instruction stringlengths 15 26.1k |
|---|
Why use a column database for tick/bar data? |
I think you confuse couple concepts here. One thing is how fast a DB can retrieve data/read. Another is storing raw data. And an entirely different issue is analytics, queries. Columnar databases shine at reading and writing raw time series based data. Col DBs are not good at performing analytics. Keep in mind that eve... |
Like everything, which solution is most suitable completely depends on your specific case. But first I think you confuse couple concepts here. One thing is how fast a DB can retrieve data/read. Another is storing raw data. And an entirely different issue is analytics, queries. Columnar databases shine at reading and wr... |
Like everything, which solution is most suitable completely depends on your specific case. But first I think you confuse couple concepts here. One thing is how fast a DB can retrieve data/read. Another is storing raw data. And an entirely different issue is analytics, queries. Columnar databases shine at reading and wr... |
Like everything, which solution is most suitable completely depends on your specific case. But first I think you confuse couple concepts here. One thing is how fast a DB can retrieve data/read. Another is storing raw data. And an entirely different issue is analytics, queries. Columnar databases shine at reading and wr... |
Like everything, which solution is most suitable completely depends on your specific case. But first I think you confuse couple concepts here. One thing is how fast a DB can retrieve data/read. Another is storing raw data. And an entirely different issue is analytics, queries. Columnar databases shine at reading and wr... |
This may not be the most appropriate SE site to ask this question, but I can't seem to find a better place to ask, so here goes:
- Do Puttable Bonds' put dates always fall on Coupon Dates? When they do, are the bonds puttable before or after the coupon?
- Coupon Schedule. How are coupon payment dates usually ca... |
This may not be the most appropriate SE site to ask this question, but I can't seem to find a better place to ask, so here goes:
- Do Puttable Bonds' put dates always fall on Coupon Dates? When they do, are the bonds puttable before or after the coupon?
- Coupon Schedule. How are coupon payment dates usually ca... |
A common and oft repeated belief regarding options volatility is that implied volatility increases due to people bidding up a contract, usually related to anticipation of the outcome of an expected event. After the event, volatility drops because more people are selling the contracts.
But I have noticed contracts wi... |
What really drives option implied volatility? |
> Pricing an IR swap doesn't require any stochastic model but calculation of the PFE for an IR swap would require the Hull White Model or any other stochastic short rate or forward rate model.
Is this statement correct and if so, why?
|
Is it true that pricing an IR swap doesn't require any stochastic model but calculation of the PFE of an IR swap would? |
Why should there be an equity risk premium? |
If you have the mathematical sophistication, you should review the original papers referenced on the [Equity Premium Puzzle][1] page, particularly [Mehra and Prescott (1985)][2]. Note, however, that contrary to other opinions on this page, the puzzle is **NOT** that there is an equity risk premium. On the contrary, t... |
I can think of three reasons.
First, and simplest, is that people care about variance.
Second, if you really do care about draw-downs, if returns are close to normally distributed, the distribution of draw-downs is just a function of the variance, so there's no need to include draw-downs explicitly in your po... |
I often hear that [column-oriented databases][1] are the best choice method for storing time series data in finance applications. Especially by people selling expensive column-oriented databases.
Yet, at first glance it seems a poor choice. You want to append new ticks, or new bars, at the end (and you need to do th... |
Is there any common trading system that is implemented by hedge fund, especially for equity or forex automated trading? I know some big names like Sungard and Bloomberg. Is there any other choices which the including API? |
What are the common trading systems (beside Bloomberg) for hedge fund automated trading? |
What are the common trading systems for hedge fund automated trading? |
Why not fit an ARMA model to the rolling returns first, and then model the residuals in your regression equation? That way you should be removing most of the effects of auto-correlation. |
how would you estimate your order in the exchange order book? The order of order events and acks is not deterministic or guaranteed. How could you write an algo to estimate accurately your position in the order queue? Note that when we send an order to exchange, we get acknowledgement back from exchange, followed by ma... |
how do we estimate position of our order in order book? |
What is an efficient data structure to model order book? |
I'm working on backtesting a number of stock trading strategies and need to estimate how much the execution price will likely deviate from the historical close price for that asset using daily data; which would be used to calculate an optimal position size and estimate probable slippage. Ideal would be a rough equation... |
Like everything, which solution is most suitable completely depends on your specific case. But first I think you confuse couple concepts here. One thing is how fast a DB can retrieve data/read. Another is storing raw data. And an entirely different issue is analytics, queries. Columnar databases shine at reading and wr... |
Like everything, which solution is most suitable completely depends on your specific case. But first I think you confuse couple concepts here. One thing is how fast a DB can retrieve data/read. Another is storing raw data. And an entirely different issue is analytics, queries. Columnar databases shine at reading and wr... |
Let's approach the answer to your question from a pure trading and risk management perspective because looking at it from a mathematical standpoint nor quant standpoint does not yield you much here:
1) Bollinger bands are nothing else than standard deviation envelopes around the mean of past prices of the underlying... |
Let's approach the answer to your question from a pure trading and risk management perspective because looking at it from a mathematical standpoint nor quant standpoint does not yield you much here:
1) Bollinger bands are nothing else than standard deviation envelopes around the mean of past prices of the underlying... |
This may seem like a strange question, but for my particular application we need to actually add synthetic microstructure noise. The signal should still be representative of the market direction.
I expect that a good technique would be something related to signal processing in electronics or sound engineering. They... |
Is there a reliable way to add noise to a price signal while respecting the pattern? |
Are there and standard techniques for adding noise to a price signal while respecting the pattern? |
This may seem like a strange question, but for my particular application we need to actually add synthetic microstructure noise. The signal should still be representative of the market direction.
I expect that a good technique would be something related to signal processing in electronics or sound engineering. They ... |
Are there any standard techniques for adding realistic synthetic microstructure noise to a price series? |
I know what the NBBO is but I've seen mention of ABBO and I'm not sure what it means? |
What does ABBO (Away best bid and offer) refer to? |
Is a risk-neutral probability a special case of an invariant measure? |
I'm currently working with historical index data from Yahoo Finance and would like to plot the GARCH(1,1) volatility of these indexes. I'm working with the Datafeed and Finance Tollboxes in Matlab right now, and I'm able to get the data and plot the indexes. However I'm having some difficulty understanding the followin... |
I read <a href="http://dealbreaker.com/2012/06/libor-can-be-whatever-you-want-it-to-be/">this dealbreaker post</a> (via a link from <a href="http://blog.rivast.com/?p=6052">Deus Ex Macchiato</a>), which explains that many (most?) contracts detail something like 'the number on the Libor01 Reuters page' rather than 'the ... |
I am curious why a lot of market hours are something like 9 to 3 or 9 to 4 pm when there is such demand and so many prop shops and more out there. I know certain markets are continuous trading but a lot of very large famous ones seem to stick to this incredibly short schedule. Why would they do that? |
With there being such a high demand for electronic trading or just trading in general why are market hours so limited? |
I think there is a straightforward answer to this:
The associated costs of changing trading hours need to be justified by the benefits.
Exchanges, regulators, and large market participants such as banks, hedge funds, buy side long-only funds very closely communicate and weigh pros and cons when considering chang... |
I think there is a straightforward answer to this:
The associated costs of changing trading hours need to be justified by the benefits.
Exchanges, regulators, and large market participants such as banks, hedge funds, buy side long-only funds very closely communicate and weigh pros and cons when considering chang... |
Can one deem an FX float-to-float swap and a FX forward equivalent on dates immediately after repricing? The reason I am asking, I am hedging something that can be modeled via an FX forward, I was given an FX basis swap to hedge it. I want to safe myself some work and claim that they are equivalent on repricing days (o... |
This may seem like a strange question, but for my particular application we need to actually add synthetic microstructure noise to real time charts. The signal should still be representative of the aggregate market direction.
I expect that a good technique would be something related to signal processing in electroni... |
How to automate the margin requirements for Eurex markets? |
During our daily jobs as quants, we tend to be willing to develop all the quantitative libraries ourselves. While I know that we need to develop specific algorithms which are the foundations of our strategies, I believe there are 2 major disadvantages in implementing quantitative libraries (including statistics such as... |
What commercial financial libraries are available to outsource implementation risk? |
During our daily jobs as quants, we tend to be willing to develop all the quantitative libraries ourselves. While I know that we need to develop specific algorithms which are the foundations of our strategies, I believe there are 2 major disadvantages in implementing quantitative libraries (including statistics such as... |
How about a commercial company with an open-source product? [OpenGamma](http://www.opengamma.com/) was a R/Finance sponsor this year, and I've considered using some of their code. |
I have it in mind to build a Multilayer Perceptron for predicting financial time series. I understand the algorithm concepts (linear combiner, activation function, etc). But while trying to build the input, hidden and output layers, I'm running into some questions about the basics.
**A)** I'm confused about the i... |
I'm trying to create a risk-parity portfolio in C# using the Extreme Optimization routines.
I'm mostly trying them out to see if I like them or not before I buy them (I'm a student so money is tight).
My idea was to implement this new kind of portfolio optimization called risk-parity. It basically says that in or... |
I'm trying to create a risk-parity portfolio in C# using the Extreme Optimization routines.
I'm mostly trying them out to see if I like them or not before I buy them (I'm a student so money is tight).
My idea was to implement this new kind of portfolio optimization called risk-parity. It basically says that in or... |
I have it in mind to build a Multilayer Perceptron for predicting financial time series. I understand the algorithm concepts (linear combiner, activation function, etc). But while trying to build the input, hidden and output layers, I'm running into some questions about the basics.
**A)** I'm confused about the i... |
First, let's speak about perceptrons in general:
* their **input** $X_0$ is a $K$-dimensional vector. So if you want to use $(P_{bid}(t),P_{ask}(t), Q_{bid}(t),Q_{ask}(t))$, it would mean that without any effort (but later we will see that is would be better to do some efforts, as usual):
$$X_0(t)=(P_{bid}(t),P_{as... |
First, let's speak about perceptrons in general:
* their **input** $X_0$ is a $K$-dimensional vector. So if you want to use $(P_{bid}(t),P_{ask}(t), Q_{bid}(t),Q_{ask}(t))$, it would mean that without any effort (but later we will see that is would be better to do some efforts, as usual):
$$X_0(t)=(P_{bid}(t),P_{as... |
First, let's speak about perceptrons in general:
* their **input** $X_0$ is a $K$-dimensional vector. So if you want to use $(P_{bid}(t),P_{ask}(t), Q_{bid}(t),Q_{ask}(t))$, it would mean that without any effort (but later we will see that is would be better to do some efforts, as usual):
$$X_0(t)=(P_{bid}(t),P_{as... |
Let $X_t$ be an american style financial derivative with random exercise time $T$
where $t$ and $T$ belongs to some finite set $A$.
Buying this derivative requires the buyer to pay $p_t$ up to time $T$.
Let $\Omega$ be the sample space of $X_t$, $p=(p_t)_{t \in A}$ the price process
and $B={\left(C^A \right)}^\... |
First, let's speak about perceptrons in general:
* their **input** $X_0$ is a $K$-dimensional vector. So if you want to use $(P_{bid}(t),P_{ask}(t), Q_{bid}(t),Q_{ask}(t))$, it would mean that without any effort (but later we will see that is would be better to do some efforts, as usual):
$$X_0(t)=(P_{bid}(t),P_{as... |
First, let's speak about perceptrons in general:
* their **input** $X_0$ is a $K$-dimensional vector. So if you want to use $(P_{bid}(t),P_{ask}(t), Q_{bid}(t),Q_{ask}(t))$, it would mean that without any effort (but later we will see that is would be better to do some efforts, as usual):
$$X_0(t)=(P_{bid}(t),P_{as... |
An observation in capital markets is that the connection between return and risk (measured as volatility) is not that straightforward (at least not as modern portfolio theory assumes). One interesting instance is the so called [low-volatility anomaly][1]:
It turns out empirically that stocks that exhibit low volatil... |
Is Arithmetic Return Bias Basis of Low Vol Anomaly? |
I have been confused about many things concerning the princing of securities with collateral.
We can prove that today's price of a security( fully collateralized and within the same currency) is the expectation under the risk neutral measure of the discounted(with the collateral rate) payoff. This first application... |
What is the relationship between the axioms of Artzner et al (1999) for coherent risk measures and the axioms of von Neumann-Morgenstern (1944) for the expected utility theory?
|
Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern? |
I apologise for being brief, but I don't understand how is Euler equation used in the Ramsey growth model. I am reading a textbook "Dynamic General Equilibrium Modeling" and there is mentioned about it.
I am modeling the Ramsey model using the Kuhn-Tucker theorem, and I have a set of first-order conditions. I think ... |
What is the use of the Euler equation in the Ramsey growth model? |
A new Danish hedge fund has received quite a large amount of attention in the last month or so. They are launching a new investment fund that uses proprietary AI to select stocks to invest in. They claim to on the forefront of this. However, looking a bit on what research exists, it seems as if it is not as cutting-edg... |
Such an article, if written in English, would get laughed at so hard by the blogosphere the authors would be shamed into doing a bit more research on Wikipedia next time before claiming a fully automated AI system is "the first of its kind."
This guy's main competitive advantage is in pitching to non-English speakin... |
I'm doing some work experience for a company and one of my tasks is to research credit default swaps on banks and to write a page about them explaining what they are and how their used to evaluate the banks credit-worthyness..
After doing a bit of research on them I have a few questions;
What is a standard CDS ... |
A few questions on credit default swap contracts? |
Maybe more of a programming question,
Is there a Ruby gem to facilitate conversion of an option symbol notation from one form to another?
For example, one source provides **TZA1220J18**
but an API for a brokerage strictly goes by **TZA^^^121020C00018000**
whose description is **TZA Oct12 18 Call**
If I ... |
Assuming that I performed a multivariate regression and I found a set of $k$ coefficients $\alpha_1, ..., \alpha_k$ for each of the factors $F_1, ... F_k$. I have then computed the following relationship:
$$y_t = \sum_{i=1}^k \alpha_i F_{i,t} + \epsilon_t$$
So far, I only looked at this equation to understand whe... |
How to compute portfolio weights from multivariate regression results? |
I'm doing some work for a company and one of my tasks is to research credit default swaps on banks and to write a page about them explaining what they are and how they're used to evaluate the banks' credit-worthiness.
After doing a bit of research on them I have a few questions:
- What are the terms of a standar... |
What is a standard credit default swap contract and where can I find spread data? What alternatives exist to judge creditworthiness? |
Assuming that I performed a multivariate regression and I found a set of $k$ coefficients $\alpha_1, ..., \alpha_k$ for each of the factors $F_1, ... F_k$. I have then computed the following relationship:
$$y_t = \sum_{i=1}^k \alpha_i F_{i,t} + \epsilon_t$$
So far, I only looked at this equation to understand whe... |
Say I have a limited sample, a month of daily returns, and I want to estimate the 99.5% quantile of the distribution of absolute daily returns.
Because the estimate will require extrapolation, I will need to make a distributional assumption. Is there a standard approach to take here if I want to include the higher k... |
Currently, the federal reserve interest rate is 0-0.25%, and the inflation is 2-3%. Does this contradict the no-arbitrage principle? (The arbitrage being: borrow money at 0.25% and invest it in the "basket of goods" or other non-inflating assets). Essentially, the borrower gets paid to hold assets. Why? |
inflation > interest rate? |
Say I have a limited sample, a month of daily returns, and I want to estimate the 99.5th percentile of the distribution of absolute daily returns.
Because the estimate will require extrapolation, I will need to make a distributional assumption. Is there a standard approach to take here if I want to include the highe... |
What distribution should I apply to estimate the likelihood of extreme returns? |
This is not an arbitrage because the transaction costs of the basket of goods is too high. Ever try to sell an item on eBay? I doubt you'll get 2-3% more for it next year, even new in box. Some of the items in the basket are current consumption goods. Good luck selling those fresh fruits and vegetables next year for... |
I am looking to evaluate the hypothetical advantage one trading system has over another in terms of the possible returns for their latency.
Irene Aldridge wrote a piece [How Profitable Are High-Frequency Trading Strategies?][1] which describes how to relate holding time to Sharpe ratio although her approach seems so... |
The issues pointed out in the various footnotes and references here do not seem to address this issue. There are numerous situations where detailed intelligent binning is not only appropriate, but adds value to the model.
Let's break it down to the basics, which is that in a digital world every thing is categorical.... |
I am looking to evaluate the hypothetical advantage one trading system has over another in terms of the possible returns given their latency.
Irene Aldridge wrote a piece ([How Profitable Are High-Frequency Trading Strategies?][1]) which describes how to relate holding time to Sharpe ratio, although her approach see... |
How does one measure the effect of latency on potential returns? |
I would like to get and idea of how people use GPUs in finance.
I can find some specific papers or books on the subject.
GPUs in binomial model, finite difference, monte carlo,...
But I couldn't find any recent survey papers.
Do you know some recent survey paper?
Or any kind of reference which try to giv... |
I would like to get and idea of how people use GPUs in finance.
I can find some specific papers or books on the subject.
GPUs in binomial model, finite difference, monte carlo,...
But I couldn't find any recent survey papers.
Do you know some recent survey paper?
Or any kind of reference which try to giv... |
I am following an article by Mohamed Elsaiid (MFTA) about Volatility-Based Envelopes - a quite new technical indicator he has introduced, that is being used by Bloomberg. My goal is to get a simple and accurate formula to use.
I have encountered a few issues while trying to formalize the ideas presented in the artic... |
I would like to get and idea of how people use GPUs in finance.
I can find some specific papers or books on the subject.
GPUs in binomial model, finite difference, monte carlo,...
But I couldn't find any recent survey papers.
Do you know some recent survey paper?
Or any kind of reference which try to giv... |
Suppose I have daily returns for a trading strategy against one month of data. Before starting trading on small quantities or buying further data, I would like to understand the worth of any such action. I am basically looking at the returns per day and the standard deviation between these returns.
- Is there a sta... |
Suppose I have daily returns for a trading strategy against one month of data. Before starting trading on small quantities or buying further data, I would like to understand the worth of any such action. I am basically looking at the returns per day and the standard deviation between these returns.
- Is there a sta... |
The [quantstrat][1] R package (which seems to be a part of TradeAnalytics) might be a good solution if you're already using R for analysis. This [introductory blog post][2] explains some of the features. There was a presentation at R/Finance 2011 by Brian Peterson about developing quantitivate strategies in R, [here is... |
An active manager can be good for a few reasons.
They can scale resources much better than an individual investor, and as a result can get better execution prices and access to assets that would be impractical for some individual investors(unsponsored foreign listings comes to mind).
Better firms will ha... |
> **Possible Duplicate:**
> [How much data is needed to validate a short-horizon trading strategy?](http://quant.stackexchange.com/questions/1891/how-much-data-is-needed-to-validate-a-short-horizon-trading-strategy)
<!-- End of automatically inserted text -->
Suppose I have daily returns for a trading strategy ag... |
A recent personal finance question asks [when to hire an investment professional?][1] Given that many of us here are on the professional manager side of the business, how would you make the case? What quantitative evidence would you show a potential client? What research is there to guide one as to the right asset l... |
Ever since I work in finance I was wondering what accrued interest (AI) are good for ([see the wikipedia article](http://en.wikipedia.org/wiki/Accrued_interest) for a short introduction). I think I have a clear picture in mind now and the usual explanations are misleading.
Clean prices (=quoted prices) are needed to... |
Given an implied volatility surface (on equity indexes) and a calibrated model, what is the range of error on implied volatility a trader would accept ?
This obviously depends on the model used to calibrate. I am interested in classical stochastic volatility models (Heston, SABR, e.g.) to begin with.
Thanks in ad... |
What is an acceptable error on implied volatility? |
Given an implied volatility surface (on equity indexes) and a calibrated model, what is the range of error on implied volatility a trader would accept ?
This obviously depends on the model used to calibrate. I am interested in classical stochastic volatility models (Heston, SABR, e.g.) to begin with.
|
Subsets and Splits
No community queries yet
The top public SQL queries from the community will appear here once available.