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 note explains why an implied default probability can rise when the assumed recovery rate increases, even if the observed risky-bond price stays fixed. Under a simple one-period setup, the bond's price is the probability-weighted value of its payment…
The note describes two uses of algorithms by bond market makers. A system can maintain required bid and ask quotes across bonds that a desk may not actively want to trade, adjusting them as the best market quotes move. It can also generate indicative prices…
The note distinguishes broad bond performance measures from the word “indicative” as used on a trading floor. Price, yield, spread measures such as Z-spread and option-adjusted spread, and horizon return are listed as price or return metrics. Such measures…
The note explains why posting bonds as collateral is treated differently from posting cash when considering price adjustment interest (PAI). A party receiving bonds can generally use them in a repurchase agreement to borrow cash, and the repo rate is the…
The document asks why a bond pricing system switches discount factors during the final year before maturity. It contrasts annual compounding, using a factor based on yield raised over the time to payment, with simple-interest discounting, using yield…
The document discusses a three-class LSTM model for predicting financial trends from three time series. The question compares reported accuracy in a cited study with a lower result from an initial implementation and asks about model choices. The response…
The document values a perpetual claim that pays one unit when a stock first reaches an upper barrier and pays nothing if it reaches zero. Under geometric Brownian motion, zero interest rates make the claim worth one, assuming the upper barrier is eventually…
The document distinguishes current coupon spread duration from option-adjusted spread (OAS) duration for mortgage-backed securities. Current coupon spread is the excess yield on the current coupon mortgage over a reference yield curve. Its duration is…
The document asks how to find the highest expected return among fully invested portfolios with a specified standard deviation. It sets out the standard mean-variance ingredients: asset expected returns, a covariance matrix, a target portfolio variance, and…
The note discusses how a short stock position can affect the carry embedded in an option strategy. In a short sale, the trader receives proceeds that may earn interest, while also paying a stock borrow fee. The net financing effect can reduce the effective…
The document introduces concentration of measure as a branch of probability and statistics concerned with inequalities describing how random quantities behave around typical values. It explains a leave-one-variable-out notation: a set of variables with one…
The document examines how the sampling interval used to construct realized volatility relates to the estimated fractional differencing parameter d in an ARFIMA(0,d,0) model fitted to log realized volatility. The author reports that d appears to fall as bar…
The document asks for the expectation and variance of a stock price modeled as an exponential function of drift and standard Brownian motion, evaluated at twice a given time. Its key lesson is that the exponential moment of a normal random variable must be…
The document distinguishes a common bar-based Net Volume indicator from trade direction. For each OHLCV bar, it assigns a positive sign when the close exceeds the open and a negative sign when the close is below the open, multiplies that sign by the bar’s…
The document discusses how to compare two correlated futures contracts whose prices and tick sizes differ when building a pairs strategy. One suggested approach sets both starting prices to one, then compounds each instrument’s percentage price changes to…
The document derives the expected contribution of the jump component in Merton’s jump diffusion model. Conditional on the Poisson count, independent identically distributed jump sizes with mean k make the expected product of jump multipliers equal to (1+k)…
The document explains calibration in the context of using the SABR stochastic volatility model to price foreign exchange call options. Calibration means choosing model parameters so that model outputs match observed market quotes as closely as possible. The…
The document answers whether Swiss Valor numbers follow a pattern that reveals information about a security. It explains that a Valor number is an identifier with no intrinsic meaning: when a new identifier is needed, the next available number is assigned.…
This document asks what Lopez de Prado means by removing observations associated with rare labels in a machine learning workflow. It contrasts the idea with common financial labeling setups: binary go/no-go meta-labels and three-way short, flat, or long…
The document addresses noisy volatility estimates for a market-making bot that receives frequent prices and maintains a rolling window of several minutes. It recommends estimating variability from tick-to-tick price changes or returns, rather than from the…
The document considers an equity backtest with fundamental and macroeconomic filters when some historical data for delisted stocks cannot be recovered. Its initial rule allows trades when a filter passes or its value is missing. The author worries that this…
The document explains why squared Brownian increments contribute at the order of elapsed time in Itô calculus. It distinguishes a Brownian increment over a small interval, represented in distribution as a standard normal variable times the square root of the…
The document explains how currency hedging can affect the risk and return of foreign investments. Long-run studies cited in the discussion suggest hedging may leave returns similar while reducing volatility, which can benefit mean-variance investors. Over…
The document considers a contingent claim that pays the positive excess of one stock’s terminal price over a strike, provided that a second stock finishes inside a specified price interval. The question proposes pricing it from the two terminal marginal…