATM implied vol is 20%, then I could potentially buy a 1-month ATM call/put ...
0
votes
0answers
33 views

Help with R normalization function [closed]

after reading the paper "Custom v. standardized risk models" (Kakushadze, Zura; Liew, Jim Kyung-Soo (2015)) I tried to understand the R functions they provided at the end (eg: Appendix A) and the very ...
1
vote
1answer
77 views

To use daily volatility or annual volatility

From Joshi's Quant Interviews books: The statistics department from our tell you that the stock price has followed a mean reversion process for the last 10 years, with annual volatility 10% and ...
0
votes
0answers
35 views

Pricing Autocallable Structured Products using Finite Difference Method [closed]

I am trying to price autocallable structured products, with single underlying asset and discrete call dates. I am stuck by the boundary condition when the underlying asset price $S$ hits the call ...
0
votes
0answers
40 views

Robust Sharpe ratio

The denominator of the Sharpe ratio is sample portfolio volatility, $\sigma_p$, which is the square root of portfolio variance based on the quadratic squared loss, L2. Alternatives for the denominator ...
2
votes
0answers
58 views

Realistic Modeling of Capacity in Backtesting a trading strategy

Typically the backtest of a quantitative trading strategy assumes a fixed period and fixed capital at the start to backtest a strategy. However, each strategy has a capacity (due to non-linear trading ...
1
vote
0answers
41 views

How to derive the CAPM from maximizing the Sharpe ratio?

I know how to derive at the CAPM from a microeconomic foundation. In a recent University course I stumbled over a slide that derived the CAPM solely from the Sharpe ratio: I cant come up with that ...
0
votes
0answers
28 views

Finding stock symbols for alpha vantage api

So i just made my first program in Python wich reads stock symbols in excel. I tried going to "data" in excel and importing a text file with symbols and company names and some other stuff as well but ...
0
votes
0answers
32 views

Benchmark for fund in Fama French 3 factor setting

I found this question during my preparation for an exam. It looks easy, but I am not quite sure how to answer it. Consider a fund A with following factor exposures $\beta_{M}=0.8$, $\beta_{SMB}=0.4$,...
0
votes
2answers
67 views

Proof European call price is always less than stock price. (proof verification)

Let $C_K(t,T)$ be the value of a European call with strike $K$ and maturity $T$ on a stock with value $S_t$ at time $t$. Then for all $t\leq T$ we have $$C_K(t,T)\leq S_t.$$ $\textbf{Proof}$: We ...
0
votes
0answers
42 views

Fama French Question(China) [closed]

I am from china, I can't use USA factors for SMB,HML,WHL....directly from website, my question is how can I calculate these kind of factors? for example, SMB. is it very difficult? any example code ...
0
votes
2answers
69 views

How and why is there a restriction on short sales?

I'm taking a course on the fundamentals of financial mathematics. This is my first quantitative finance course, so I'm still getting acquainted with a lot of the ideas. We covered the notion of a ...
0
votes
0answers
33 views

Macro momentum analysis

I am conducting macro momentum analysis. In this, first I rank countries based on each macroeconomic indicator such as GDP, inflation, monetary policy etc. After this according to each indicator rank, ...
0
votes
0answers
23 views

How to approximate expectation and variance of an integral from a discrete Time series financial dataset?

I have discrete time series financial data, with time($u$), price($S$) and someVariable($q$) which looks something like this. ...

15 30 50 per page