# Tag Info

Accepted

### Determine the right order size with market making strategy

"I need to get an algo or a formula to determine to right quantity to trade each time I place the pair (limit_buy_order, limit_sell_order)." Actually, you need a formula for determination of the ...
Accepted

### CAPM and factor modeling: Machine learning

1) In an academic sense could it be enough to use ML to create a new factor portfolio? The original FF papers (92,93) said something deep because they contradicted the dominant theory of the day. ...
• 468
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• 21.2k

### Step by Step Guide to Learn Quantitative Finance

This thread will inevitably close because it doesn't meet community guidelines, but I respect your passion in this field and my best suggestion for you is that if you're trying to emulate a MFE ...
• 5,240

### bank issuing structured products

The specific quote you reference from the article is from a section explaining why/how the current environment came to be. Note that 'current environment' in the context of this article is almost 16 ...
• 4,348
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### continuously compound forward rate formula

In the simple case, you have as per first equation on your last slide: $\frac{P(t,T_0)}{P(t,T)}=1+\delta F(t,T_0, T)$ The continuous time equivalent, assuming constant piecewise rate, as per your ...

• 5,672
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### eurodollar future

all (STIR) short term interest rate futures are cash settled [see comment, STIR in this context is -IBOR futures which are the most common in the largest markets] If a party sells 5 contracts at a ...
• 10.8k
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### How to prove we have a $\mathbb{Q}$-Brownian motion?

You basically need to show ii') and iii'), as they automatically imply ii) and iii). Note that, since \begin{align*} \frac{dQ}{dP}\big|_T = \exp\Big(-\gamma W_T - \frac{1}{2} \gamma^2 T\Big), \end{...
• 21.2k

### Where can I find ideas for strategies?

There are lots of different sources out there where you can find various quantitative strategies. Usually, different blog aggregators like https://www.r-bloggers.com post on their websites ...
• 1,850

### What model to price interest rate option if we have views on trend of forward interest rate?

Interest rate options should be priced with risk neutral methods regardless of your opinion of interest rate trends. If you have a view on interest rates, you can express it by taking a delta ...
• 17.2k

### What's the interpretation of the probability of default implied from CDS spreads?

CDS quotes are observable. But none of: probabilities of default, hazard rates, loss given default/recovery, etc are observable. To get some kind of (risk-neutral) probabilities of default, many ...
• 12.5k
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### Show that there exists a fully invested portfolio such that the covariance between their returns is zero

There is a procedure for finding $T^*$ starting from the portfolio $T$ on the efficient frontier, such that $cov(T^*,T)=0$: From the point $T$ draw a line thorough the point $C$ (which represents the ...
• 9,382
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• 21.2k
1 vote

### Utility functions, are they used in the real world by hedge funds, banks, etc?

Utility functions are used all the times in systematic hedge funds/systematic trading desks to perform portfolio optimization. If you are still not convinced here's a nice little one: Say you and I ...
• 2,187
1 vote
Accepted

### How to Calculate Stock Return with Stock Bonuses and Rights?

Here are some possible approaches: https://www.theice.com/publicdocs/futures/Ratio_Method.pdf https://financial.thomsonreuters.com/content/dam/openweb/documents/pdf/financial/corporate-actions-...

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