FX_NINJA
  • Member for 6 years
  • Last seen more than 2 years ago
1 answers
-1 votes
57 views
Calculate price variance caused by denominating currency
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Here is two ideas that comes to mind: 1.) - Take the derivative of CPI as a % with respect to Wage growth as a % - Take the derivative of PPI as a % with respect to the derivative ((Composite ...

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2 answers
3 votes
660 views
What does implied volatility means for different call and put strike prices?
2 votes

Implied volatility will depend on the price the option is trading at. If more people buy a certain strike than another, or the given option is more difficult to hedge then the implied volatility will ...

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5 answers
11 votes
3k views
Free or Relatively Less Pricey Quant Finance courses online
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4 votes

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 ...

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1 answers
0 votes
61 views
Simulating Co-Integrated Assets
1 votes

I think I just figured it out, and kinda feel dumb. It appears It could be solved by multiplying one time series by the beta co-efficient, and having a random walk model the drift of the beta co-...

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5 answers
11 votes
3k views
Free or Relatively Less Pricey Quant Finance courses online
3 votes

I have a playlist on youtube I made and will continue updating: https://www.youtube.com/watch?v=jXFNpDcYOxM&list=PLqMiStH7exaXmQqV7y-tg68f2ZYZK3Yur

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1 answers
2 votes
82 views
Free Data Sets for VaR calculations
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1 votes

there is lots of data available on the data wiki: What data sources are available online? None the less I would recommend quandl as they have tons of free data. If you just want portfolios maybe try ...

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1 answers
1 votes
117 views
Discrepancy between SPX and SPY call premiums
2 votes

Some Factors in play: (MOST IMPORTANT) Dividend yield, if there was no dividend on SPY call value would go up to about ~0.50 USD Liquidity premium, if two assets are identical in every way except ...

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2 answers
1 votes
120 views
Co integration of diverging time series
1 votes

You would have to inverse them, USD priced in JPY, and EUR priced in USD will almost always be inversely correlated. It is like pricing the SP500 in USD, and comparing it to USD priced in DOW30, It ...

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2 answers
0 votes
289 views
Calculating Expected Return from Historical Data Alone
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Expected returns is easiest so I will start with it. One could do a simple linear regression which would be easy, but would have a large margin for confidence intervals. Just multiply the beta co-...

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2 answers
0 votes
103 views
What kind of indicators would you look in the market preceding a recession/crisis?
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1 votes

A Bit broad of a question, although here are a few ideas: Non Farm Payroll rate of change This is produced by the Bureau of labour statistics, and tracks total employed persons. Ideally one would ...

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1 answers
3 votes
388 views
Should a backtester have ability to run multiple strategies simultaneously?
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3 votes

Well from personal experience backtesting can take as long as several hours depending on the strategy, so it would certainly be helpful to test in parallel in various cases as it can help speed up ...

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3 answers
2 votes
688 views
Stock Exchange Software
1 votes

hmmm, I mad something like this to test market making strategies. I have my code released, if you are interested however the project was made in a day and a half so you may want to improve on it. Here ...

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