zuiqo
  • Member for 9 years, 11 months
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Video lectures and presentations on quantitative finance
8 votes

While not strictly quantitative finance, for the first year in the PhD I found this Youtube-Channel extremely helpful: http://www.youtube.com/user/mathematicalmonk I covers almost only math, but ...

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Interpretation of Macaulay Duration
7 votes

Maccauly Duration means nothing else than that after the given amount of years, you will have your capital investment back as nominal amount. If you have \$100 invested, and you have a duration of ...

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Market weights for Black-Litterman
5 votes

For Black-Litterman you need to have weights of the market portfolio, or a close benchmark, where you know the asset allocation. The common approach in practice is to find a large fund with a low ...

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Other means of calibrating Heston models
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5 votes

You can find the derivation of the Heston characteristic function (its Fourier Transform) in Gatheral (2006). Using the characteristic function, you can optimize the model on the prices. There are ...

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How is the Sharpe Ratio presented in fund profiles usually calculated?
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4 votes

Make your pick depending on your market, but make it EXPLICIT. As chrisaycock noted, most companies ignore the riskfree rate, and usually thats fine, Sharpe-ratios are almost exclusively interpreted ...

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Usage of Bollinger bands
4 votes

I have played around with those a bit and my results were mixed. Bollinger bands essentially show you the price relative to rolling window volatility. One interpretation is that if the current price ...

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Resources for finding scholarly research on topics in quantitative finance?
4 votes

SSRN (Social Science Research Network) hosts a vast amount of papers, and the financial research section has, while not specialized in quant finance, a lot of interesting stuff to offer. Here's the ...

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Is drift rate the same as interest rate in risk-neutral random walk when using Monte Carlo for option pricing?
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4 votes

Yes. The risk neutral and the real path share the same volatility, so the difference is in the drift rate, where the risk-neutral path drifts with the risk-free rate r. You may want to check out Paul ...

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Definition of "tenor" argument in QuantLib's Schedule class object
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3 votes

Tenor is just a different term for time to maturity. A schedule is generated from startDate and endDate in combination with a time to maturity and some info on calendar specifics. Here is an example ...

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Get intraday data of SAP with google Finance
3 votes

The data is numbered by order in the date column. Its not a real timestamp, to find the actual time, you need to look at the header, where the exact time where the data starts is noted. For 1 second ...

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Good Model Calibration Books/Papers for Common Option Pricing Models
3 votes

Jim Gatherals Book deals with the models you mention and gives an intuitive understanding about calibration and issues that arise. Mostly basic stuff, but very useful if you're just starting out. Also ...

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Multi-asset class allocation
2 votes

Short Update on the specific way we have chosen: Have a risky and a safe portfolio, and shift assets over time into the safe one to protect liabilities. The safe portfolio is duration matched and ...

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Where can I find US public company bankruptcy data
2 votes

The Harvard Bankrupcy Data Project tries to do exactly that, they seem to have data for the specified time frame, but unfortunately I cannot vouch for its accuracy. http://bdp.law.harvard.edu/...

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What is (High-Low) and (Open-Close) spread?
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2 votes

It's simply the difference between the two values. High-Low gives you an idea about the total price movement over the tick period, Open-Close gives you an indication of the direction of the move. If ...

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Regression giving the return on a stock
2 votes

The basic CAPM - which is what your regression estimates - says $$ R_S = R_f + \beta_S (R_{Market}-R_f) $$ where $$ \beta_S = \frac{Cov(R_M,R_S)}{Var(R_M)} $$ i.e. the return of a certain stock ...

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Stock Returns Distribution in Heston Model
1 votes

Gatheral (Amazon) has a quite extensive discussion on that, and dives into calibration issues. In summary, what you describe appears to be less of a modeling issue, and more of a calibration problem. ...

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The importance of good optimizers in Portfolio Optimization
1 votes

Let me try to give you an overview over the different approaches to optimization, and the specific challenges. You'll see that the problem is more a trade-off continuum than a binary choice. All an ...

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Historical data resources for Indian market
1 votes

Per its help-page yahoo provides adjusted closing prices on a weekly basis. If that is not sufficient, you can always calculate adjusted closing prices using this formula, however, you would need to ...

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Understanding how to calculate tracking error
1 votes

This appears to be the same thing, however, in the former case, the benchmark is the FF-Model. This means you assume the model stated in their eq. 9 is correct (as per your regression), and use the ...

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Determining optimal trading signals (buy/sell) from past data
1 votes

I think what you're trying to do is to construct a portfolio from inside out, i.e. picking stocks based on idiosyncratic factors. I have never heard anyone (within the industry) succeed with this, and,...

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What stock market indicators to model based on twitter feed?
1 votes

I implemented (purely for testing purposes, no real world application) a similar system which was based on Google Trends, where you get data on relative search query volume for a given keyword over ...

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How to get a Quant Job
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1 votes

Mark Joshi has a great collection of tips and interview questions on this topic. Edit: A bit harder to spot, so here it is directly: http://www.markjoshi.com/downloads/advice.pdf

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Using OpenCL video cards to offload Quant Finance calculations, what features should I look for?
1 votes

That depends on your application, obviously. If you intend to run Matlab or Python on a single machine, and you're looking into which graphics card to buy, multiplication vs addition should not matter ...

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I have portfolio volatility for individual years, can I use them to compute portfolio volatiltiy for subperiods?
0 votes

Since you have the weights as well as the price series of your assets, the cleanest way I can think of is to calculate the portfolio price series for your given time frame, and then estimate the ...

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Portfolio risk-return when assets have limited and inconsistent historical data / time series?
0 votes

For a similar case (Introduction of REITs in Germany a few years ago) we looked for a similar asset (in terms of correlation) and used that time series for the portfolio construction. We had only a ...

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Why FX Vanilla Options are quoted in volatility
0 votes

You are referring to implied volatility, more specifically, Black-Scholes implied volatility. The Black-Scholes framework is, even though its extremely simplifying, common knowledge and does not ...

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What is the industry standard Quant Finance modeling library for F#
0 votes

Unfortunately, the most there is seems to be the C++ QuantLib. I am not overly familiar with F#, but i assume there is a way to access C++ libraries. Its documentation is pretty much nonexistent, ...

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