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20,364 dokumenti
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 describes estimating the half-life of a mean-reverting series using an Ornstein–Uhlenbeck-style regression. The proposed approach forms lagged values and changes, regresses the changes on the lagged series, and converts the fitted coefficient…
The document answers whether a process can have increments distributed uniformly over an interval whose width depends on the elapsed time. It constructs a single random variable, uniform on the interval from minus one to one, and uses it as the slope of a…
The document explains why investing cash through reverse repo cannot replace repo financing for a long bond, short futures position. In reverse repo, the investor lends cash and temporarily receives a bond as collateral; the bond is due back to the…
The document explains why the characteristic roots of an autoregressive process determine covariance stationarity. For an AR(1), rewriting the model with the lag operator gives a characteristic root equal to the reciprocal of its coefficient. The root lies…
The document addresses where to obtain historical consensus forecasts for the US Nonfarm Payrolls release. The answer points to an economic calendar that provides consensus estimates alongside actual Non-Farm Employment Change results, with a history…
The document explains how day count conventions apply when pricing cross-currency forwards and swaps. Its central method is to calculate the accrual factor for each currency leg using that currency’s convention, then form the forward price as the domestic…
The document clarifies the distinction between Bloomberg’s open source data distribution technology and access to Bloomberg’s data. The API and its documentation are publicly available, but connecting to Bloomberg’s database and downloading its data requires…
The document explains an instantaneous forward rate as the limiting forward rate over an interval whose length approaches zero. Starting from the no-arbitrage relationship between two zero-coupon bond prices and a simply compounded forward rate, it derives…
The document discusses a proposed characterization of weak stationarity for a continuous-time autoregressive process driven by Brownian noise. The stated conditions require the matrix governing the dynamics to have eigenvalues with negative real parts, and…
The document considers how to calculate Sharpe and Sortino ratios for a portfolio whose asset weights can change over time. It describes forming each period’s portfolio return from the weighted returns of its holdings, then calculating the desired…
The document explains how a Wiener process can have continuous paths while lacking a derivative at every point with probability one. It distinguishes continuity, where nearby input times produce nearby function values, from differentiability, which…
The question examines whether the ratio of two zero-coupon bond prices, with one price evaluated at a later date, equals the price of a bond maturing on that date when interest rates are stochastic. It challenges an argument that treats a later-date amount…
The document considers whether the first six CUSIP characters are enough to link analyst forecasts in IBES with firm accounting data in Compustat. Although those characters identify a company, the accepted answer highlights a timing mismatch: Compustat’s…
The document raises a methodological issue when comparing the goodness of fit of Fama–MacBeth regressions with that of a pooled panel regression. The author argues that the procedures do not estimate one shared regression: Fama–MacBeth runs separate…
The document distinguishes a caplet written on a forward Libor rate from one whose payoff uses the spot Libor rate observed at the option’s reset date. The forward-rate caplet can be expressed under the relevant forward measure as an option on a martingale…
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 answer explains an intuitive link between a probability and the price of a binary claim. If an event pays one unit when it occurs and nothing otherwise, its expected payoff under the relevant pricing assumptions is the event probability. On that basis,…
The document poses a pricing problem for a path-dependent option on a geometric Brownian motion asset. Its European payoff depends on the running maximum and a time-averaged quantity formed from the integral of the squared asset price. The question asks how…
The document discusses where to obtain official real-time and intraday market data for venues such as US stock exchanges and CME. It distinguishes free, limited ways to explore data from the paid access typically required for raw exchange feeds. Suggestions…
The document asks for the variance of the time average of the exponential of standard Brownian motion. The questioner applies Itô’s formula to the exponential process and tries to derive the variance from an endpoint term, a stochastic integral, and their…
The document asks how leverage can increase a company’s equity exposure to systematic risk in the context of distress risk and leverage puzzles. The response explains the relationship using a standard Modigliani–Miller relevering formula: equity beta rises…
The document asks why historical price records for a specific Hang Seng futures delivery month appear to continue after the contract’s settlement date, and why a contract may have records far earlier than a trader expects. The response explains that listed…
The document considers allocating capital across multiple strategies based on their recent performance. It proposes using each strategy’s Sharpe ratio over a recent window as an estimate of future performance, while recognizing that short samples can produce…