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Dokumentumok száma: 20,364
The document examines whether a Hurst exponent above 0.5 can justify shorting crypto futures after prices have fallen. The author estimates the exponent from 1,025 hourly mark-price observations for four Binance trading pairs and reports values around 0.62.…
The document distinguishes a speed advantage in reacting to market data from arbitrage in the stricter sense of exploiting price differences. It describes how direct exchange feeds can reveal quote changes before a slower consolidated feed, allowing a…
The document explains why geometric Brownian motion parameters can be confusing: arithmetic returns and log returns are calculated differently, and the same distinction affects how a price process is modeled. A price path that falls and then recovers can…
The document discusses whether a stock backtest can assume execution at daily opening and closing prices. It describes market-on-open and market-on-close orders as ways to target auction prices, while noting that traders must submit orders before the final…
The document asks how to interpret a return adjustment formula used to determine the market risk measure class for Category 3 PRIIP products under European regulation. The specific uncertainty concerns the risk-neutral and measured expected-return terms, as…
The document questions whether standard GARCH models adequately describe one-minute Bitcoin returns. The sample is characterized by frequent zero returns, low return magnitudes, and apparent microstructure noise; the author also reports that squared…
The document lists SOFR swap market tickers and their associated maturities, from short weekly and monthly tenors through long-dated swaps. It frames the list as a starting point for building a SOFR discounting curve comparable to those produced by Bloomberg…
The document considers how to detect a sharp price move after an extended calm period. It suggests volatility bands as a way to compare price levels with recent volatility, and identifies Bollinger Bandwidth as a related measure based on the spread between…
The document maps common financial modeling tasks to Python's scientific and finance ecosystem for someone moving from Matlab. It groups tools by purpose: portfolio optimization and risk analytics, instrument pricing, time series analysis, technical…
The document asks how to evaluate predictions of asset returns when matching the sign of each forecast to the realized return matters more than explaining return magnitude. It gives a small example where ordinary least squares has low explanatory power,…
For hard-currency credit default swaps, the response says the pricing calculations are the same across corporate, sovereign, agency, and municipal reference entities. Recovery assumptions should follow market conventions, which can vary by issuer type and…
The document distinguishes calculating an inflation-linked bond’s real yield from estimating its projected nominal yield. For real yield, use the bond’s real coupon and price in a standard bond-yield calculation, rather than adjusting a nominal bond’s coupon…
The discussion compares factor-based portfolio construction with mean-variance optimization. Factor models can forecast expected returns and represent covariance risk; portfolio constraints can also control exposure to factors, sectors, or individual…
The document discusses estimating default probability with the Merton structural credit model from monthly equity returns, a risk-free rate, equity value, and debt face value. It outlines a workflow that converts prices to log returns, estimates return…
The document proposes a way to hedge the convexity of long-dated fixed cash flows, using a long-maturity swap as the example. The theoretical construction is to sell at-the-money payer and receiver swaptions with very short expiries, sized according to the…
The document explains why greater bond convexity is not automatically better when comparing portfolios with equal value and duration. Convexity contributes a positive second-order price effect for yield changes in either direction, but this comparison omits…
The document asks how interest rate caps and floors differ in purpose from forward rate agreements (FRAs). It notes that both can provide exposure to future interest rates, making their functions seem similar, and focuses on when their payments occur. The…
The document investigates why an American call’s market ask price cannot be reconciled with an implied volatility calculation using RQuantLib, while Yahoo Finance reports a volatility estimate. The author compares the market quote with model prices and…
The document explains swimming delta as an option’s total sensitivity to the underlying when implied volatility changes with the underlying price. Standard Black–Scholes delta is a partial derivative that holds volatility constant. Under a skew-aware view, a…
The document addresses how to represent short-sale constraints in a backtest. Its proposed control is to include a borrowing cost for short positions, since live shorting generally requires shares to be borrowed through a broker. The cost can be included in…
The document raises a pairs-trading question about estimating hedge ratios with rolling ordinary least squares on two stocks’ log returns. The author observes that when the stocks have very different share prices, the estimated ratio can still be near zero…
The document raises a question about measuring the cost of a currency hedge or short position using an FX forward. It compares the forward-to-spot percentage change for EUR/USD with a quoted estimate of the three-month cost of being long euros and short…
The explanation connects currency basis swap (CBS) rates to FX forward pricing in the Garman–Kohlhagen currency option model. A forward rate can be taken directly from the FX forward market or derived from spot and the two currencies’ interest rates using…
The document defines a European barrier call whose payoff depends on the asset finishing above the strike and staying above a lower barrier at specified observation times. It asks how to estimate its discounted risk-neutral value by Monte Carlo simulation…