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Документів: 20,364
The document concerns imbalance bars and run bars, sampling methods discussed in Advances in Financial Machine Learning. The author is implementing them and asks for further literature, explaining that the material consulted so far emphasizes volume…
The document distinguishes geometric Asian options, often introduced in textbooks because they admit an explicit Black–Scholes pricing formula, from the contracts used in practice. The answers disagree somewhat about whether geometric Asian options trade…
The document asks whether a short position in the three-month VXV index and a long position in a two-month VIX future can lock in a volatility spread. The proposed reasoning is that both positions might converge to VIX exposure at the future’s expiration,…
The document explores exit choices for a crypto pairs trade entered after finding a cointegrated relationship. The trader reports that cointegration tests can stop indicating a relationship and later signal it again, while a simple exit at zero z-score has…
The document derives the time-t value of a cash-or-nothing call that pays one unit when the stock finishes above the strike. Under the risk-neutral Black–Scholes model, the payoff indicator is not independent of current information because the terminal stock…
The document examines how a stock split appears in historical price data, using Apple’s seven-for-one split in June 2014 as its example. It contrasts a reported pre-split closing price near $645 with a finance site’s historical table showing a price around…
The document raises a backtesting question: how to report annual performance for a strategy evaluated on hourly open, high, low, and close data. The author has code that replays different portions of the historical series and calculates total return and…
The document gathers suggestions for quantitative investigation of suspicious stock trading, including spoofing and possible information asymmetry. One proposed method builds behavioral attributes for each trader, such as trading frequency and volume, then…
The document asks how to estimate the chance that one company’s credit rating will be upgraded or downgraded over time. The reply describes two perspectives: rating agencies use industry-specific scorecards combining company and broader economic factors,…
The document asks how to calculate the beta of a call payoff relative to its underlying at expiry under the risk-neutral measure. This covariance ratio is the hedge coefficient that minimizes the variance of the terminal option payoff minus a fixed holding…
The discussion examines whether a short callable bond can be hedged with a receiver Bermudan swaption when their exercise dates align. It explains that the bond issuer’s call feature can often be hedged by selling a receiver swaption, but the instruments are…
The discussion addresses how to construct a delta-hedged portfolio using S&P 500 index and futures data when a data source provides a continuous E-mini series without an explicit maturity. It suggests inferring a listed contract’s expiration from its ticker…
The document discusses a log-log regression method for estimating the Hurst exponent from a price series. For each lag, it calculates differences between log prices separated by that lag, measures their variance or a related dispersion statistic, and fits a…
The document explains when a European call price from a Heston model can be represented by a Black–Scholes implied volatility. It states that the Heston asset-price and variance processes do not generally have explicit pathwise solutions, though Fourier…
The document clarifies why two calculations on a rising price series produce very different values: one measures dispersion of price levels around their mean, while the other uses changes in log prices. These are different data series and have different…
The document examines whether a short position’s log return can be represented by negating the underlying asset’s log return. For prices at two times, that operation reverses the log price ratio, and summing such increments gives a cumulative change in the…
The document asks whether levered equity beta can be calculated from debt and equity balances when an unlevered beta is unavailable. Its answer rearranges a weighted average cost of capital expression to relate the cost of equity to the overall capital base…
The document asks why investment banks need quantitative models when exchange-traded options already have market prices. It distinguishes liquid calls and puts, whose prices are set through trading, from the role of Black–Scholes in organizing those prices…
The document derives an implied risk-free rate from European put–call parity. Starting from the relation between a call, a put, spot, and the discounted strike, it rearranges the equation to solve for the annualized rate using the option prices, strike, spot…
The document asks how to make a trading bot imitate a typical nonprofessional foreign exchange trader, including whether such traders can be treated as acting randomly regardless of market conditions. The response rejects assuming random behavior as a sound…
The document compares several proposed ways to calculate the information ratio from daily portfolio and benchmark returns. It explains that the ex post measure uses average active return—the portfolio’s mean return minus the benchmark’s mean return—divided…
The document considers how to calculate a mid implied volatility from bid and ask implied volatilities without choosing a pricing model. It concludes that averaging the two volatilities is the only model-free approach. The explanation maps volatility to a…
The document asks whether currency forwards that satisfy SABR dynamics individually will retain that form when combined through an FX triangle. Treating the cross rate as the product of two diffusion processes, the answer derives restrictions from matching…
The document points readers seeking an overview of credit risk premia toward research on corporate bonds, systematic credit strategies, and tactical allocation. The cited work argues that measuring credit excess returns requires adjusting for interest-rate…