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.
16,761 documents
The document discusses how to simulate trade prices that behave like a random walk. One answer recommends modeling the bid-ask spread and using Poisson or Hawkes point processes for order arrivals and cancellations. A price move can occur when the queue at…
The discussion considers whether distribution fitting for financial returns should use simple percentage returns, log returns, or standardized observations. The accepted response favors percentage returns when fitting distributions such as Student’s t,…
The document asks how to obtain accurate intraday foreign-exchange data for analysis in R. One response points to an R package as a way to access FX data directly, potentially avoiding a separate Java download and CSV import workflow. Another response…
The document asks whether automated trading strategies tend to make or lose money and seeks comparative tests of simple strategies on historical data. It offers no such benchmark study or measured performance results. Instead, one response describes a…
The document describes building a six-month sterling Libor yield curve in QuantLib from a deposit quote and swap rates, then asks how to incorporate forward rate agreements. It shows the existing curve-building setup and its resulting spot-rate table,…
The document asks how to check a Python implementation of delta hedging for a short European call, offset by a long position in the stock sized to the option’s delta. It proposes examining the distribution of the combined hedge-and-option profit and loss…
The document raises a calibration problem for classical short-rate models, including Black-Karasinski and Hull-White, during the sharp rate increases of 2022–2023. The author is concerned that model parameters may struggle to fit current rate levels while…
The document explains why rows generated from a Sobol sequence repeat when the generator is reinitialized inside each asset loop. The generator should persist across draws, and its dimension should match the number of random coordinates needed for one…
The document presents a Python implementation of Longstaff–Schwartz least-squares Monte Carlo for an American-style Asian call with exercise available at discrete dates. The payoff depends on the average underlying price observed up to exercise. The reported…
The document compares holding a cryptocurrency investment for a fixed period with periodically withdrawing gains while restoring the original principal. It describes a Monte Carlo example using simulated daily returns, then reports average outcomes for both…
The document collects suggestions for software and services that can be used to backtest investment strategies. The examples span a mobile portfolio tool, a Python framework, a form based service, standalone engines, and a brokerage platform with strategy…
The note explains how to use trade-level profits with PerformanceAnalytics, whose functions generally expect return data rather than a raw list of trade P&L values. One suggested workflow is to record transactions in the blotter package, calculate cash P&L,…
The document distinguishes financial bars from statistical resampling methods. Time bars divide observations by clock intervals, while tick, volume, and dollar bars aggregate irregular transaction data until a chosen trade count, traded volume, or traded…
The document considers how to model hedge fund returns for simulation, noting that return moments alone do not specify a distribution. One proposed approach represents returns as exposures to a broad set of tradable ETF factors. The cited research uses…
The document compares two numerical approaches for pricing European calls under the Heston–Nandi GARCH model using an inversion integral. One implementation evaluates the integrand through adaptive quadrature, while another precomputes…
The post asks how to select conditional-mean terms when fitting GARCH-family models to South African, Australian, and US equity index returns. The author compares autocorrelation plots, information criteria, ARCH tests, and the significance of terms in…
The document considers what is needed to simulate the year-end prices and portfolio variance of two stocks. It challenges the idea that historical means and standard deviations alone can be used to draw independent lognormal prices and average them. The…
The document explains the standard portfolio drawdown workflow: convert periodic returns to growth factors, compound them into an equity curve, and measure losses from prior peaks. Maximum drawdown is the greatest decline from a previous high-water mark, so…
The document asks how to judge whether a derivative-pricing model improves on Black–Scholes when traders already use implied volatilities and interpolation to fit option prices. It distinguishes pricing from prediction: a pricing model can interpolate or…
The document addresses a data problem for researchers working with hedge fund performance: broker-provided daily index histories may begin later than the period they need. The question asks for free daily levels of HFRX or a comparable index with history…
The document contrasts quantitative investing with quantitative trading, emphasizing the larger capital base and capacity requirements of asset management. Strategies that exploit small arbitrage opportunities may not scale to the size of investment…
The document frames how to measure performance for a strategy that opens long stock positions at different times and closes each after a short, fixed holding period. It asks how to make trade returns comparable, remove broad market movement, and combine the…
The document asks how quickly the value of a Bermudan option approaches the value of an American option as exercise dates become more frequent. It describes the practical setting in which numerical methods use discrete exercise opportunities, and proposes…
The document compares ways to obtain historical company fundamentals for multiple stocks in machine-readable formats. The original request prioritizes several years of data, broad international coverage, index-level or identifier-based retrieval, and sample…