5 votes
Accepted

What is the purpose of a floating interest rate leg on an autocallable equity swap transaction?

The swap part is very similar to a vanilla interest rate swap, where typically fixed payments are swapped for float payments between two counterparties. With an IRS, the fixed leg is priced such that ...
AKdemy's user avatar
  • 9,079
3 votes

How do I measure the "dispersions" of a group of stock returns

Arguably there is not a single, objective measure that quantifies how much assets disperse over time. There are multiple that I've come and they all require some form of creativity and subjectivity (e....
oronimbus's user avatar
  • 1,901
2 votes
Accepted

How to calculate holding period return of a long-short strategy?

The generic way to compute such returns is to multiply the asset returns over a specific period with the weights at the start of that period. For a short position, the weight is negative. If you do ...
Enrico Schumann's user avatar
2 votes

Is it possible to exchange one stock for another without cash as an intermediary?

Your second and third question seem quite unrelated to your text and the first question. It's also not really clear to me what you're after here. Regarding your first question, two reasons are: This ...
Bob Jansen's user avatar
  • 8,543
1 vote
Accepted

In which context do hedge funds use the Gauss Markov Theorem?

Yet in this experiment nothing is random since the stock prices everyone have the same when training the model, so I am really confused in which kind of experiment we want the properties of the OLS? ...
Richard Hardy's user avatar
1 vote

Average correlations of stock returns

I suppose there will be "4 variations" in your correlation matrix then, and even within each of these variations, there are different versions. For example, in case (1.), there could be ...
KaiSqDist's user avatar
  • 785

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