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 discussion distinguishes margin approaches for uncleared over-the-counter derivatives from those used by central counterparties. It identifies ISDA’s Standard Initial Margin Model (SIMM) as a common methodology for calculating initial margin on uncleared…
The discussion asks whether a determinant such as the ratio of fixed assets to total assets can serve as a measure of bank liquidity risk when studying bank performance. The answer cautions against treating an explanatory proxy as the risk itself. It argues…
The document derives the probability that a zero-strike spread put finishes in the money. Its payoff is positive when the second asset’s terminal forward price exceeds the first asset’s. Assuming both forwards are lognormally distributed, their log-price…
The document examines Monte Carlo estimation of a European call’s delta under the Heston stochastic-volatility model. Its central correction is that the Malliavin weight should use the Brownian component driving the stock that is orthogonal to the…
The document explains why a distressed bond’s market price is not captured by simply discounting its promised payments at a risk-free rate or adding a credit spread. A more complete valuation separates coupon and principal cash flows received if the issuer…
The discussion clarifies how to calculate expected utility when utility is the logarithm of wealth. If wealth is certain and remains at its initial value, utility is a constant, so its expectation is simply the logarithm of that wealth. An initial wealth…
The discussion addresses the futures–forward price difference when interest rates and the underlying price move together. It attributes the difference to daily futures settlement: gains and losses arrive over time and can be reinvested or financed at rates…
The discussion explains that VaR and CVaR can be calculated repeatedly to track portfolio risk over time. It distinguishes the risk measure itself, which is computed from a return or loss distribution, from time-series methods that may be used to estimate…
The document asks how to translate a Matlab yield curve bootstrap into Python for multiple currencies using three-month futures. An answer proposes QuantLib, outlining a workflow that sets curve dates and market quotes, applies a time-dependent convexity…
The document proposes simulating equity prices under a constant elasticity of variance model, then pricing European and American options across strikes and maturities. It asks whether implied volatilities inferred from those prices would form the same…
The document explains how to convert an annual risk-free rate to a weekly rate for use in calculations such as the Sharpe ratio. The correct conversion depends on the rate convention. With continuously compounded returns, annual and weekly log rates scale…
The document asks how to calculate the probability that a stochastic process reaches one of two time-varying boundaries first. It starts from the familiar fixed-boundary result, which expresses the upper-boundary hitting probability through a process’s scale…
The document compares estimating portfolio value at risk from a multivariate normal model with using historical returns or a copula. Historical simulation applies the observed joint return series directly, so it can reflect cross-asset dependence and…
The question asks whether to use close-to-close percentage changes or logarithmic price differences for minute-level EUR/USD data, and whether the choice matters more when combining multiple currency pairs. The reply draws on a standard distinction:…
The post considers how to allocate capital across more than fifty backtested strategies that trade ETFs, mostly equities, with daily signals and next-day open execution. The strategies are mainly short-horizon mean-reversion systems, with different trading…
The discussion compares a payer forward swap beginning in five years and lasting five years with a position that pays fixed on a ten-year swap and receives fixed on a five-year swap. It distinguishes exposure to an outright move in the forward rate from a…
The document asks whether a proposed method is suitable for evaluating an equity trading strategy when only about ten years of historical returns are available. The researcher resamples the returns with a stationary bootstrap, evaluates candidate strategies…
The document explains that adjusted historical prices incorporate corporate actions that occur after each observation date. Because later dividends and other events are applied cumulatively, older adjusted closes can differ increasingly from the raw closes…
The document describes two circumstances in which a U.S. stock short position may have to be closed. If the share lender recalls the stock and the broker cannot locate replacement shares, the short seller may receive a buy-in notice; if the seller does not…
The document clarifies how model order parameters map to autoregressive, differencing, and moving-average components in the Statsmodels time-series interface. For ARIMA, the order tuple follows the sequence of AR terms, differences, then MA terms; the…
The document explains that Fama–MacBeth estimation does not require a special way to aggregate period-specific R-squared values. After estimating coefficients with the procedure, use the chosen coefficient estimate and the relevant observations to calculate…
The document describes a proposed arbitrage when a call option is overpriced relative to the underlying under put-call parity. The answer says the trade requires a put with the same strike: sell the call, buy the put, and buy the underlying. The combined…
The document explains why a current ticker status or company name may not be enough to identify the security that a ticker represented in the past. Tickers can be reused after a company delists or is acquired, so a present-day lookup may point to a different…
The document discusses whether Interactive Brokers can provide enough historical intraday data for statistical modeling, using S&P 500 exposure as the example. It points to the R IBrokers package and its historical data request function, which can specify an…