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Dokumentumok száma: 20,364
The note explains how a short Eurodollar futures position can hedge the cost of borrowing at a future three-month LIBOR rate. It corrects the initial claim that a short position loses when rates rise: Eurodollar futures are quoted as 100 minus the implied…
The note derives the conditional volatility of a stock in a one-step binomial model where its price moves up or down by one unit with equal probability. With the stated definition, the conditional mean of the next price is the current price, while the…
The document considers allocating a portfolio across five asset categories while imposing lower or upper bounds on selected weights. It asks whether maximizing expected return under such constraints can be formulated as linear programming. The replies…
The document works through the variance of the time integral of squared standard Brownian motion. An initial attempt applies Itô’s lemma to a time-weighted square of the process, then computes variances of resulting terms as if they were independent. That…
The document asks how maximum drawdown varies with the mean and standard deviation of daily returns and the length of the return series. It frames the problem with simulated paths: draw daily observations from a normal distribution, calculate each path’s…
The discussion collects suggestions for obtaining intraday DAX or DAX futures data, with an emphasis on one-minute bars and affordability. It mentions exchange data for DAX futures, downloadable DAX series from a broker-data source whose instrument type may…
The discussion surveys ways to combine financial series observed at different frequencies and use them in forecasts. MIDAS models incorporate higher-frequency predictors into a lower-frequency target, such as daily market data in a quarterly economic…
The document describes a simplified way to represent an active long volatility allocation discussed in a portfolio research paper. The proposed rule monitors the equity market over a rolling three-month window and buys options in the direction of a…
The discussion examines an apparent conflict between modeling log price changes as normally distributed and the bounded support of simple returns. Since prices cannot fall below zero, a simple return cannot be less than −100%, while a normal distribution is…
The document surveys ways to use QuantLib-backed analytics from Excel, motivated by spreadsheet workflows that combine pricing with data from market terminals. The options named include QuantLibXL, RExcel with RQuantLib, PyXLL with QuantLib-Python, a…
The document addresses a spreadsheet question about min-max normalization, using a last price, a minimum, and a maximum in the standard rescaling formula. The author expects normalized results between zero and one but observes values outside that interval.…
The document explains how to calculate the Lakonishok et al. herding measure from the fraction of active institutions buying a stock, the market-wide buy proportion, and an adjustment factor. The question asks how to derive that factor and how to aggregate…
The document raises a question about replicating a variance swap fair strike from options when implied volatility is flat. The author expects the strike to equal implied volatility squared, but reports that a replication using constant volatility returns a…
This discussion asks whether input attributes need to be scaled before gradient tree boosting. One answer says scaling is generally unnecessary for tree-based boosting, since the distance-based concerns that motivate normalization for methods such as support…
This question compares an extreme value theory approach to value-at-risk with simulation from empirical return distributions. The proposed EVT workflow models the center of returns with a Gaussian kernel and the tails with a generalized Pareto distribution,…
This question examines whether a call option on a futures contract has the same theoretical value as a call option on the underlying stock. It compares the discounted futures-option pricing expression with the stock-option expression and uses the…
This interview discussion considers what a supposedly perfect quantitative model would imply for stock and futures trading. If predictions truly reveal future returns, a trader could take long positions before gains and short positions before losses; the…
The post explains how to interpret bid-volume and ask-volume fields in tick data that reports bid and ask prices together. In the example discussed, the row represents the state of both sides of the market, so its volume fields describe quoted liquidity or…
The document describes a simple way to find the two entries in a numeric column that are closest to a chosen target. Calculate each entry’s absolute distance from the target, sort those distances, and use the indices of the two smallest values to retrieve…
The document considers whether a trader with long-term GBP/USD exposure should roll into a less liquid deferred futures contract or continue using nearby contracts. Its central distinction is between using futures as a convenient way to hold exposure close…
The document presents an attempt to infer implied volatility by minimizing the difference between observed option prices and Black–Scholes prices. The calculation uses spot, strike, time to expiry, interest rates, and dividend yield, with rates interpolated…
The document explains why portfolio construction may benefit from shrinking an estimated covariance matrix, even when computation is cheap. Shrinkage pulls extreme covariance estimates toward more central values, which can reduce the estimation errors that…
The document explains why different stocks may show different listed option expiration months. Historically, each stock belonged to a January, February, or March cycle, which determined which months in each quarter were available. Later rules ensured that…
The document derives a risk-neutral price for a payoff equal to the cube of a time-weighted integral of log stock prices in a zero-rate Black–Scholes model. Under the risk-neutral measure, the log price is a Brownian process with drift equal to minus one…