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 addresses how to execute a large futures order in a thin order book while limiting market impact. It recommends splitting an order algorithmically instead of submitting a large market order. VWAP is presented as a straightforward, widely…
The document explains why gross basis tends to decline as a bond futures contract approaches delivery. It defines gross and net basis and relates the implied repo rate to the bond’s invoice price, cash price, and time remaining. Because time to delivery…
The document addresses the lack of long histories for Treasury bond ETFs, especially leveraged funds, when backtesting portfolios over periods earlier than those products existed. It suggests using long bond futures as a proxy source of historical exposure…
The document asks how to express a receiver interest rate swap as a sequence of forward rate agreements. It starts from the swap’s discounted fixed-minus-floating cash flows, then compares those payments with forward-rate terms based on discount factors. The…
The document distinguishes the VIX index from a volatility swap by comparing the quantities each represents. VIX is described as the square root of a variance swap strike, with variance expressed in volatility units. A volatility swap instead pays against…
The document asks why otherwise comparable swaps traded through different clearing venues, such as CME and LCH, may have different quoted rates. It proposes evaluating the basis by considering the costs and risks of buying one swap and selling the other, and…
The document asks how to calculate daily returns on a forward contract after marking it to market. It gives a present-value expression for the contract, based on the current underlying price, the agreed delivery price, interest rates in both currencies, and…
The note explains how numbered Bloomberg crude oil indices represent exposure to futures contracts at different points along the Brent or WTI futures curve. The number indicates the contract’s forward position relative to the front month. The example…
The document examines why changing a Brazilian DI futures curve's day-count convention can change discount factors even when the instruments, quoted rates, and solver settings are held fixed. Its answer points to the difference between BUS/252, which accrues…
The answer explains why exchanges may keep limited trading sessions despite demand for electronic access. Longer hours could spread price discovery and reduce sharp liquidity concentrations, while shorter shared sessions can gather participants and liquidity…
The document outlines a proposed search process for automated intraday strategies in FX and equity index futures. The plan uses short forecast horizons, many candidate features, genetic feature selection, and SVM models ranked by cross-validation error. The…
The document asks how to state an arbitrage strategy in a three-period market model, where the discounted risky asset can take different values over time. The proposed strategy waits until the first period and buys only if the asset is priced at 8, then…
The document explains why high-frequency trading can remain relevant when a market allocates fills pro rata, reducing the importance of queue position. It distinguishes liquidity provision from liquidity taking: speed may matter less for winning a place in…
The document asks how to turn forecasts from an ARIMA model of daily power futures returns into prediction intervals for prices. It describes a simple approach: reverse the data transformations, compound the forecasted returns from the latest observed price,…
The document questions whether a prominent spike in the autocorrelation of squared intraday price changes supports the usual account of volatility clustering. It compares a figure in a highly cited article with a later figure in a book by the same authors,…
The document proposes estimating portfolio profit distributions by simulating monthly generation for each energy asset and electricity forward prices, multiplying generation by price to estimate asset revenues, summing across assets, and taking lower-tail…
The document explains how a market maker can earn a spread while managing inventory risk with a related futures contract. In its simplified example, a dealer quotes both sides of an illiquid S&P 500 ETF, buys shares from a seller, and shorts index futures to…
The document distinguishes a bond futures contract’s expected return from the yield associated with its underlying bond. A futures price is set so the contract’s expected payoff at settlement is zero under the pricing measure; that does not make the bond’s…
The document examines whether the usual calendar spread arbitrage condition for European calls on a stock carries over to options on futures. The key complication is that options with different expirations can reference futures contracts with different…
The document asks whether daily variation margin changes futures prices relative to forwards, using stock-index futures as its starting point. It notes that a forward’s fair value reflects financing and asks how the resulting sensitivity to the cash index…
The document explains how to estimate profit on a short Eurodollar futures position from the change in the quoted futures price, and asks how expiration timing and unchanged spot LIBOR affect a long position. The answer says the initial short-profit…
The document examines why a coffee-linked index or ETF can perform very differently from the quoted spot coffee price. One explanation is that a futures-based commodity index return includes the effects of rolling contracts: when futures are in contango,…
The document describes constructing a synthetic futures price at a target maturity by linearly interpolating between two listed contracts whose expiries fall on either side of that target. The weights depend on how far the target lies between the shorter and…
This discussion points readers to examples of Kalman filtering in finance, including an application to the Kyle model and a pricing framework for spot and futures markets. In the Kyle setting, a market maker updates an estimate of an asset’s final value as…