36 votes
Accepted

Have Goldman Sachs Quantitative Strategies Research Notes been published as a book or a comprehensive collection?

Many of them are on my website at emanuelderman.com. Others I probably have anyway. Feel free to email me
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19 votes

Black Scholes differential

In general, you won't be able to replicate the option by a portfolio of the form $\Delta_t S_t + B_t$, though it is possible to do so with a portfolio of the form $\Delta_t^1 S_t + \Delta_t^2B_t$; see ...
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  • 20.4k
13 votes

Theoretical limits for contango and backwardation

This is a basic fact about futures trading and the storage of commodities. The phrase that was used by futures traders in the old days (and probably still today) was "the contango is limited by the ...
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  • 9,077
11 votes

Have Goldman Sachs Quantitative Strategies Research Notes been published as a book or a comprehensive collection?

I had read some of them; actually, it does not exist an on-line library that collected them (or, better, it existed here, but it seems the website does not work anymore). I reported here below some ...
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  • 2,438
11 votes

Quantitative Finance Programming Language

I think you might find this answer in The future language of quant programming? useful. People get this problem wrong because they always end up discussing the theoretical advantages of these ...
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  • 5,062
8 votes
Accepted

What are the main market anomalies/inefficiencies detected in quantitative finance?

The best overview I have seen so far is this paper which lists 214 (!) factors (or anomalies if you like) on over one hundred (!) pages: Harvey, Campbell R. and Liu, Yan and Zhu, Caroline, …and the ...
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  • 26.7k
7 votes

Where can I find detailed information of famous quant companies such as Renaissance Technologies?

Most RIAs have to file a Form ADV, through which some information is publicly available via SEC's website. Further, large RIAs are sometimes involved in high profile civil lawsuits through which ...
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  • 1,616
6 votes

Where can I find answers to questions in the book "Paul Wilmott Introduces Quantitative Finance"?

You can find the answers here: http://www.wiley.com/legacy/wileychi/pwiqf2/degree.html
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  • 26.7k
6 votes

Stochastic Calculus in Quantitative analysis

For a basic introduction, the three chapters in Hull's Options, Futures, and Other Derivatives on Binomial Trees, Wiener Processes and Ito's Lemma, and The Black-Scholes-Merton Model helped me start ...
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6 votes
Accepted

Algorithmic Trading: Python vs SQL

Python has lots of excellent libraries to compute Technical indicators for you, ta and ta-lib are great. These libraries have ...
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5 votes

Quantitative Finance Programming Language

Unfortunately, there is no correct answer for this question, it's like what car you should drive on your weekend. C++ is a popular language in quantitative finance, but it's usually (but not always!) ...
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  • 2,255
5 votes

What are the main market anomalies/inefficiencies detected in quantitative finance?

You have started a huge job, an enormous number of anomalies have been reported. The web site quantpedia.com has a list, here for example is their writeup on momentum effect in stocks
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  • 9,347
5 votes

Quantum Mechanics and Economics... What

I have had a read through the paper that you quoted and have the following comments which you might find helpful: (I am formally trained in QM, so hopefully there shouldn't be any errors in the ...
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  • 1,359
5 votes

Method to combine trading signals to achieve higher sharpe

There is no guarantee you can improve the Sharpe in this case, depending on the correlation of the returns streams. For the two asset case (you can model your strategies as assets and take a linear ...
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5 votes

Backtesting with fundamentals

Quantopian provides both the fundamental data (from Morningstar), as well as the backtest platform to reproduce results from the books you mentioned. Here's the introduction to our fundamentals ...
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  • 326
5 votes

Quantum Computing for Quantitative Finance

Try Quantum for Quants, which has contributions from people working actively in quantum computing, and some small scale examples solved on the D-Wave Systems Quantum Annealer. The picture below is ...
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5 votes

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 ...
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  • 5,062
5 votes
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Mark Joshi Quantitative finance numerical techiniques, writting an algorithm that produces a random variable

Yes. Mark Joshi's book is a good preparation. For this question you are given some function random() yielding a uniform random number and what we want is a function next() which yields realizations ...
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  • 164
5 votes
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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. ...
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  • 448
5 votes
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Who trades exchange options in practice (Margrabe's formula)?

Yes, you can say they are traded on listed options, but only for a few limited markets, and not that liquid relative to options on a single asset. For instance, the commodity futures space, there ...
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  • 782
5 votes

Differencing vs Detrending financial time series

Hi: It depends on what the DGP of the original process is. Is the process trend stationary or difference stationary ? If it's trend stationary then de-trending is the way to go. If it's difference ...
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  • 1,017
5 votes

Curve fitting under different regions and stitching

I hope I understood you correctly and that the following thoughts help you a bit. Reference point: Univariate curve fitting using splines With a univariate function $f(x)$ you can perform 1D spline ...
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  • 5,378
5 votes

Reflection principle of the Brownian motion

I'll only show it for $M_T = \max_{u\leq T} B_u$ and $(x,h)$-domain $$ \{ h> 0, h > x \}. $$ By the reflection principle we have: $$ P\left( B_T < x, M_T > h \right) = P\left( 2h - B_T &...
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  • 4,963
4 votes
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Learn backtesting using MATLAB

The general idea For equity securities, a simple backtest will typically consist of two steps: Computation of the portfolio return resulting from your portfolio formation rule (or trading strategy) ...
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4 votes

Why Central Bank carry out Qe when they can directly force banks to lower down the interest rate?

There is not a single 'interest-rate' to reduce, there are various interest rates in play. The central bank mandate is usually to control CPI or a similar measure of inflation (e.g. Bank of England's ...
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  • 3,589
4 votes
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Free or Relatively Less Pricey Quant Finance courses online

Just an update on my playlist, It has 33 videos now, roughly 3x more vids. I have included some more general economics and machine learning and programming vids, which have relevant applications in Q ...
4 votes
Accepted

What is time-varying risk premium? Forecasting stock returns

Another way of staying "time-varying risk-premium", is saying that the risk-premium is predictable. However, that the fact that the risk-premium is predictable does not means that you can make money ...
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  • 6,675
4 votes
Accepted

Barrier Option from binomial tree

I'm assuming you're talking about a European option. I did a similar problem for my homework recently, I used the in-out parity for pricing the up and in barrier option. Basically European Option = ...
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  • 186
4 votes

Carry vs Roll-Down on a zero-coupon IRS

(This is my opinion; someone is likely to disagee). I like to think of the carry as the predictable part (e.g. the coupon that accrues daily) and the rolldown as the stochastic part (the curves moved ...
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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 ...
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