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SRKX's user avatar
SRKX's user avatar
SRKX
  • Member for 13 years, 2 months
  • Last seen more than a week ago
6 votes
Accepted

Why does regression capture differences in volatility?

6 votes

How do you explain the volatility smile in the Black-Scholes framework?

6 votes

Why isn't all market data free?

6 votes

Can social media be applied to algorithmic trading?

6 votes
Accepted

How to perform basic integrations with the Ito integral?

6 votes
Accepted

How to create a Stochastic Process through pre specified points?

6 votes
Accepted

How to apply risk-parity portfolio construction to a dollar-neutral portfolio?

6 votes

Measuring liquidity

6 votes

Formal proof for risk-neutral pricing formula

5 votes

Implementing data-structures in a Limit order book

5 votes
Accepted

How can I simulate portfolio risk (diversification) with a 'Wheel of Fortune' like investment options/returns?

5 votes

Modeling interest rates with correlation

5 votes

How should I include the bid-ask spread as a transaction cost in a backtest?

5 votes
Accepted

Government bonds with negative yield

5 votes

What is the benefit of holding a short option?

5 votes
Accepted

Calculating portfolio allocation beta with different asset classes?

5 votes

What kind of return can an average algorithmic trading firm achieve today?

5 votes
Accepted

How to replicate this option?

5 votes
Accepted

What is the meaning of the discounted process defined from the interest rate process?

5 votes

What sources would you recommend for Real Time Market Data other than Bloomberg/Reuters?

5 votes

Why is the price of a call option with $K=0$ equal to the price of the stock $S_0$?

5 votes

What does it mean to be "long or short in volatility"?

5 votes
Accepted

Can I get Black-Scholes option price from greeks?

5 votes

How to price an option allowing to change a call into a put?

5 votes
Accepted

How to create a synthetic put?

5 votes
Accepted

Is futures contracts data only reported for business days?

4 votes
Accepted

Why don't real-world probabilities affect the price of a call in a 1-step binomial model?

4 votes
Accepted

Does it make sense to use upward and downward volatility in option pricing?

4 votes

How to implement Maximum Diversification in R?

4 votes

Does Modern Portfolio Theory align with EMH?