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.
9,797 documents
The document considers whether a one-step-ahead log return, defined using the current and next binned prices, leaks information when forecasting from tick data. It describes forming midpoint prices, aggregating them into bins, calculating log returns, and…
The document considers whether an investor who owns a stock should sell it and use a futures contract to keep similar market exposure when the future trades below the stock. Its suggested method is to compare the expected cash flows and costs of each…
The document describes execution concerns for an XGBoost signal model trading MNQ micro futures, with momentum among its features and several signals per day. The author reports that market-order slippage averaged 1.07 points and says this erased the…
The document raises a validation question from a team developing pricing engines for market risk in a Solvency II solution. The instruments named include bonds, callable bonds, credit default swaps, options, and futures. The central issue is whether…
The note asks why CME Eurodollar interest-rate options include strikes above 100 basis points, which might appear to make puts always in the money and calls always out of the money if rates cannot fall below zero. The answer points out that this reasoning…
The discussion distinguishes a position’s net interest-rate sensitivity from its exposure to changes in the shape of the Treasury curve. It asks how to size one curve trade against another after each trade has been hedged using Treasury futures, and whether…
The document interprets a principal component analysis applied to returns across several commodity futures and contract months. The displayed loadings show that the first component varies little across maturities of a given product, suggesting that product…
The document examines whether the delta of a European call on a futures contract is the normal cumulative probability at the first Black–Scholes term or that probability multiplied by a discount factor. The questioner differentiates a discounted futures…
The discussion explains how CME Eurodollar option premiums are quoted and compares a displayed quote of 0.0375 with a calculator value of 3.75. The answer identifies the calculator value as 3.75 basis points for the described option, apparently a September…
The document considers how a market maker might hedge ETF inventory after trading with a large investor. In one case, the market maker buys ETF shares and is left long while arranging to sell them over time; in the other, the market maker sells shares to a…
The document addresses how an at-the-money call and a short at-the-money put with the same underlying and expiry relate to a futures position. Its answer states that one call paired with one put creates one synthetic long futures position. This establishes…
The document concerns a CME corn futures order book file whose FIX messages contain timestamps that appear out of chronological order. The question assumes the file should be replayed in timestamp order to reconstruct the market as it happened, and lists…
The document describes a hedging problem: an investor uses one exchange-traded future to offset broad portfolio exposure, but that contract may not represent every sector. When an omitted sector moves sharply, the hedge can leave substantial residual risk.…
The document explains how to interpret a five-year U.S. Treasury note futures price displayed in a fractional quote format. It says the contract's tick size is one 128th of a point, equivalent to one quarter of a 32nd. On that basis, a displayed quote with a…
The document examines why a commodity spot-price model may be adjusted using a measure that does not make discounted spot a martingale. It contrasts a constant market-price-of-risk specification for a mean-reverting log spot process with a proposed…
The document discusses how to build an arbitrage-consistent model for energy derivatives when traded futures prices are more observable than any single spot price. It explains that “spot” can refer to different delivery horizons and market conventions, such…
The document explains how one-month and three-month SOFR futures are defined and why their theoretical rates differ. The one-month contract reflects average daily SOFR over its delivery month, while the three-month contract reflects compounded daily SOFR…
The document explains how to estimate a Treasury futures contract’s gross basis at a future date when the forward bond price is known. Gross basis is the bond’s clean price minus the futures price multiplied by the bond’s conversion factor. Since the…
The document surveys categories of systems used by hedge funds for automated trading and explains why platform choice depends on the instrument and workflow. It names examples spanning Bloomberg order and execution tools, futures-focused systems,…
The document examines a logical gap in a standard forward-pricing result: a theorem gives the forward price under assumptions of a perfect, arbitrage-free market, but does not itself establish that such a market containing a forward contract exists. It asks…
The discussion explains how FX futures can represent currency carry even though a futures position does not directly exchange interest payments. A futures price reflects interest rate differentials between the currencies, and as the contract approaches…
The document clarifies several meanings of asset-swap spread (ASW) in rates and credit markets. In common rates usage, a swap spread compares a government bond with an interest-rate swap of the same currency. For a particular bond, an ASW exchanges its fixed…
The document explains how market commentary can translate interest rate futures or overnight index swap pricing into an implied probability of a central bank rate move. OIS rates are compared with the policy rate, accounting for their usual spread; the…
The document discusses how to define leverage for risk limits, including cases where assets are pledged to borrow funds and the borrowed proceeds are invested in lower-risk instruments. The proposed definition treats leverage as market exposure, whether long…