# All Questions

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22 views

### Where to find the components of an index and how to replicate it by subset selection?

I am interested in replicating the performance of the eurostoxx 50 index using different statistical methods. That's what ETFs do, right? How to replicate an index using subset selection? I think I ...
86 views

### Algorithmic Trading Competition at MIT

Has anyone participated in MIT trading competition before(traders@mit)? Wondering what type of data are used-tick data or bar data-and are participants connected to a web socket? Are we allowed to ...
44 views

### Strictly increasing asset price under a risk-neutral probability measure?

I am reading a paper on option pricing under jump processes in continuous time. There is a section labeled examples where the authors work under a risk neutral probability measure and derive option ...
28 views

### Clusters evolution over time

I have a dataset of stock prices and I want to group stocks that share similar characteristics together using cluster analysis. I'm interested in following the evolution of each cluster over time, but ...
33 views

### Turning a spread always-positive for profit calculations?

I have a strange problem. I am running a backtest on a strategy whose signal is based on a spread. Naturally, a spread can go negative or positive. If I try to calculate the log return of a difference ...
45 views

### Expected Yield to Maturity & Default Risk Premium

For a corporate bond, which natuarally has a default risk, the expected yield to maturity (EYTM) is defined as the probability-weighted average of all possible yields. Hence, for a 10-year zero-...
36 views

### How long a time horizon should be for verifying the effectiveness of an investment strategy?

Question To verify the effectiveness of a certain asset allocation strategy, how long a time horizon should be? Is there any academic paper regarding this topic? Question in more detial I know ...
76 views

### Interest rates compounded monthly [closed]

Suppose the quoted APR is $r_0 = x-1$ and interest is compounded monthly; Am I correct in saying the formula for the monthly interest rate $r$ is: $$r = (1+ (\frac{r_0}{m}))^m -1$$ Is it also ...
60 views

### As a market maker, how to prevent short selling on a specific stock with many broker accounts?

Consider a scenario that a market maker placing orders through many brokers. Each broker allows short selling, but the exchange forbids it. How does the market maker ensure that the overall position ...
73 views

### Historical data for total market capitalization

I'm working on a data analytics certificate and need historical data on the total market capitalization for the US for a course project. Can anyone suggest a source? Thanks!
26 views

### Positive carry with negative yielding bonds when repo is negative

Could someone please explain to me how positive carry is achieved when the repo rate is negative? For example I can see the German repo rate is -0.57% and the 2 year German bund is -0.78%. So to ...
61 views

### FX TARF hedging (target redemption forward)

Lets say client is buying from you eurusd tarf strike 1,16 sell eur buy usd notional per fixing 500k usd leverage 2 first expiry 1 month from now, 12 fixings in total (monthly) full final payout ...
41 views

### Which Python or C# backtesting framework supports multi-asset?

Is there any backtesting framework written in C# or Python that supports multiple assets? I'm trying to backtest a pair trading strategy that requires to
51 views

### Displaced diffusion LMM

In the standard LMM a rate $L_i(t)=L(t,T_{i-1},T_i)$ has under the $T_n$-forward measure ($n>i$) the dynamics d{L_i}(t) = - {\sigma _i}(t){L_i}(t)\sum\limits_{j = i + 1}^n {\frac{{...
34 views

### Change of numeraire/probability when asset pays dividends

So I was looking at Margrabe's formula for exchange call options in the book 'Mathematical Methods for Financial Markets' (Jeanblanc, Chesney, Yor), and I was having trouble justifying their change of ...
40 views

### Are BARRA's Multiple-Factor Risk models rational asset pricing models?

Barra's Multiple-Factor Models for risk (e.g. USE3, USE4, CNE5) are much like those models used in empirical asset pricing studies such as CAPM, Fama-French three-factor model and others. I'm not ...
45 views

### Option arbitrage on two correlated or cointegrated underlying assets

If two indices are highly cointegrated, does it allow for some set of statistical arbitrage strategies for european options for which those indices are single underlyings ? Does answer change if ...
41 views

### Perfect Negative Correlation - Returns and Risk

In the famous article of Sharpe "Capital Asset Prices: A theory of market equilibrium Under conditions of risk", he studies the behaviour of allocation between an asset $i$ and an efficient ...
21 views

### What is the best method to factoring/calculating pre and post event volatility? Such as for company earnings

What is the best method to factoring/calculating pre and post event volatility? Such as for company earnings.
16 views

### How can I download quarterly fundamentals of listed companies for the last 10 years+ using Python without charge? [duplicate]

There is a package in Python called yfinance which allows me to download the fundamentals of listed companies from yahoo for the last 5 years (Annual). However I would like to have data over a longer ...
29 views

### Short Interest for CBOE

Does anyone know why websites (yahoo finance, morningstar etc) do not show short-interest for CBOE after Sept 14th 2018?
36 views

### Is my derivation of Black-Scholes equation correct or am I missing something (eg assumption)?

Question: The following is my derivation of the Black-Scholes equation. Is it correct or am I missing some details (eg assumption)? Let $V$ be value of an option. Suppose value $\Pi$ of a portfolio ...
30 views

### Markovian short rate in HJM framework

In Bjork it is proven in proposition 20.5 that a forward rate dynamics: $$f(t,T) = f(0,T) + \int_0^t\alpha(s,T)ds + \int_0^t\sigma(s,T)dW(s)$$ imply a dynamics for the ...
15 views

### Applications of a calibrated price or IV surface and other basic questions

Newbie here with basic questions. I have researched the topic online, but am still at a loss. I went through a nice course on calibration, saw how to apply stochastic short rate, stochastic vol, jump ...
19 views

### American Option - Early exercise risk management

This is for American Option Book Management in real trading. Let`s suppose, American Option seller(Book manager) only do delta hedging, which means seller cannot do Vega hedging, American Option ...
25 views

### What MIPS (Municipal Inflation Protected Securities) are out there besides the two DFA ones?

DFA has DMREX AND DCARX. Are there others? I'm specially looking for high quality, medium or long duration MIPS but a list of anything would help.
42 views

### Currency exchange rate

I'm working with monthly data and I need to use FX rate in my model. I have daily data for exchange rate and not sure how to average it over the month. Should I compute simple arithmetic average over ...
13 views

### How to compute reference share price and reference volatility in CreditGrade?

I'm trying to implement CreditGrade in python, from the msci Technical Notes (https://www.msci.com/documents/10199/dd31bcce-6fe3-47b7-9fb7-10c4c8f750ba) but I'm running into some comprehension trouble ...
35 views

### How can I estimate a dynamic GARCH model using a Kalman filter methodology in R or MATLAB?

Does anyone know of any R or MATLAB packages for estimating GARCH models using Kalman filtering or any other state-space methodology? I would like to estimate a GARCH so that not only the variance, ...