# All Questions

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81 views

### Backtesting a stock scoring model

I'm working on a simple stock scoring model consisiting of 3 factors: 1.market cap 2.liquidity of the stock 3.the value at risk we defined 3 intervals for each factor and we assigned the ...
58 views

### Fama French Three Factor

How to calculate the value weighted or equally weighted returns for the six portfolios SL,SM,SH,BL,BM,BH of fama french 3 factor model?
33 views

### Holding Period Return [closed]

Bought stock for $12.00$/share. Sold 3 years later at $20$/share. Paid $1$ dividend each year for 3 years. Stock's value at the end of the first year was $18$ and $15$ at the end of the second. Find ...
42 views

### Smoothing of Implied Volatilty

I'm using ATM 30D implied volatility in a model I'm building, but need to smooth out the data. Is the best way just to use exponential smoothing or are there any better alternatives?
37 views

### Differences Between Portfolio Daily Average Returns

I have a doubt about the average daily return for a 2 stock porfolio. I have the data of both stock returns over a 1511 day period. I used 2 approachs to calculate the average return. In the first one,...
290 views

### Position Sizing Algorithm for Multi Asset Portfolio

I'm currently working on a position sizing algorithm for my trading system. By combining fixed ratio money management and setting the stop loss based on the current ATR value I receive reasonable ...
71 views

### Differential product Correlated processes

I am trying to derive the differential of the product of two processes, but I got stuck. This is what I have until now: We have the following two stochastic processes: $dX_t= \mu_t dt +\sigma_t dW_t$...
554 views

### How to use QuantLib in C# easily?

I am not good at environment setting. Sometimes I use QuantLib in Python. Now I am wondering if there is a instruction on how to use QuantLib in C#. I looked at the QuantLib web page, but there is not ...
838 views

### Calculate Idiosyncratic Risk?

I have basic finance background but I am trying to calculate idiosyncratic risk as measure for firm risk in my CEO gender research. I have found the following on Alpha architect but I am unsure of ...
111 views

### Minimizing variance when searching for Cointegration

This paper by Meucci explains that in order to find a combination leading to cointegration of several series $X$, you have to find the vector $w$ which minimise the quantity $\textrm{Var}(w'X)$. I do ...
86 views

### Understanding Leverage specifically when there is loss [closed]

Leverage helps the trader to trade with more than what is available in the trader's account. Lets say I trade long 10 BTC/USD at 7000 USD using leverage of 1:10 (i.e i deposited 7000 USD). Now if the ...
39 views

### How to interpret the accuracy result of the forecaste?

I'm trying to forecast the vacancy rate of multifamily rental property. I have the data from 1992 until today. I'm trying to fit a model with the serie without the last 2 observations. I only need ...
276 views

### Bermudan Swaptions

Can someone explain, in layman's terms, the mechanics behind Bermudan Swapttions ( without having recourse to pricing models )? Why are they popular? when are they used ? How are they hedged i.e ...
161 views

### Quantlib interpolation question

I am trying to use QuantLib to create some curves, but I am finding this error I do not really know how to get around. Say for simplicity this is the example: ...
74 views

### transaction costs for day trading options

I want to day trade SPY options by buying at the open and closing the position later in the day, but I need to know approximately how far into the money the contract will have to be for me to break ...
26 views

### Factor Models: uncorrelated errors don't impact covariances of assets

This question stems from time series factor models (e.g., CAPM, Fama-French, etc.), but is a broader idea. I am trying to comprehend how adding noise to a time series (e.g., error/residual from a ...
44 views

### Linear programming cash match portfolio - how to formulate?

How would you formulate this linear program in standard form? (ie objective function and constraints). any help would be appreciated. I don't understand how to formulate this without having an ...
611 views

### PRIIPs Stress Scenario

Let me ask you about the following rationale regarding stress scenario (IV Annex 10 (c)): " Identify for each sub interval of length w the historical lognormal returns rt, where t=t0, t1, t2, …, tN. "...
52 views

### Calculate price variance caused by denominating currency

I would like to calculate asset correlations while excluding movements resulting from the denominating currency (as much as possible). My common sense tells me that any two assets with the same ...
322 views

### Asset Swap Spreads

This is John Hull's book Options, Futures and Other Derivatives 9th Page 549 The process of calculating the ...
406 views

### How to calculate the yield of a forward bond price from the zero curve

We want to use the Duration to convert forward price volatility to yield volatility with ...
439 views

I am evaluating the performance of a sample of 1000 mutual funds over the period 2000 to 2017 using Carhart (1997) four factor model. As a way to test for robustness, I use two benchmarks. The CRSP ...
240 views

71 views

### Pricing Debt/Credit/Mortgage+ Prepayment- Literature?

Does someone know some good literature(Papers or Books) regarding the topic how to Price debt/credit with prepayment? I just found literature about the general topic , like how to price callable bonds,...
457 views

### Falling Futures prices positively correlated with interest rates

I'm having trouble understanding how Futures are worth more than Forwards when price and interest rates are positively correlated but both declining. For instance, a Future with losses of -5 at T(n-...
73 views

### Why would a principal 'insist on a name' at the original price

A Dealing Certificate practice question What is a principal doing if he 'insists on a name' at the original price? Answer: He refuses the broker's compensation and demands that the transaction is ...