New answers tagged

1

In practice, the ETF sponsors have "proxy baskets" that have 30-40 issues they will accept in lieu of a full replicated basket to create or redeem. However, the specific issues in the proxy basket are not publically available and generally only available to "authorized participants" In practice, it is just not reasonable to fully ...


2

Addition The trick here is to break up “ugly” numbers into round ones: 87 + 94 = (87 + 90) + 4 = 181 334 + 567 = (300 + 567) + 34 = 867 + 30 + 4 = 897 + 4 = 901 Subtraction Subtraction questions are similar, but you need to decide when to round up. For example, if the second number’s second digit is bigger than the first number’s second digit, round up: 62 ...


0

I think you can find this information using the Time & Sales information. The bid or ask price will help to ascertain whether the instrument was bought or sold. CBOE has a bunch of API's that you could use for this. https://api.livevol.com/v1/docs/Help#sectionTimeandSales


2

You are right: the "factors" stemming from the literature of CAPM anomalies and the "components" of PCA are not of the same nature as you underlined: factors are meant to have an economic sense (even if you have a factor like "betting against the beta", that are not that clear and have more a behavioral interpretation). whereas ...


Top 50 recent answers are included