# Tag Info

## Hot answers tagged quantitative

### 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 ...
• 21.2k
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 ...

### 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 ...
• 2,518
Accepted

### Explanation for Different Piecewise Yield Term Structures from QuantLib Python

When you bootstrap a curve, you get discount factors/zero rates for the maturities of the instruments you supplied. So in practice, you get points, and not a "curve". After you have built ...
• 5,835

### Probability of success given expected return and volatility

It's probably a simple textbook example to illustrate Taleb's point. Suppose $\text{d}S_t=\mu S_t \text{d}t+\sigma S_t \text{d}W_t$ with $\mu=0.15$ and $\sigma=0.1$. By Itô's lemma, the log return ...
• 16k
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
Accepted

### 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 ...
• 164

### 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 ...
• 1,399

### 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 ...

### 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
Accepted

### 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 ...
• 792

### 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 ...
• 1,140

### 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 ...
• 6,772

### 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 &...
• 5,043
Accepted

### 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 ...
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 = ...
• 196

### 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 ...
• 12.5k
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

### Algorithmic Trading: Python vs SQL

You said you're developing an algorithmic trading system. First, I'd suggest maybe consider an off-the-shelf product that will let you do some trading without ...
• 141
Accepted

• 732
Accepted

### Disadvantages of large panel

In general, more data is better than less data. On the topic of your specific scenario, you want to cluster by date or use some other procedure to produce consistent standard errors in the presence ...
• 6,974