16
votes
Cheatsheet/summary of financial laws and regulations
Here's a few. The categories are not mutually exclusive (e.g. since most investment advisors are obviously affected by tax and short-selling).
Investment advisors
Investment Advisers Act of 1940
...
- 5,231
11
votes
How do I convert order book data into OHCL( Open,High,Low,close) format?
As Alex C. notes, OHLC bars are meant to be calculated using transaction ticks. However, you could try to make bars from bid/ask individually (or perhaps even the mean of the two as an approximation), ...
- 243
9
votes
Accepted
Inflation effect on FX rates
Edit: adding some references (main body is untouched)
Kenneth Rogoff and Richard Meese received an incredulous reaction to their now-famous paper showing that random-walk (RW) forecasts outperform ...
- 8,143
7
votes
What drives the difference between M1 & M2 money supply (in the US)?
This is in response to the part of your question that asks about M1 versus M2, although it seems you've more or less answered parts of your own question. M1 is the simplest monetary aggregate and ...
- 1,146
6
votes
Accepted
Fama MacBeth cross-sectional Regression
Preliminary
The main result of the Fama-MacBeth procedure is to calculate standard errors that correct for cross-sectional correlation in a panel. It is a commonly used method due to it's easily ...
- 2,906
6
votes
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 ...
- 451
6
votes
Accepted
What does a electronic dealer track in a RFQ market?
Customers dont place limit orders or do they?
No, they don't. In an electronic RFQ market, the requesting participant (presumably the "customer" you are referring to) is generally not ...
- 2,368
5
votes
Convergence of Spot and Futures prices
The trend of convergence is also due to arbitrageurs.
Prior to maturity, when the spot is higher than futures, arbitrageurs would short the underlying asset and long futures contracts. This in ...
- 173
5
votes
Accepted
Assuming perfect liquidity
A trading restriction could mean that you cannot short certain instruments, or that you cannot execute above/below certain volumes. For example in practice you cannot trade fractional numbers of a ...
- 1,739
4
votes
Convergence of Spot and Futures prices
Let’s start with a forward contract on some asset $S_t$ with no carry. There, it is obvious that at any point in time $F_t = \mathbb{E}^{Q_t}[S_T] = S_t e^{r(T-t)}$. You can see that $F_t/S_t = e^{r(...
- 1,886
4
votes
What actually drives a stock price up ou down?
The short answer: many factors. The following are some key ones:
Reported Trades - Stocks are quoted "bid" and "ask" rates. These are the traders setting their prices much similar to a local farmers ...
4
votes
Accepted
Quantitative risk management for energy markets
The book "Managing Energy Risk An Integrated View on Power and Other Energy Markets" by Burger et al. (2014) may be very helpful as it not only introduces the relevant notions, but does so directly ...
- 197
4
votes
Why a probability distribution can be viewed as a price?
I didn't want to pay to download the paper, but the intuitive answer is that if the probability of event X is P, then a binary option on X (with a 0-vs-1 payoff) will have a fair price of FV = E(P).
...
- 5,041
4
votes
Accepted
How is forex market Quote-Driven?
If you use a retail platform, they do not make markets. For example, CMC markets gets the FX rate from liquidity providers like Deutsche Bank, JP Morgan, Barclays, Goldman, UBS, Citibank and HSBC. You ...
- 8,143
3
votes
Accepted
Asian Options Vs Bermudan Options
Asian options are more common in the FX market where corporate hedgers are concerned with the average exchange rate that affects regular streams of foreign denominated revenue.
Bermudan exercise is ...
- 3,595
3
votes
Hull White help needed
On the Monte-Carlo Simulation of the Hull-White Model: You can find the specification of the Euler Scheme simulation in https://ssrn.com/abstract=2737091 . The paper gives the exact Euler step, i.e. ...
- 1,796
3
votes
Fama and French data: Replicating research
Your best shot is really to get WRDS. If you get access you can replicate their research in few minutes (there is SAS code out there).
It's unlikely that you will be given the data for free. That ...
- 8,022
3
votes
Accepted
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 ...
- 9,215
3
votes
Cross Currency Basis Swap
To add to dm63's answer, I think there are a few reasons -
It's worth asking about why a cross-currency basis spread exists in the first place. The standard explanation is demand from (for example) ...
- 5,891
3
votes
Cross Currency Basis Swap
To give a short answer , it is very simple. Market participants cannot actually borrow and lend freely at USD Libor or Euribor. Hence the basis swap cannot easily be arbitraged away.
- 16.6k
3
votes
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Books on financial instruments?
It depends on your knowledge and skills. Any book that attempts to cover a wide range of financial product is most likely not very technical. You should choose a book that suits your purpose. For ...
- 2,255
3
votes
Accepted
Market, Limit and Cancellation orders
https://quant.stackexchange.com/a/41173
sell market orders: 'FILL ASK' (execute outstanding order in full), 'EXECUTE ASK' (execute outstanding order in part), 'TRADE ASK' (execute non-displayed order)...
- 451
3
votes
Accepted
Separate market and limit orders from market depth/tick data
download the data
open Jupyter Notebook
import pandas as pd
data = pd.read_csv('IBM.FullDepth.20140128.csv', parse_dates=[['Date', 'Timestamp']])
data['EventType'].unique()
array(['ADD BID', '...
- 451
3
votes
Extreme Negative Gamma
This is what flow derivatives desks call the "Gamma Hammer" (in the morning huddle) or "pin risk" (more formally).
In the run-up to quarterly expiry, imagine that the dealers as a group have a net ...
- 5,041
3
votes
Accepted
Who influences Forex prices and by how much?
Try the BIS Triennial FX Survey, latest was last year. https://www.bis.org/statistics/rpfx19.htm
E.g. https://stats.bis.org/statx/srs/table/d11.4?o=8:TO1,9:TO1 (table showing "OTC foreign ...
- 2,209
3
votes
What drives the difference between M1 & M2 money supply (in the US)?
Broadly speaking, if something is in M2 and not M1, it's because there's some friction in spending that money, while M1 allows for mostly frictionless transactions.
M1 consists of currency in ...
- 133
3
votes
Accepted
Determine market and ice-berg order types from live trade and quote data
In general you cannot determine this information from the public data feeds- the purpose of Iceberg orders in particular is to be hidden and difficult to detect. Also, there isn't really a ...
- 221
2
votes
Accepted
Where can I find historical data for Europe listed ETFs?
Try the Bloomberg API:
https://www.bloomberg.com/markets/chart/data/1D/IQQF:GR
https://www.bloomberg.com/markets/chart/data/1D/EXW1:QT
https://www.bloomberg.com/markets/chart/data/1D/IQQL:GR
https:...
- 646
2
votes
Accepted
World Stock Markets that went up in 2008
The stock market in Tunisia seems to have gone up during 2008, however one would have to take into account about 5% of inflation.
- 1,096
2
votes
End Dates of Financial Crises
You could always look at published recession indicators, such as the one below.
https://fred.stlouisfed.org/series/USREC
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