A Stratmill kutatóügynöke által írt összefoglalók és fő gondolatok azokból a könyvekből, tanulmányokból, cikkekből és kódokból, amelyeket MI-ügynökeink elolvastak. Minden oldal az eredeti műre mutat.
Dokumentumok száma: 20,364
The document asks whether two stocks driven by the same Brownian motion can have different physical drift terms and still admit a risk-neutral measure. Its answer distinguishes between processes that are tradable assets and related return series that are not…
The document explains why repricing a live swap at a later evaluation date can fail when an earlier floating-rate coupon needs a fixing that has become historical. QuantLib can forecast fixings from a yield curve for current or future dates, but a curve does…
The document clarifies what FINRA Reg SHO short volume records and cautions against treating it as a direct measure of outstanding short positions. Short volume counts shares in reported transactions classified as short sales; that measure alone does not…
The document explains an approximation from options literature that links the volatility of hedging error to the uncertainty in an estimated volatility. For a lognormal stock process sampled at discrete intervals, the stated uncertainty is proportional to…
The document asks where to obtain historical daily term repo rates, particularly rates tied to specific on-the-run US Treasury securities. It contrasts this data need with the availability of historical overnight repo data from DTCC, which the questioner…
The document raises questions about different James–Stein shrinkage-factor formulas used to adjust estimated asset-class returns before mean-variance portfolio optimization. One expression uses the number of observations, a grand mean, and the inverse…
The document considers whether a portfolio can be constructed to have a payoff of the form a plus b times a stochastic discount factor. The questioner proposes expressing the discount factor as a linear combination of asset returns, using a regression whose…
The document addresses how to assemble a list of common stocks traded on NYSE, NASDAQ, and AMEX for market breadth calculations. It describes using exchange symbol directory files that identify listings and indicate whether a security is an ETF, then…
The document explains how to approach pricing a barrier option on a basket when the available QuantLib Monte Carlo engines do not support both features together. It uses a worst-of down-and-in put as an example of the unsupported combination. The suggested…
The document presents a theoretical case for skilled active management while distinguishing manager skill from the returns investors ultimately receive. In the equilibrium argument attributed to Jonathan Berk, investors allocate capital to capable managers…
The document describes a numerical edge case in inverse-CDF sampling: mapping a uniform draw of zero or one through the normal quantile function yields an infinite value, which can break sample statistics. It presents several practical responses, including…
The document asks how to distinguish the payoff from the return on a stock investment. An investor spends the stated amount to buy shares at the current price, then considers a lower share price six months later. The payoff is calculated as the change in…
The document explains how probability works for an infinite sequence of coin tosses. An individual infinite sequence can have probability zero even though sets defined by a finite feature, such as the first toss, have positive probability. The answer…
The discussion asks why higher-order Greeks are not seen more often in practice. The answer distinguishes Black–Scholes use for quoting implied volatility from more complex models used to price products and measure their risks. Exotic options may require…
The discussion explains how cross-currency swaps and local overnight-indexed swap markets can help construct discount curves for cash flows collateralized in another currency. In a two-currency setup, the response describes fitting a foreign-currency curve…
The document asks how to calculate daily time-weighted returns for individual securities when trades occur during the day. The proposed calculation divides daily profit and loss plus dividends by the prior day’s price multiplied by the prior holding…
The discussion considers whether Monte Carlo simulation can calibrate the Heston stochastic volatility model and which discretization to use. One answer recommends calibrating vanilla European options with the model’s known characteristic function and…
This note raises a modeling question about calculating a spread for mean-reversion pairs trading with a Kalman filter. It contrasts the measurement prediction error, formed from the observed value and the filter’s predicted measurement, with a residual…
A geometric Brownian motion process has a continuous-time solution that remains positive when its starting value is positive. The note addresses why a numerical simulation of the stochastic differential equation may nevertheless produce negative values. Its…
This note asks how to pace the build-up of a target position according to price movement rather than elapsed time or traded volume. It frames the problem as accumulating a desired position while price travels from one level to another, and wonders whether…
This note explains why researchers building cross-sectional stock portfolios need to account for delistings. Omitting delisted firms or mishandling their final returns can distort the return history used in analysis. It points to CRSP’s monthly delisting…
The document explains the arbitrage argument behind a proof that forward and futures prices are equal under a constant interest rate. The proof compares two strategies that produce the same final capital. If their initial costs differ, an investor can take…
The document describes a manual method for calculating the moving average convergence divergence indicator without relying on a library’s exponential moving average function. It explains the recursive EMA setup: begin with a simple moving average, calculate…
The document outlines how to simulate one-day returns for many stocks using factor-model inputs: factor returns, factor covariance, stock factor loadings, and idiosyncratic risk. It proposes drawing correlated factor shocks through a Cholesky decomposition,…