知識圖書館

The document considers how to estimate and plot volatility from a long history of FTSE closing prices. Its code calculates log returns, but the questioner’s approach appears to treat the deviation of each individual return from the overall mean as a…

The document addresses questions about the meaning of Bloomberg’s PX_VOLUME field, identifying a share-count field, and differences between Bloomberg volume data and figures published by the Bombay Stock Exchange. The response gives one practical direction:…

The document explains the distinction between how stock prices are observed and how they may be modeled. A stock price is recorded at discrete times and usually on a permitted price grid, yet a model can treat time and price as continuous variables. The…

The document explains what it means for forward swap rates to be realized and how that differs from the yield curve simply remaining unchanged. In its example, a pay-fixed swap is entered at the current par rate, and the relevant comparison after one year is…

The document asks how activity by multiple traders can affect temporary price impact on both sides of an order book. In the Almgren–Chriss framing, it distinguishes a joint permanent impact term, which depends on aggregate trading rates, from a common…

The document asks how to construct weekly returns from daily price data using Wednesday closing prices. When Wednesday has no valid trading price, the question proposes using the next available valid closing price. It refers to log returns between selected…

The document asks how to estimate returns for a bond fund tracking a broad US bond index over a 20–30 year horizon or longer. For intermediate horizons, it describes a common approach: combine the average starting yield with expected roll-down return and…

The document considers whether measuring geometric Brownian motion at weekly rather than daily intervals lowers annualized volatility. Under the stated assumption of independent, normally distributed returns, variance grows linearly with time. Scaling the…

The document explains why Treasury spline curves fitted by different firms can produce different estimates of relative value. Curve construction involves choices about which bonds to include, how to weight observations, where to place knots, how much…

The document explains the drift term in a simple short-rate stochastic model and relates it to a broader family of interest-rate models. In the stated model, the drift is a constant contribution to the rate’s expected change over time, while the random term…

The document considers whether an index dividend yield can stand in for the yields of its constituent stocks when estimating dividend shocks for historical value at risk. It argues against using the index yield as a proxy for individual names, noting that…

The document distinguishes the return skewness of momentum strategies across asset classes and strategy types. It reports that equity cross-sectional momentum has negative skewness, associated in the cited literature with sharp rebounds among prior losers…

Futures contracts are not generally paid for in full when opened; the settlement price supports daily mark-to-market valuation and final settlement at expiry. The document says exchanges often derive it from an average of late-day trades, reducing the impact…

The discussion examines why rational investors may dislike risk in the CAPM framework and challenges the claim that holding a risky investment for many years makes it effectively safer. It distinguishes the expected annual return from realized returns: a…

The document asks whether Bloomberg Terminal can identify securities using CRSP permanent security numbers or Compustat company keys, and how its coverage compares with familiar identifiers. The response reports seeing support for several international and…

The document discusses ways to identify stock splits in multi-year equity price panels and adjust historical observations. One suggestion is to compare adjusted close with close over time and flag large changes in their ratio as possible splits. Another is…

The document raises a pricing question about bonds with constant-maturity swap (CMS) coupons in euros, where interest rates may be negative. It asks whether the convexity adjustment from Hull, which assumes lognormal rates, can be adapted to a normal-rate…

The document examines how a rise in implied volatility for a short-expiry option may affect a longer-expiry option with the same strike, assuming the event driving the move occurs within the shorter option’s life. The answer models volatility across time…

The document distinguishes trading expected returns from trading mean reversion in the residuals of a factor model. Its answer argues that residual strategies can capture unexplained, potentially orthogonal return sources, which may diversify established…

The document explores estimating daily volatility for government bonds from open, high, low, and close prices. It notes that a daily high-low range can distinguish sessions with larger and smaller intraday fluctuations, then identifies the Garman-Klass…

The note discusses the conditional-expectation formula that values a derivative as its future payoff discounted at the short rate under a risk-neutral measure. Its key distinction is between using a measure once it has been specified and establishing that…

The note distinguishes fitting an implied volatility surface at the current time from specifying how that surface changes as time passes and the underlying price moves. A cross section indexed by maturity and strike can be fitted to current market data, but…

The document asks how to include lags when applying least squares Monte Carlo to a timing real option. The project can be started at monthly decision dates over a five-year window, while revenue follows a non-Markov ARMA process sampled hourly over a…

The note applies the first fundamental theorem of asset pricing to explain why an attainable claim has the same value under every martingale measure. Given a replicating strategy, the theorem expresses its value at any time as the conditional expectation of…