15 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 ...
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  • 5,062
9 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), ...
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8 votes
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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 ...
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  • 4,798
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 ...
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  • 846
6 votes
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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 ...
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  • 1,636
5 votes
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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 ...
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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 ...
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  • 173
5 votes
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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 ...
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  • 2,996
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(...
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  • 1,856
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 ...
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4 votes
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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 ...
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  • 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). ...
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  • 4,926
4 votes
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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 ...
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  • 4,798
3 votes
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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 ...
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  • 3,365
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. ...
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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 ...
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  • 6,810
3 votes
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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 ...
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  • 8,079
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) ...
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  • 5,628
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.
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  • 14.1k
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 ...
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  • 2,255
3 votes
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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)...
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3 votes
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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', '...
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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 ...
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  • 4,926
3 votes
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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 ...
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  • 2,101
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 ...
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  • 133
3 votes
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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 ...
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2 votes
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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:...
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2 votes
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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.
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  • 1,048
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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  • 301
2 votes

Hull White help needed

1) the latter one. r is modeled short rate (specific to hull white 1 & 2). 2) r is calculated by solving the SDE of the above mentioned model. You can refer to this document for detailed ...
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  • 609

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