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What is the longest number of consecutive days that options implied volatility has stayed "extremely high" for any particular underlying? |
Me and my friends are from Europe, we went to US. At the end of the trip they bought an item worth $USD 100$, but because they were short of money, so I paid for the item first with my own $USD 100$.
After we came back from Europe, they would have to pay me. They would like to pay me in EUR. What is the *fair* amoun... |
What does a CVA (Vredit Valuation Adjustment) desk do, and how are its activities different from other trading desks? Can you work as a quant for a CVA desk and consider your role "front office"? |
What does a CVA (Credit Valuation Adjustment) desk do, and how are its activities different from other trading desks? Can you work as a quant for a CVA desk and consider your role "front office"? |
There is a very cheap (i.e. free) way of obtaining the list of companies included in the S&P500 at a given time.
Check the revision history for the S&P wikipedia site: http://en.wikipedia.org/w/index.php?title=List_of_S%26P_500_companies&limit=500&action=history
Ugly and unreliable but you usually get what you pa... |
What is the practical use for Vanna in trading?
How can it be used for PnL explanation?
|
Vanna - any practical used for risk/pnl attribution purposes? |
Consider $U_1(\mu,\Sigma)$ and $U_2(\mu,\Sigma)$, where $U_1(\mu, \cdot) = U_2(\mu, \cdot)$, $U_1(\cdot, \Sigma) = U_2(\cdot, \Sigma)$ such that
\begin{equation*}
arg\inf\limits_{\mu \in U_1(\mu, \cdot), \Sigma \in U_1(\cdot, \Sigma)} \left(w^T \mu – \alpha w^T \Sigma w \right)
\equiv arg\inf\limits_{\mu \in U_2(\... |
Consider $U_1(\mu,\Sigma)$ and $U_2(\mu,\Sigma)$, where $U_1(\mu, \cdot) = U_2(\mu, \cdot)$, $U_1(\cdot, \Sigma) = U_2(\cdot, \Sigma)$ such that
\begin{equation*}
arg\inf\limits_{\mu \in U_1(\mu, \cdot), \Sigma \in U_1(\cdot, \Sigma)} \left(w^T \mu – \alpha w^T \Sigma w \right)
\equiv arg\inf\limits_{\mu \in U_2(\... |
I have a time series with monthly data from which I compute the expected shortfall empirically, following the classical definition which can be found, for example, in [wikipedia's definition][1].
That is, assuming I have 200 monthly returns and I am looking to compute the 10% expected shortfall, I take the worst 20 ... |
How to annualize Expected Shortfall? |
Does anyone know of a source of machine-readable (XML,etc) OCC Infomemos? The PDF files available below contain all the information I want, but are a pain to parse.
http://www.optionsclearing.com/market-data/infomemos/infomemos1.jsp |
Availability of machine-readable OCC Infomemos? |
So, reading the question, I see two parts: first, can Black-Scholes be part of the buying process? and second, is Black-Scholes, by itself, sufficient to evaluate a stock and make a decision on whether to purchase it?
The answer to the first, is yes. The answer to the second, is basically no. Black-Scholes genera... |
What is the practical use for Vanna in trading?
How can it be used for a PnL attribution?
|
Vanna - any practical uses for risk or pnl attribution purposes? |
What types of neural networks are most appropriate for forecasting returns on High-Frequency strategies?
<p>- Support Vector Machines;
<p>- Radial Basis Function Networks;
<p>- Multilayer Perceptron;
<p>- Q-learning networks or Recurrent Reinforcement;
<p>- maybe smth else |
ok, so I can't post more than 1 link since I'm a noobie noob, and in the course of correcting this, Stack managed to delete my post. so here's the more abbreviated, slightly irritated author version…
I'd like to calculate the fair market capitalization of the Metropolitan Transportation Authority of New York.
... |
How to calculate the Metropolitan Transportation Authority of New York's market capitalization or fair market value? |
Anyone can tell me what the first column and the last column in this FX tick dataset mean? The first seems like some kind of ID, and what D in the last column mean?
368412956 AUD/CAD 12/30/2007 17:00:03.000 0.8598 0.8604 D
368413005 AUD/CAD 12/30/2007 17:00:58.000 0.8599 0.8605 D
... |
My personal favourites:
- pricing and hedging in incomplete markets, in particular credit derivatives
- stochastic prediction-discount and inter-tenor
basis in the interest rate market; see ["Two curves, one price"][1] (Bianchetti) and ["Interest Rates and The Credit Crunch: New Formulas and Market Models "]... |
Yahoo Finance allows you to download tables of their daily historical stock price data.
The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a first step to other kinds of analyses.
To calculate the adj. close you need to know all the splits and dividends, and e... |
Any known bugs with Yahoo Finance adjusted close data ? |
As far as I understand, most investors are willing to buy options (puts and call) in order do limit their exposure to the market in case it goes opposite to their direction. This is due to the fact that they are long Gamma.
Being short Gamma would mean that:
- for an investor who is long, its exposure to the mar... |
What would be the best approach to handle **real-time intraday data storage**?
For personal research I've always imported from *flat files* only into memory (*historical EOD*), so I don't have much experience with this. I'm currently working on a side project, which would require daily stock quotes updated every min... |
What would be the best approach to handle **real-time intraday data storage**?
For personal research I've always imported from *flat files* only into memory (*historical EOD*), so I don't have much experience with this. I'm currently working on a side project, which would require daily stock quotes updated every min... |
Attempting to get a high level understanding of the role that quantitative finance plays in the financial global markets. Does anyone the a way to estimate the percents of earnings and losses globally on an annual basis attributed to quantitative finance? |
What is the effect of quant finance on global markets? |
Attempting to get a high level understanding of the role that quantitative finance plays in the financial global markets. Open to any suggestion on how to do this, but figure a starting point might be to estimate the percents of earnings and losses globally on an annual basis attributed to quantitative finance? |
This answers a slightly larger question than you're asking, but I highly recommend ["An Engine, Not a Camera: How Financial Models Shape Markets"][1] by Donald MacKenie, which is part of the burgeoning field of "Social Studies of Finance". Some relevant links:
- http://socfinance.wordpress.com/
- http://www.soci... |
This answers a slightly larger question than you're asking, but I highly recommend ["An Engine, Not a Camera: How Financial Models Shape Markets"][1] by Donald MacKenzie, which is part of the burgeoning field of "Social Studies of Finance". Some relevant links:
- http://socfinance.wordpress.com/
- http://www.soc... |
Fund managers are acting in a highly stochastic environment. What methods do you know to systematically separate skillful fund managers from those that were just lucky?
Every idea, reference, paper is welcome! Thank you! |
I am currently working in a firm that does algo trading.
We do all of our stuff in java. and we do make money out of it.
We have debates all the time whether we would have made more money with native or vhdl on network cards.
We dont do super high frequency though we do more complicated trades. Eventhough w... |
How good is managed code for algotrading? |
I am currently working in a firm that does algo trading. We do all of our stuff in Java. And we do make money out of it. We have debates all the time whether we would have made more money with native or VHDL on network cards.
We don't do super high-frequency though we do more complicated trades. Even though we need ... |
How good is managed code for algo trading? |
There are [tons of languages used in this field](http://quant.stackexchange.com/q/306/35). As for Java-based trading platforms, [Marketcetera](http://www.marketcetera.com/site/) is popular with customers.
To justify switching languages, you'd need to show that there is a bottleneck preventing your team from collecti... |
Consider $U_1(\mu,\Sigma)$ and $U_2(\mu,\Sigma)$, where $U_1(\mu, \cdot) = U_2(\mu, \cdot)$, $U_1(\cdot, \Sigma) = U_2(\cdot, \Sigma)$ such that
\begin{equation*}
arg\inf\limits_{\mu \in U_1(\mu, \cdot), \Sigma \in U_1(\cdot, \Sigma)} \left(w^T \mu – \alpha w^T \Sigma w \right)
\equiv arg\inf\limits_{\mu \in U_2(\... |
I'm trying to understand what caused certain price movements (aren't we all!) in per-minute data for major NYSE stocks. In particular, I'd like to determine whether a given price movement of *X*% in either direction was due to a single entity making a large trade (maybe their order-splitting algorithms leave traces, or... |
I am taking a degree in macro economics, and am at a juncture where knowledge about the Keynesian Multiplier is imperative. Though I've been at the lectures, read the literature and scoured the web, I am still somewhat confused about exactly how to define the model for this multiplier. At present, I would say that the ... |
Suppose you have a trading system that is never flat, but either long or short the market. You have four years of performance. During that period, your system changed its position 10 times. So you have 10 trades from which to calculate expected return. Assume you always traded the same lot size. In a transaction-based ... |
How does return-based analysis calculate expected return of a trading system? |
Suppose you have a trading system that is never flat, but either long or short the market. You have four years of performance. During that period, your system changed its position 10 times. So you have 10 trades from which to calculate expected return. Assume you always traded the same lot size. In a transaction-based ... |
As far as I understand, most investors are willing to buy options (puts and call) in order to limit their exposure to the market in case it goes opposite to their direction. This is due to the fact that they are long gamma.
Being short gamma would mean that:
- for an investor who is long, its exposure to the mar... |
Suppose you have a trading system that is never flat, but either long or short the market. You have four years of performance. During that period, your system changed its position 10 times. So you have 10 trades from which to calculate expected return. Assume you always traded the same lot size. In a transaction-based ... |
Suppose you have a trading system that is never flat, but either long or short the market. You have four years of performance. During that period, your system changed its position 10 times. So you have 10 trades from which to calculate expected return. Assume you always traded the same lot size. In a transaction-based ... |
I need to display in my system the amount of stocks that I own and the average price it took me to buy them. I am having a problem doing that when I include the selling.
Lets say I bought 4 stocks in 100 usd each.
and I sold 2 stocks for 110 usd each.
Now my position is 2 stocks for what average price ?
O... |
How do I calculate weighted mean with negative weights? |
I need to display in my system the amount of stocks that I own and the average price it took me to buy them. I am having a problem doing that when I include the selling.
Lets say I bought 4 stocks in 100 usd each.
and I sold 2 stocks for 110 usd each.
Now my position is 2 stocks for what average price ?
O... |
How do equivalent martingale measures arise in pricing? |
You can also have a look at [**ALGLIB**][1] or [**DotNumerics**][2].
It would help though if you clarified what kind of optimization problem you have or what kind of algorithm you look for. And if by **free** you mean ***GPL*** or something more like ***MIT***?
[1]: http://www.alglib.net/optimization/
[2]:... |
As you know, the _key equation_ of risk neutral pricing is the following:
$\exp^{-rt} S_t = E_Q[\exp^{-rT} S_T | \mathcal{F}_t]$
That is, discounted prices are Q-martingales.
It makes real-sense for me from an economic point of view, but is there any "proof" of that?
I'm not sure my question make real sense... |
How should one correctly **forward adjust** historical prices given a time series of Open, High, Low, Close, Return?
Suppose that the data series is given below ('1' is the oldest interval; '5' is the latest one):
interval open high low close return
`1 17.36 17.54 17.17 17.19 0.00%`
`2 17.38 17.41 17.2 17... |
Forward Adjusting Stock Prices? |
How should one correctly **forward adjust** historical prices given a time series of Open, High, Low, Close, Return?
Suppose that the data series is given below ('1' is the oldest interval; '5' is the latest one):
interval open high low close return
`1 17.36 17.54 17.17 17.19 0.00%`
`2 17.38 17.41 17.2 17... |
As you know, the _key equation_ of risk neutral pricing is the following:
$\exp^{-rt} S_t = E_Q[\exp^{-rT} S_T | \mathcal{F}_t]$
That is, discounted prices are Q-martingales.
It makes real-sense for me from an economic point of view, but is there any "proof" of that?
I'm not sure my question make real sense... |
As you know, the _key equation_ of risk neutral pricing is the following:
$\exp^{-rt} S_t = E_Q[\exp^{-rT} S_T | \mathcal{F}_t]$
That is, discounted prices are Q-martingales.
It makes real-sense for me from an economic point of view, but is there any "proof" of that?
I'm not sure my question make real sense... |
How should one correctly **forward adjust** historical prices given a time series of Open, High, Low, Close, Return?
Suppose that the data series is given below ('1' is the oldest interval; '5' is the latest one):
interval open high low close return
---------------------------------------
1 ... |
Assuming your data provides the "print close", and there's no dividends and no splits, here's the R code where all values are divided by the first "print close" of 17.19. This appears to match your results, except for the first line.
texinp <- "
interval open high low close
1 17.36 17.5... |
Assuming your data provides the "print close", and there's no dividends and no splits, here's the R code where all values are divided by the first "print close" of 17.19. This appears to match your results, except for the first line.
texinp <- "
interval open high low close
1 17.36 17.5... |
I'm looking for an indicator which tells me if it's a good time to use mean reverting type quantitative trading strategies.
In order to do so I look at the market (the few hundred stocks I trade) and try to build a measure with previous prices, volumes etc.
It's seems difficult to have a multivariate model based ap... |
I think of mean reversion as more of a single stock phenomenon. In aggregate, these ididosyncratic mean reversions should offset one another and make the market smoother than its component stocks.
There is a lot of work on mean reversion at the single stock level. The best entry is [Jegadeesh's 1990 paper][1] on wha... |
I did cointegration test on two identical time series, and the result shows that they are not cointegrated, but intuitively, I think they are.
Can anyone share some thoughts on this? Thanks! |
Are two identical time series cointegrated? |
Assuming your data provides the "print close", and there's no dividends and no splits, here's the R code where all values are divided by the first "print close" of 17.19. This appears to match your results, except for the first line.
texinp <- "
interval open high low close
1 17.36 17.5... |
Deutsche Bank’s ETF platform, db X-trackers, provides a rather remarkable ETF tracking Euro Stoxx 50 (which is the most widely used regional blue-chip index in Europe).
What makes it remarkable is its cost - the fund's TER is 0.00%. But even more surprisingly, the passively managed ETF has been consistently outpe... |
What are the most famous/best performing absolute-return funds employing approaches based on mainstream finance theory (i.e., theory presented in Journal of Finance, AER, Econometrica, using typically factor models)? I am asking because I know certified outstanding managers using fundamental analysis (e.g., Buffett, Ro... |
Most successful investors using academic-based framework? |
That's a tough question to answer. The "quant business" is a business. Some quants sell low-grade/low-volatility results, some sell fast-moving/unpredictable results, some sell industry targeted results, etc. It depends on what the buyer wants to buy. There's a market for everything. Haven't we all met people... |
Mr. Soros in his books talked about principles which are not used by today's financial mathematics - namely reflexivity of all actions on the market. Simply it can be given by following: expectations of traders are based on the news and historical prices. They trade based on their expectations and hence influence on pr... |
The issue for any technique is, does it consistently work as expected in the future? If not, then it's worthless.
The idea behind mean reversion is that you have a "mean" that means something (it's not arbitrary), and a deviation from that mean that reverts in some consistent way. A pair trade is a common form of... |
Mr. Soros in his books talked about principles which are not used by today's financial mathematics — namely reflexivity of all actions on the market. Simply it can be given by following: expectations of traders are based on the news and historical prices. They trade based on their expectations and hence influence ... |
The issue for any technique is, does it consistently work as expected in the future? If not, then it's worthless.
The idea behind mean reversion is that you have a "mean" that means something (it's not arbitrary), and a deviation from that mean that reverts in some consistent way. A pair trade is a common form of... |
As you know, the _key equation_ of risk neutral pricing is the following:
$\exp^{-rt} S_t = E_Q[\exp^{-rT} S_T | \mathcal{F}_t]$
That is, discounted prices are Q-martingales.
It makes real-sense for me from an economic point of view, but is there any "proof" of that?
I'm not sure my question make real sense... |
[Renaissance Technologies Medallion fund][1] is one of the most successful hedge funds - ever! Yet it is very secretive.
Do you have information on the strategy used that is not yet mentioned in the Wikipedia article above?
Is there really something fundamental going on (the Holy Grail of investing) - or will thi... |
Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoof? |
There are a some information about Renaissance Technologies available in [The Quants][1] from Patterson.
Basically, and it's also what I heard in general, they are using intensively algorithmic trading, and from what I understood there are using Information Theory (they worked with [Shannon][2] if I remember well).
... |
This is a follow-up question to [this one][1].
In one of the answers there was a reference to [The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It][2]
After doing some browsing in the book I found that it states that Renaissance Technologies obviously very successfully employ... |
Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff? |
[Renaissance Technologies Medallion fund][1] is one of the most successful hedge funds - ever! Yet it is very secretive.
Do you have information on the strategy used that is not yet mentioned in the Wikipedia article above?
Is there really something fundamental going on (the Holy Grail of investing) - or will thi... |
There are a some information about Renaissance Technologies available in [The Quants][1] from Patterson.
Basically, and it's also what I heard in general, they are using intensively algorithmic trading, and from what I understood there are using Information Theory (they worked with [Shannon][2] if I remember well).
... |
I recently read a blog entry where some statistics were generated for a common technical analysis indicator. Below is the link. My question shows up close to the bottom under the name bill_080, in the "Response" section:
http://www.portfolioprobe.com/2011/04/16/a-bit-of-analysis-of-the-dow-golden-cross/
My ques... |
I recently read a blog entry where some statistics were generated for a common technical analysis indicator. Below is the link. My question shows up close to the bottom under the name bill_080, in the "Response" section:
http://www.portfolioprobe.com/2011/04/16/a-bit-of-analysis-of-the-dow-golden-cross/
My ques... |
I recently read a blog entry where some statistics were generated for a common technical analysis indicator. Below is the link. My question shows up close to the bottom under the name bill_080, in the "Response" section:
http://www.portfolioprobe.com/2011/04/16/a-bit-of-analysis-of-the-dow-golden-cross/
My ques... |
[Renaissance Technologies Medallion fund][1] is one of the most successful hedge funds - ever! Yet it is very secretive.
Do you have information on the strategy used that is not yet mentioned in the Wikipedia article above?
Is there really something fundamental going on (the Holy Grail of investing) - or will thi... |
Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoof? |
Currency valuation with respect to the other currencies of the world is one of important parameter in finance but how it is affected/related to Cash reverse ration of that country? |
Currency valuation (with respect to other currencies) is an important parameter in finance, but how is it related to the cash reserve ratio? |
How does currency valuation depend on the cash reserve ratio for a country? |
I need a website which shows previous performance of all available hedge funds.
And also the minimum investment amount column there would be useful.
Do you know one? |
I recently read a blog entry where some statistics were generated for a common technical analysis indicator. Below is the link. My question shows up close to the bottom under the name bill_080, in the "Response" section:
http://www.portfolioprobe.com/2011/04/16/a-bit-of-analysis-of-the-dow-golden-cross/
My ques... |
Imagine an investor with $10-100k in her pocket. She wants to see the previous performance of various funds to choose the one to invest. And she wants to filter out the ones which accept minimum one million investment. Is there a website to help her to make the informed choice?
|
Imagine a British investor with $10-100k in her pocket. She wants to see the previous performance of various British and overseas funds to choose the one to invest. And she wants to filter out the ones which accept minimum one million investment. Is there a website to help her to make the informed choice?
|
I'm looking a clearly articulated description of the difference between trade matching (e.g. Omgeo's CTM) and trade affirmation (e.g. Omgeo's Oasys). From what I understand, they both involve electronic matching of trade details. So, what's the difference? |
[Renaissance Technologies Medallion fund][1] is one of the most successful hedge funds - ever! Yet it is very secretive.
Do you have information on the strategy used that is not yet mentioned in the Wikipedia article above?
Is there really something fundamental going on (the Holy Grail of investing) - or will thi... |
Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff? |
I'm looking for a clearly articulated description of the difference between trade matching (e.g. Omgeo's CTM) and trade affirmation (e.g. Omgeo's Oasys). From what I understand, they both involve electronic matching of trade details. So, what's the difference?
(For those who are just trying to follow the conversatio... |
[Renaissance Technologies Medallion fund][1] is one of the most successful hedge funds - ever! Yet it is very secretive.
Do you have information on the strategy used that is not yet mentioned in the Wikipedia article above?
Is there really something fundamental going on (the Holy Grail of investing) - or will thi... |
I'll start this off with a rather broad question: I am trying to simulate returns of a large number of assets within a portfolio of different classes - equity and fixed income in a first step, say 100 stocks and 100 bonds. The main target is to preserve something similar to a realistic correlation structure within the ... |
I'll start this off with a rather broad question: I am trying to simulate returns of a large number of assets within a portfolio of different classes - equity and fixed income in a first step, say 100 stocks and 100 bonds. The main target is to preserve something similar to a realistic correlation structure within the ... |
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