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.
21,023 documents
The document describes the challenge of turning SEC filings into readable balance sheets and income statements. Its author retrieves reported facts for thousands of companies, using filing identifiers and fields such as reporting date, accounting tag, period…
The note asks why fixed-income practitioners use duration times credit spread, often called spread duration times spread, while an equivalent duration-times-yield measure is uncommon. It compares the rationale given for spread duration times spread with the…
The document derives an inverse covariance matrix for a single-factor CAPM model with a zero risk-free rate. It represents total asset covariance as the sum of a diagonal matrix of idiosyncratic variances and a rank-one market-factor contribution. The…
The document considers whether a Libor Market Model volatility function, built from a maturity-dependent linear term multiplied by an exponential and then shifted by a constant, remains bounded. It assumes the parameters and the rate’s maturity are constants…
The document asks how to interpret a step in a proof involving Gyöngy’s lemma, where an expectation weighted by a Dirac delta at a level is rewritten using an expectation at that level. The response frames the delta as concentrating the contribution on…
The document explains a change of variables used when writing a likelihood for a linear regression with normally distributed errors. In the stated model, the error is the outcome minus the fitted linear expression. When the predictors and regression…
The document describes a simulation problem: a researcher wants to compare a trading model’s behavior on ordinary price paths and paths with jumps, while isolating the effect of increased skewness. They can match the mean of the jump process to a geometric…
The document explains that volatility skew and statistical skewness are related terms with distinct meanings. Implied volatility skew describes how option-implied volatility varies across strikes for a fixed expiry; it is observable from option prices after…
The document describes simulations using the Gibbons–Ross–Shanken test to evaluate a CAPM-style model across multiple test portfolios. With returns generated under the model, the test does not reject the null; adding nonzero portfolio alphas leads to…
The document raises the problem of converting probabilities inferred from stock option prices under a risk-neutral measure into real-world, or physical, probabilities. Its only proposed method is the Recovery Theorem, named in a brief answer. No derivation,…
The document explains how to estimate the probability that an underlying asset reaches an option strike before expiry. It distinguishes this first-passage event from the probability of finishing in the money, noting that option delta is not generally the…
The document proposes combining annualized returns measured over several horizons with a weighted mean and weighted standard deviation. It illustrates assigning each horizon a weight that decays exponentially with its length, controlled by a chosen decay…
The document asks how to compare daily five-day volatility estimates for two countries’ benchmark government bonds. Because both series use rolling windows, adjacent observations share most of their underlying price data and are serially dependent. Simply…
The document addresses whether MATLAB’s one-dimensional interpolation function can produce cubic spline interpolations for yield curve data. The response says that the built-in spline method is suitable for interpolating sampled curve values and identifies…
The document asks whether probabilities inferred from derivatives on non-traded variables, such as weather outcomes or central bank rate decisions, represent risk-neutral or real-world beliefs. The responses distinguish pricing measures from objective…
The document examines a stop-loss style strategy for replicating a call option and asks how its hedging costs relate to the time the underlying spends near the strike. The answer explains the call payoff using the Tanaka-Ito-Meyer decomposition: intrinsic…
The document raises a regression-design question: whether to exclude a covariate when it has substantially fewer observations than the other variables. The author gives an example in which one variable has 80,000 observations while others have 100,000, and…
The document clarifies the dividend-yield convention used in the Goyal and Welch stock return predictability data. The dataset’s dividend yield is computed as aggregate dividends paid by all stocks divided by total stock market capitalization measured at the…
The document explains how prices of European receiver swaptions relate to the risk-neutral distribution of the underlying swap rate. It corrects the idea that an out-of-the-money premium, compared directly with an at-the-money premium, gives the probability…
The document addresses whether value at risk remains useful despite shortcomings in how it is sometimes interpreted and its failure to satisfy coherence. It explains that financial institutions use VaR as one component of risk management, often with models…
The document outlines maximum-likelihood estimation for a GARCH(1,1)-M return model under the physical measure, then discusses an implementation problem in an R optimizer. The model specifies conditional returns using a known risk-free rate, an estimated…
The document concerns noisy, incomplete one-minute price and volume data for several stocks, with the goal of forecasting volatility for the month after the sample ends and investigating whether volatility is related to liquidity. The response recommends an…
The document asks how investors’ target risk might be chosen in light of wealth, future income, savings, housing, and expected expenses. It contrasts this problem with broad allocation rules and age-based target-date strategies, then proposes a questionnaire…
The document poses a one-period binomial market problem with a risk-free asset and a stock that can finish in either an up or down state. It asks how to establish no arbitrage, replicate a claim whose payoff is the squared terminal stock price, calculate the…