Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
20,364 documents
The document recommends Nelson-Siegel and related Diebold-Li models for parameterizing government yield curves. These models describe changing curve shapes, including rising, inverted, flat, and humped forms. Instead of assuming the curve is monotonic or…
Deep bids and asks can serve several purposes beyond immediate execution. Orders near the inside may preserve queue priority, while orders placed far away can potentially capture extreme price moves caused by algorithmic failures or manual entry mistakes.…
The document discusses consolidating options-on-futures data from Reuters and Bloomberg when the vendors may not share a usable identifier. It proposes constructing an internal key from the underlying contract, maturity or expiry date, put or call type, and…
The document addresses which implied volatility to use when converting a quoted option delta into a strike. Its guidance is to use the volatility associated with that particular delta, together with the other inputs required by the option-pricing…
The document distinguishes a pricing kernel, a stochastic discount factor (SDF), and an SDF process. A pricing kernel is described as a time-indexed stochastic process that makes the price-weighted asset value satisfy a conditional martingale relation.…
The document explains how to inspect market data carried in FIX/FAST over UDP. It points to a native C++ decoder based on QuickFAST and describes adapting a sample program to read the captured data. Another option is a Windows FAST codec, with a small…
The document separates two questions in multi-period value-at-risk scaling: when volatility grows with the square root of time, and whether a local Delta-Gamma approximation preserves that behavior. The scaling rule follows when portfolio profit and loss…
The document outlines a proposed workflow for turning monthly ISM manufacturing sector classifications into a time series that can show an individual sector’s underlying trend. Each month, sectors are ordered from strongest growth through neutral conditions…
The document explains why interest rate models often focus on short rates or forward rates rather than introducing a single model for an isolated long rate. The meaning of a long rate depends on the chosen maturity: rates at two, five, or ten years could…
The document evaluates a retirement contract by discounting its contributions and later benefits to the same date. It treats the payments as end-of-year cash flows, calculates the present value of the 40 annual contributions, discounts the retirement…
The document examines why published annualized returns, standard deviations, and Sharpe ratios can be difficult to reproduce. It raises choices that affect the calculation, including sampling frequency, price timing, and simple versus logarithmic returns,…
The document asks how to derive the correlation between the global minimum-variance portfolio and another portfolio on the mean-variance efficient frontier, given their covariance. The answer applies the definition of correlation: divide covariance by the…
The document asks where to find country-level stock market valuation measures, such as CAPE and price-to-earnings ratios, after an earlier source stopped updating. It points readers to two ways to gather comparable information: a regularly updated…
The document explains the intuition behind buying an option when its implied volatility appears lower than a forecast of realized volatility. A long option position has positive gamma: as the underlying rises, its delta increases and a trader can sell some…
The document asks what parameter restrictions apply when estimating EGARCH and GJR-GARCH volatility models, contrasting them with the familiar positivity and stationarity conditions for standard GARCH. It presents the two asymmetric model specifications but…
Financial prices often behave as nonstationary series: their statistical properties can depend on the price level and past observations. Returns, calculated as percentage changes or differences in log prices, are more often treated as stationary. That makes…
CDS index series begin with constituent default swaps set to a five-year tenor. As time passes, the series’ remaining maturity declines, so a contract entered into later has the time left on that series rather than a fresh five-year term. This is the key…
The document distinguishes implied-volatility skew across option strikes from skewness in the underlying asset’s return distribution. It presents model-free implied skewness as a measure connected to realized skewness, and describes research finding a…
The document raises a question about changing from the physical probability measure to a risk-neutral measure for a lognormal asset process. It describes the usual setup in which the market price of risk depends on the asset’s physical drift, risk-free rate,…
The document explains the distinction between Zillow Group's Z and ZG tickers by tracing the company's share-class changes. It describes how the ticker assignments changed when Zillow created Class C shares: Class A stock moved to ZG, while Class C stock…
The document presents a Python workflow for exploring portfolio risk and return from a table of asset returns. It generates random long-only weights that sum to one, estimates annualized portfolio return and volatility from sample means and covariances, and…
The document examines how to quote an FX swap when the near and far legs have different notionals. It presents a proposed shortcut based on net spot exposure and far-leg swap points, then compares it with pricing each leg separately. A worked EUR/USD example…
The document explains why covariance matrices must be symmetric and positive semidefinite. It uses three assets with unit variances and pairwise covariances of minus one as an example: the matrix has a negative eigenvalue, so it cannot describe a valid joint…
The response suggests comparing a volatility forecast from a non-normal GARCH model with the volatility implied by option prices. If the options appear inexpensive relative to the forecast, the proposed position is to buy calls and puts; if the implied…