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The Heston Local Stochastic Volatility (LSV) model has the following dynamics:
$$dS_{t}=r S_{t} d t+L\left(S_{t}, t\right) \sqrt{V_{t}} S_{t} d W_{t},$$
$$d V_{t}=\kappa\left(\theta-V_{t}\right) d t+\eta \sqrt{V_{t}} d Z_{t},$$
$$d W_{t} d Z_{t}=\rho d t.$$
The leverage function which $L\left(S_{t}, t\right)$, whic... |
Heston model is described by following SDE
\begin{equation}
\begin{aligned}
dS_t &= \mu S_t dt + \sqrt{\nu_t} S_t dW^S_t \\
d\nu_t &= \kappa(\theta - \nu_t) dt + \xi \sqrt{\nu_t} dW^{\nu}_t \\
\textrm{Corr}[W^S_t, W^{\nu}_t] &= \rho
\end{aligned}
\end{equation}
If I use Milstein scheme for $\nu _t$ and $S_t$,... |
The point is simply that a trading system selects some days to be long and some days to be short, and if you are lucky or good it selects days that will have a positive return even after removing the drift or upward bias during the overall period. If you try trading rules at random on average they will have zero detren... |
I am to replicate the Betting against beta strategy by Pedersen and Frazzini. We use daily returns of the stocks and construct two portfolios based on their ranked betas. Weights is also based on the rank and you can think of it as given for this problem.
So the problem is that when the portfolios is to rebalance mo... |
I was having a doubt about a fucntion in the QuantLib add-on for excel.
What is the formula for the function: `qlBlackFormulaImpliedStdDev(...)`
I know that there are different methods for finding implieds (such as the Newton-Raphson).
I mean, if you would write it down as a formula, how should it be?? |
The BDS function provided by the Bloomberg Excel plugin produces multiple cells. For example, =BDS("VOD LN Equity", "TICK_SIZE_TABLE") fills three columns and 19 rows of data. The third column contains tick sizes from 0.0001 to 10. How can I extract just the largest value, i.e. 10? I would like the result to take up on... |
I'm currently trying to understand the derivation of a pricing PDE on a european claim that considers stock lending fees: https://cs.uwaterloo.ca/~paforsyt/hjb.pdf
In Appendix A.2, the author talks about stock lending income being a complicated transaction (and I agree, I was not really able to connect the cited pap... |
>how does one actually go about hedging?
Your OAS model determines your hedging instruments, hedge ratios, and hedging (model) risk. If your OAS model calibrates to the LIBOR swap curve and swaption vols (which is common), then you can generate hedge ratios by computing key rate durations of the underlying swap a... |
>how does one actually go about hedging?
Your OAS model determines your hedging instruments, hedge ratios, and hedging (model) risk. If your OAS model calibrates to the LIBOR swap curve and swaption vols (which is common), then you can generate hedge ratios by computing key rate durations of the underlying swap a... |
I'm currently implementing a G++ model (Two Factor Hull & White model with constant parameters) on zero curve bootstrapped from USD IRS.
Currently, USD IRS is inverted at 30 years; swap rate goes up until maturity of 30 years and starts to go down to maturity of 50 years. This causes the bootstrapped zero curve to b... |
I'm currently implementing a G++ model (Two Factor Hull & White model with constant parameters) on zero curve bootstrapped from USD IRS.
Currently, USD IRS is humped at 30 years; swap rate goes up until maturity of 30 years and starts to go down to maturity of 50 years. This causes the bootstrapped zero curve to be ... |
**Assumptions**:
1. Market is efficient
2. All assumptions of BS Model apply
3. Implied Volatility predicted using BS model is same as actual volatility in future. Needless to say that the volatility is constant throughout the position period.
**Description**:
In BS model, option seller of a single strike... |
> Why do people suggest using red black trees/balanced binary trees for the levels in a limit order book?
This one is easy to answer: Because people are unoriginal and keep referencing the same blog post.
> Why are they algorithmically ideal?
They're not necessarily ideal. In fact, they're rarely used in produ... |
> Why do people suggest using red black trees/balanced binary trees for the levels in a limit order book?
Because people are unoriginal and keep referencing the same blog post.
> Why are they algorithmically ideal?
They're not necessarily ideal. In fact, they're rarely used in production trading systems with l... |
I am to replicate the Betting against beta strategy by Pedersen and Frazzini. We use daily returns of the stocks and construct two portfolios based on their ranked betas. Weights is also based on the rank and you can think of it as given for this problem.
So the problem is that when the portfolios is to rebalance mo... |
I am trying to "test" whether the EMH holds by testing for every stock in the S&P 500 whether it has a "significant" CAPM alpha.
If the EMH is true, then the null-hypothesis (alpha = 0) should hold for all stocks, which implies that the p-values for alpha should follow a uniform distribution. If the EMH is false, th... |
I am trying to "test" whether the EMH holds by testing for every stock in the S&P 500 whether it has a "significant" CAPM alpha.
If the EMH is true, then the null-hypothesis (alpha = 0) should hold for all stocks, which implies that the p-values for alpha should follow a uniform distribution. If the EMH is false, th... |
Does anyone know if any providers have a historical economic release calendar? For example, releases of things like ADP private employment, or ISM surveys? I ask because I would like to backtest a strategy that uses these numbers, but would want to obviously avoid lookahead bias and not use a data-series prior to its r... |
>how does one actually go about hedging?
Your OAS model determines your hedging instruments, hedge ratios, and hedging (model) risk. If your OAS model calibrates to the LIBOR swap curve and swaption vols (which is common), then you can generate hedge ratios by computing key rate durations of the underlying swap a... |
>how does one actually go about hedging?
Your OAS model determines your hedging instruments, hedge ratios, and hedging (model) risk. If your OAS model calibrates to the LIBOR swap curve and swaption vols (which is common), then you can generate hedge ratios by computing key rate durations of the underlying swap a... |
I've been trying to calibrate Hull-white one factor model with swaption but I have a trouble making closed form solution of swaption
Below is the part of paper I've been referencing to
[![Closed form solution for caplets and sw][1]][1]
[1]: https://i.stack.imgur.com/cuSBa.png
https://people.kth.se/~aaurel... |
Now I am opening a long position of 1000000 USD on euro futures at a spot FX rate of $1.2568/€. Technically, this means that I am taking a credit of €795,671.55 (2dp) from my broker and immediately am exchanging that amount to 1000000 USD. Therefore, I now have 1000000 USD available in a virtual space but I owe my brok... |
[![enter image description here][1]][1]
So I am looking a particular amount shorted of a stock on bloomberg.
The first panel clearly shows that SI ratio is decreasing on the last data point. Also simultanously it shows the price of the security decreasing on the last data point (everything else constant, i.e. if t... |
How can short-interest ratio be decreasing when price of a stock is decreasing and amount shorted is increasing? |
> Why do people suggest using red black trees/balanced binary trees for the levels in a limit order book?
Because people are unoriginal and keep referencing the same blog post.
> Why are they algorithmically ideal?
They're not necessarily ideal. In fact, they're rarely used in production trading systems with l... |
I was able to prove that, for positive Cash Flows $f_i$ and any value of $f_0$, the $NPV$ function is decreasing in $r$, hence, for $r_m<r_p=IRR$, then $NPV(r_m)>NPV(r_p)=0$.
$$
NPV(r,f_i)=\sum_{i=0}^n{1\over(1+r)^i}f_i
$$
But I cannot prove or disprove with a proof or a simple counterexample that for any posit... |
I heard the background about interest rate models from my coworker.
Especially it gives intuition to me that affine short rate model means it estimate long term interest rate by linearly add premia from estimated term structure.
And the difference of affine and market model is the market model related to market s... |
I am using the explicit finite backward difference scheme to discretize and calculate the price of an European call option in a discretization stencil.
My goal is to find the error at a given time step (e.g. at the 200th time step in a 360 time step model) evaluated at each spatial step (which represents the underl... |
I'm currently reading a paper by Mark Davis in which he talks about a delta hedging error in the Black-Scholes formula.
The delta hedging error is given expressed as $Z_t$ with the formula:
$$Z_t = \int_{0}^{T} e^{r(T-s)} \frac{1}{2} S_t^2 \Gamma_t(\hat{\sigma}- \beta_t^2)dt$$
Where $\beta$ is the realized volatilit... |
This is a futures trade ? If so there are no payments of euros or dollars except for the payment (or receipt) of daily variation margin to the exchange via your broker. If this is CME futures those payments will be in USD and will represent the dollar gain or loss on your trade. This will be automatically debited an... |
I am reading a book on time series. To make a non-stationary series stationary, sometimes we need to difference the series. When it comes to finance, prices are non-stationary. Many authors fit ARMA models to return time series but returns are either log-return or % return which is different to simple differencing. I h... |
Do I use % return, log return or diff of prices to plot ACF? |
My question is about spot-futures arbitrage.
Lets say, t=0 , Spot Price=1.38 , ArbFree Theoretical Fwd Price= 1.40 and Real Futures Market Price = 1.38. So we see that there's arbitrage. I take a long position on the Futures at 1.38 price, a short position on the spot at 1.38 price, and capture the arbitrage.
... |
I'm reading ["Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting" paper][1].
1. Is it just me or authors have a typo in their main warning (***): $\theta$'s seem to have the superscript $A$ on one side, but not the other?
$$d\left(\sum_{i=1}^n \th... |
I intend to set up a fully automated system for trading equities and futures. As preparation for this project, I worked through a couple of books on the topic, e.g., "Trading Evolved" by Andreas F. Clenow. In said book, Andreas uses the Python library [Zipline](https://pypi.org/project/zipline/0.8.4/) for backtesting t... |
I am reading these two papers [Prices of State-Contingent Claims Implicit in Option Prices][1] and [Implied Risk-Neutral Distribution: A Comparison of Estimation Methods][2]. For me it is clear the idea to get the formula P(M, T, ΔΜ) = ([c(M+ΔΜ)-c(M)]-[c(M)-c(M-ΔΜ)])/ΔΜ but I am struggling a bit with the steps afterwar... |
I am reading these two papers [Prices of State-Contingent Claims Implicit in Option Prices][1] and [Implied Risk-Neutral Distribution: A Comparison of Estimation Methods][2]. I understand how we get the formula $$P(M, T, \Delta M) = \frac{\left(c(M+\Delta M)-c(M)\right)-\left(c(M)-c(M-\Delta M)\right)}{\Delta M},$$ whi... |
How can I prove that the return criteria for adding an investment A to an existing portfolio can be represented as the below inequality using the Sharpe Ratio Approach for risk adjusted returns as applied to portfolio decision making?[![enter image description here][1]][1]
[1]: https://i.stack.imgur.com/sc8vz.pn... |
I was able to prove that, for positive Cash Flows $f_i$ and any value of $f_0$, the $NPV$ function is decreasing in $r$, hence, for $r_m<r_p=IRR$, then $NPV(r_m)>NPV(r_p)=0$.
$$
NPV(r,f_i)=\sum_{i=0}^n{1\over(1+r)^i}f_i
$$
But I cannot prove or disprove with a proof or a simple counterexample that for any posit... |
Consider the model by Black and Cox (Journal of Finance, 1976).
The default intensity function is defined in the usual way: $$h(t) \equiv - \frac{\partial \log P[\tau > t| \mathcal{F}_t]}{\partial t}$$
where $\tau$ is the first hitting time of a constant absorbing barrier $V_b$ of a Geometric Brownian motion $V_t$,... |
The VIX white paper (https://cdn.cboe.com/resources/vix/vixwhite.pdf) step #1 (page 6) says the the Forward Index Level is calculated as:
**F = Strike Price + e^RT x (Call Price - Put Price).**
Why doesn't it take dividends into account? Many of the S&P 500 stocks pay dividends, so isn't this formula going to ov... |
The VIX white paper (https://cdn.cboe.com/resources/vix/vixwhite.pdf) step #1 (page 6) says the the Forward Index Price is calculated as:
**F = Strike Price + e^RT x (Call Price - Put Price).**
Why doesn't it take dividends into account? Many of the S&P 500 stocks pay dividends, so isn't this formula going to ov... |
how is leverage calculated for hedge funds that follow a global macro strategy. Specifically interested in knowing the FX exposure- forwards or spots. If it’s just Longs+Shorts, then leverage would be very high? Thanks |
We are using a vendor's software to calculate the Parametric VaR (using RiskMetrics approach) that take as input the volatility figure of the risk factors. The volatility used so far was the lognormal. But, due to negative rates (ie EUR swap), we have to switch to normal ones.
Is it OK to just replace the vol figure... |
My answer is to a certain extent a question: "Switching from lognormal to normal vol" reminds me pretty much of **implied volatility**. Could it be that you plug some implied volatility into you parametric VaR?
If this is the case then I would recommend you to change this and to look at the volatility in the physic... |
Given the Heston model $$dS_t=\mu S_tdt+\sqrt{\nu_t}S_tdB_{1,t}\\ d\nu_t=k(\theta-\nu_t)dt+\eta\sqrt\nu_tB_{2,t}$$
how should the replicating portfolio $V_t$ for the derivative $F_t$ be composed?
I could not clearly understand whether the replicating portfolio $$V_t=\alpha S_t+\beta B_t$$ with $dB_t=rB_tdt$ would b... |
Consider two european put options with strike prices $K, J$ with $K<J$ and maturity $T$.
Then the no arbitrage assumption implies $P_{K}(0)<P_J(0)$, where $P_K(0)$ denotes the price of the put with strike $K$ at time $t=0$.
Proof: Assume otherwise, then sell option with strike $K$ and buy option with strike $S$, ... |
If you have mid price for rfq market in fixed income. What is the internal order book tracking at a bank? Customers dont place limit orders or do they? There arent any other market makers on your order book like at an exchange.
How does an internal order book at a dealer link up to the price generally in the market?... |
What does a electronic dealer track in a RFQ market? |
If you have mid price for rfq market in fixed income. What is the internal order book tracking at a bank? Customers dont place limit orders or do they? There arent any other market makers on your order book like at an exchange.
How does an internal order book at a dealer link up to the price generally in the market?... |
I am working on a college project wherein I want my machine learning model to predict the one-day-ahead direction of a given stock (i.e. whether the closing price of the stock would rise or fall as compared to previous day's closing price).
I am currently working on feature generation/extraction. In stock price dire... |
I'm running backtests with monthly data going back to the 1920's and I'd like to compare different strategies using inflation adjusted CAGR. But I don't know how to calculate it. Would any of these work? What's the right way?
1. Could I deflate the starting value of the portfolio using an inflation rate (current_cpi... |
How do I calculate inflation adjusted CAGR? |
Depending on the interval, yahoo finance seems to show different prices on the chart for SWRD.L:
[Interval=1d][1] => Final price is ~20
[![enter image description here][2]][2]
[Interval=1h][3] => Final price is ~28
[![enter image description here][4]][4]
I use the API for some analysis and realized this disc... |
Yahoo Finance: Different prices depending on the interval? |
I'm trying to calibrate Local stochastic volatility model using finite difference method, and I'm mainly following this referece: [Tian (2015)][1].
I met a problem when calibrating leverage function - the discritized fokker planck equation with ADI Douglas scheme will generate negative density, which leads to negat... |
Let's assume $dD_t = rD_tdt$ ($D_t$ is Bond Price)
and $dS_t = rS_tdt + σS_tdW_t$
The reference said $dD_tdS_t = 0$
But I don't understand the reason why it is zero.
It said, the Bond Price is deterministic so quadratic stock variation goes to zero.
However why the deterministic term makes it zero when it is... |
I would've guessed this question would have been answered somewhere on here before, but I have been going down rabbit holes for days trying to figure it out with no luck...
I want to backtest different value investing strategies, and I'm trying to find a high quality source for historical ticker symbols to create a... |
I'm trying to calibrate Local stochastic volatility model using finite difference method, and I'm mainly following this referece: [Tian (2015)][1].
I met a problem when calibrating leverage function - the discritized fokker planck equation with ADI Douglas scheme will generate negative density, which leads to negat... |
I'm interested in calibrating the Heston model so I was reading about it online. All procedures I could find was using market prices for European call options and using the (semi-)closed-form expression to obtain parameters that would've yielded these call option prices.
However, the Heston dynamics tell us somethin... |
Can you calibrate the Heston model using stock price trajectories? |
Tried to ask this already, but I am still a bit unsure on how to proceed. What I wonder is how to handle the returns and weights of the stocks in a portfolio after rebalancing monthly, so within the month. At the first day of the month, each stock is assigned its predetermined weight and it is then held for a month tog... |
This is not an answer. I'm posting it to show a variation where the chart contains prices in both currencies:
[1d chart with USD and GBP](https://ca.finance.yahoo.com/quote/SWRD.L/chart?p=SWRD.L#eyJpbnRlcnZhbCI6ImRheSIsInBlcmlvZGljaXR5IjoxLCJ0aW1lVW5pdCI6bnVsbCwiY2FuZGxlV2lkdGgiOjgsImZsaXBwZWQiOmZhbHNlLCJ2b2x1bWVVbm... |
I'm a little confused about this. Say there's a ticker I'm interested in called `A` ("Company Holding AG") @ \$1.2. I search for `A` and "Company Holding AG" on my broker and find ticker `B` also called "Company Holding AG". It's currently at \$1, not \$1.2.
Now I find ticker `A.C` and `D` which are both ("Company H... |
Different tickers with the same ISIN are the same - even if stock price is different? |
I'm a little confused about this. Say there's a ticker I'm interested in called `A` ("Company Holding AG") @ \$1.2. I search for `A` and "Company Holding AG" on my broker and find ticker `B` also called "Company Holding AG". It's currently at \$1, not \$1.2.
Now I find ticker `A.C` and `D` which are both ("Company H... |
Let's say the amount invested on December 31, 2020 is 1 dollar (you can think of 1 million dollars if you prefer). This is the initial portfolio value.
The initial weights are [0.5 0.5] by your example. This means the dollar amounts invested are also [0.5 0.5].
Day 1
-
Stock 1 has a 1% return and Stock 2 has ... |
Let's say the amount invested on December 31, 2020 is 1 dollar (you can think of 1 million dollars if you prefer). This is the initial portfolio value.
The initial weights are [0.5 0.5] by your example. This means the dollar amounts invested are also [0.5 0.5].
Day 1
-
Stock 1 has a 1% return and Stock 2 has ... |
Let's say the amount invested on December 31, 2020 is 1 dollar (you can think of 1 million dollars if you prefer). This is the initial portfolio value.
The initial weights are [0.5 0.5] by your example. This means the dollar amounts invested are also [0.5 0.5].
Day 1
-
Stock 1 has a 1% return and Stock 2 has ... |
To do this correctly, you need several things:
* survivorship bias-free price data (that is, data with active and delisted tickers). If you plan to use fundamental data in your investment rules, you also need survivorship bias-free fundamental data.
* securities master data that is sufficiently rich to allow you to... |
I am looking for a service that can be deployed locally or connected to it and would emulate the order matching system of exchange (a.k.a matching core).
I remember, that I have seen on GitHub repo, with software, which allows simulating `NYSE` or `NASDAQ` exchange ECN behavior. So I could send orders to it, and ch... |
Let's say the amount invested on December 31, 2020 is 1 dollar (you can think of 1 million dollars if you prefer). This is the initial portfolio value.
The initial weights are [0.5 0.5] by your example. This means the dollar amounts invested are also [0.5 0.5].
Day 1
-
Stock 1 has a 1% return and Stock 2 has ... |
Status of this answer: _latest update April 6, 2021_.
There is a new paper out which is quite interesting and which basically says that cryptocurrencies are indeed a new asset class, potentially useful as a diversifier of conventional asset classes:
Corbet, Shaen and Meegan, Andrew and Larkin, Charles James and L... |
The 10k Monte-carlo simulations all fall on the same line, instead of a proper scatter plot..
Not sure what I'm doing incorrect. It all works fine, if I include Monero in the mix.
Any pointers ?
I'm doing some basic analysis (I'm a computer engg. but love finance). Read MPT & decided to find the "Max sharpe rati... |
I was wondering what are the reasons why investors use USDCNH forwards vs NDF on USDCNY? Do you usually pick CNH for trade reasons, while CNY more for speculation as these are USD settled? |
I am recently digging into the Heston model and I have noticed that every author refers to the market price of risk simply as $\lambda$, or sometimes it is more clearly specified to be bi-dimensional in a form such as $\lambda=(\lambda_1, \lambda_2)^T$ where $\lambda_1=\frac{\mu-r}{\sqrt{v_t}}$ and $\lambda_2$ is unkno... |
Is the market price of risk deterministic or stochastic in the Heston model? |
I am recently digging into the Heston model and I have noticed that every author refers to the market price of risk simply as $\lambda$, or sometimes it is more clearly specified to be bi-dimensional in a form such as $\lambda=(\lambda_1, \lambda_2)^T$ where $\lambda_1=\frac{\mu-r}{\sqrt{v_t}}$ and $\lambda_2$ is unkno... |
Dear users of StackExchange,
I was wondering why the log returns of a fixed period of time is such a common use in "transforming" a time series into a more stationary one?
I thought that when using the returns of a fixed period like the daily log returns, finding an edge would be hard as I see online almost everybo... |
It is reasonable to assume that global yields move in tandem to a certain extent, driven by a global and a local component. Are there any ways to separate the two, beyond the obvious (regress the local yield changes onto an average change across all yields)? Any pitfalls, like expected/unexpected changes, credit risk, ... |
How is that possible to get survival probabilities starting from CDS spread?
Could you please provide me with a demonstration?
What is more, is that true that CDS Zero type is necessary so as to get survival probabilities? If so, why? |
Knowing that implied volatility represents an annualized +/-1 Standard Deviation range of the stock price, why does the price of an ATM straddle differ from this? Also for simplicity, no rates, no dividends, and the returns of the stock are normally distributed.
Under Black-Scholes:
```
Spot = 100
Strike = 100
D... |
I'm trying to understand how the authers of a paper calibrated their model.
We got data on European type options on the
S&P500-index period from early 2005 to mid-2009. We have daily data on option
prices; 182 implied volatilities for each day in our data-set with moneyness from -30%
to +30% (of current underlyin... |
1 ) You base your calculation on a lot of assumptions.
- IVOL is not directly comparable to historical vol (if computed as std of log returns)
- There is a smile present in markets (different IVOL for different strikes) which means that can never hold in general
- IVOl is usually not quoted (computed in equity)... |
Given, a numéraire $(N(t))_{0\leq t \leq T}$ and an index $(X(t))_{0\leq t\leq T}$ that is a $\mathbb Q^{N}$-martingale, we consider the natural payoff $V_{N}(T)$, where it pays
$$V_{N}(T):=X(T)N(T) \; \; \text{in }T,$$
i.e. it pays the index $X(T)$ in units of $N(T)$.
Now let us consider the payoff $V_{M}(T... |
I am trying to analyze the price of Bitcoin versus the number of Reddit posts about Bitcoin and the sentiment of those posts (daily).
The price is I(1) while the sentiment and the number of posts are I(0). Surprisingly, they seem cointegrated with the maximum number of cointegrating relationships possible (Johansen)... |
I am trying to analyze the price of Bitcoin versus the number of Reddit posts about Bitcoin and the sentiment of those posts (daily).
The price is I(1) while the sentiment and the number of posts are I(0). Surprisingly, they seem cointegrated with the maximum number of cointegrating relationships possible (Johansen)... |
I am trying to analyze the price of Bitcoin versus the number of Reddit posts about Bitcoin and the sentiment of those posts (daily).
The price is I(1) while the sentiment and the number of posts are I(0). Surprisingly, they seem cointegrated with the maximum number of cointegrating relationships possible (Johansen)... |
Where can I get order book data? |
The shape of the volatility curve in index options trading typically shows that the 'just' ITM options have the lowest implied volatility.
If you are long an ATM Call and the market moves down I see two results;
1. That Call should now be approaching the bottom of the curve and its implied volatility will ***decr... |
You are long a hedged ATM SPX Call and the market moves down. Do you gain or lose in volatility terms? |
To add:
Given $r=y=0$ and $S=X$, the value of the straddle portfolio ($P+C$) relative to the spot price is
$$
\frac{P+C}{S}=\frac{2N(d_1)(S+X)-(S+X)}{S}= 4N(d_1)-2
$$
the statement
> relative straddle price equals implied vol
would now require that $(P+C)/S\approx \sigma$, i.e. $\sigma=4N(0.5\sigma)-2$ ... |
I am looking for historical data on Treasury bills and bond yields for Italy on a monthly on daily basis. Where can I get this data? |
I am looking for historical data for Treasury bills and bond yields for Italy on a monthly or daily basis. Where can I get this data? |
The Federal Funds rate has exhibited regular drops at month ends since beginning of 2015.
[![enter image description here][1]][1]
(Source: FRED https://fred.stlouisfed.org/series/EFFR)
Some studies (e.g., https://www.mdpi.com/1911-8074/14/5/204/pdf) have pointed to window dressing by banks to boost their LCR i... |
The Federal Funds rate has exhibited regular drops at month ends since beginning of 2015.
[![enter image description here][1]][1]
(Source: FRED https://fred.stlouisfed.org/series/EFFR)
Some studies (e.g., https://www.mdpi.com/1911-8074/14/5/204/pdf) have pointed to window dressing by banks to boost their LCR i... |
I have a somewhat basic question regarding option prices.
Suppose we have an underlying stock and two different options (that have different strike prices, maturities, etc.) that track this stock. What factors can cause these options to have different implied volatilities?
One intuitive reason is I've come up w... |
So firstly, only ITM puts have a low implied volatility relative to ITM calls. ITM puts and OTM calls must have the same IV due to Put-Call Parity. Negative IV skew exists in indices such as the S&P500, NASDAQ, etc where OTM puts and therefore ITM calls (Put-Call Parity) have a greatly higher IV relative to ATM IV and ... |
I trade stocks using relative strength analysis compared with S&P index. I was wondering if crypto traders do the same compared with Bitcoin price %change. These coins had a higher %gain than btc in the downtrend for a month.
https://ibb.co/1L3hNVd
Which of them would you select and why?
Is crypto exchange av... |
I trade stocks using relative strength analysis compared with S&P index. I was wondering if crypto traders do the same compared with Bitcoin price %change. These coins had a higher %gain than btc in the downtrend for a month.
https://ibb.co/1L3hNVd
Which of them would you select and why?
Is crypto exchange av... |
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