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.
2,013 documents
Liquidity depends on the asset class and on how participants access each market. The document compares spot, futures, options, and swaps across currencies, single stocks, equity indices, commodities, and fixed income. It offers a practical framework: there…
The answer recommends calibrating interconnected interest-rate curves with a global solver instead of bootstrapping each curve in sequence. The workflow defines curves and calibration instruments, assigns each instrument its forecasting and discounting…
The answer clarifies that Advent Geneva is a middle- and back-office platform used for fund accounting and administration, rather than an automated trading engine. It describes core functions such as calculating profit and loss and net asset value,…
The document asks whether initial nonstationarity in a simulated VAR series matters when estimating a copula with kernels. It describes an experiment in a cited paper using repeated series of length 1,024 and asks whether every observation, including early…
The document asks whether trading strategies can remove volatility clustering—the persistence of large or small absolute returns—and what that would imply for diversification and alpha. It contrasts the CAPM view of market exposure with anecdotal claims that…
The document explores reducing a large ETF or equity universe before portfolio optimization. Suggested approaches include clustering return series using correlation-based distances, examining PCA loadings to group assets with similar behavior, and using…
The document considers a heterogeneous portfolio in which inverse-volatility risk parity can assign very large weights to instruments whose estimated volatility has fallen relative to the rest. It describes a proposed cap that compares risk-parity weights…
The document asks how to discount the legs of a fixed-to-fixed cross-currency swap when its collateral currency changes at a mandatory break date. Without a break, its proposed setup discounts euro cash flows using the euro collateral curve and uses a…
The document asks why a portfolio’s simple return is expressed as a weighted sum of its assets’ simple returns, since directly comparing portfolio value at the start and end appears to produce a different formula. The resolution is that portfolio weights…
The document considers how to assess quantitative finance’s role in global markets and why attributing market earnings or losses to it is difficult. A central challenge is defining what counts as quantitative finance: possible categories range from…
The document describes ways to retrieve securities and their identifiers using Bloomberg. Its main suggestion is to use the equity screening function to list active securities, optionally limited to primary listings, then add ISIN and CUSIP as result…
The document explains how to evaluate a history of overlapping trades as a portfolio, including cumulative profit and loss, drawdowns, and period returns. Its central method is to value each open position over time using market prices, then aggregate the…
The document considers how to convert long-run U.S. dollar return series into euros when the euro did not exist for the full sample. It suggests using the Deutsche Mark against the U.S. dollar as an approximate predecessor series for EUR/USD, giving…
The document maps common financial modeling tasks to Python's scientific and finance ecosystem for someone moving from Matlab. It groups tools by purpose: portfolio optimization and risk analytics, instrument pricing, time series analysis, technical…
The document addresses whether currency exposure in international portfolios earns compensation for its risk. Its answer characterizes foreign exchange returns as having approximately zero expected return while retaining volatility, suggesting that currency…
The document asks whether each eigenvector from a principal component analysis of an asset covariance matrix can be interpreted as an eigenportfolio. With no components discarded, it proposes that a portfolio of n assets yields n such portfolios, ordered by…
Factor timing means adjusting portfolio exposure to factors in anticipation of how their returns may change. The document uses growth stocks as an example, noting that their relative performance may vary between economic expansion and crisis. It also…
This note clarifies how to set up valuation equations for an asset whose dividends follow a Markov process. Its central distinction is between cum-dividend value, which includes a payment made today, and ex-dividend price, which excludes it. The investor’s…
This discussion surveys ways to find company filings outside the United States, with particular attention to Europe. It points to national registries such as the UK’s Companies House and Canada’s SEDAR, as well as broader search services that cover multiple…
The document explains how to calculate the gain on a foreign-currency investment from the perspective of an investor whose home currency differs from the asset’s trading currency. The relevant comparison is between the home-currency amount originally paid…
The document asks for books that help quantitatively trained readers connect mathematical finance models with real-world practice. The responses offer a range of references across investments, portfolio theory, corporate finance, financial econometrics,…
The document distinguishes conventional interest-rate policy from quantitative easing. A central bank typically sets a short-term policy or interbank rate, while QE involves buying assets such as government bonds. When short rates are already near zero,…
The document compares simulating three assets independently with simulating them jointly through a multidimensional geometric Brownian motion. In the joint approach, correlated log returns are represented using a covariance structure and Cholesky…
The document asks how to estimate the time-varying tail-dependence functions proposed by Liu, Ji, and Fan. It distinguishes four dependence directions: upper–upper, lower–lower, lower–upper, and upper–lower, noting that the latter two extend the conventional…