All Questions
22,573
questions
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What prevents Eurobanks from lending out more eurocurrency than they have?
I am a complete novice, so please forgive me for any misused terms or lack of knowledge.
A eurobank has minimal oversight yet is able to transmit eurocurrency to other banks.
Doesn't this effectively ...
- 101
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16
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Calculating value of vanilla swap after effective date
I'm trying to find the value of a fixed to float interest rate swap using Rateslib library but I'm running into a few issues.
I've followed the code exactly as the link here but now I'm trying to ...
- 1
0
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37
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Why discount results by 50%?
I am reading Harvey & Liu (2015) article, which says the following:
A common practice in evaluating backtests of trading strategies is to discount the
reported Sharpe ratios by 50%. There are ...
- 368
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34
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IRS Swaps market
I would like to understand who are the major actors in the IRS Swap market and what's the major reason of the volume traded for a certain tenor.
I am not able to find any of this information that ...
0
votes
1
answer
43
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two guys flip fair coins until they obtain their first heads. it takes strictly fewer flips for one to get his first heads than the other
Alex and Blake each flip fair coins until they obtain their first heads, respectively. Given that it takes strictly fewer flips for Alex to get his first heads than Blake, compute the expected number ...
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19
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Temporal dependencies in time-series
To my knowledge, the algorithms that require stationary input can't capture temporal dependencies. This is inherent due to the fact that the input features must be stationary, thus things like trends, ...
0
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0
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11
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Upper Bound on European/American Call Option (Hull)
I recently began reading Hull's derivatives textbook, and found a line that he didn't expand on much. Let $c$ be the price of a European call, $C$ be the price of an American call, and $S_0$ be the ...
- 1
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23
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Confusion in estimating Gueant Lehalle Fernandez Tapia Intensity
I am trying to calibrate the A, k from GLFT, (Thesis), on limit order book data that contains the best bid, best ask, and hence midprice.
My methodology: I take the midprice (At $t_0$), then I "...
3
votes
1
answer
178
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Clarifying the Fundamental Difference Between Growth and Value Stocks
The more I think about the fundamental difference between growth and value stocks the more confused I am. Both strategies seem to exploit market mispricing: growth investors target underestimated ...
- 27.5k
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33
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Negative Prices in Heston Model [closed]
I tried implementing the heston model in python and calibrating it. But my model keeps printing negative prices for S&P Index Options. I am not sure, if the problems lays in the implementation or ...
- 1
0
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45
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Does adverse selection affect roll seller more than buyer?
This paper that analyzes the determinants of dollar roll specialness seems to make the underlying assumption that adverse selection related to CTD pools affects the roll-seller more than the roll ...
- 895
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37
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Discretisation of Heston SV with Jumps (SVJ - Bates)
I want to simulate a price path of SVJ model (Bates) in Excel to see how it works in real time but I need help on how to discretise and construct the jump part with a Poisson process into Heston model ...
- 23
1
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58
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Logical mistake in PL attribution
We are attributing the PnL of a single stock option to risk factors, solving the PLA problem. We have desk quotes $MV(T-1), MV(T)$, and $PnL_{T}=MV(T)-MV(T-1)$. We associate $MV$'s to $\sigma_{iv}^{T-...
- 145
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34
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Model for MEan Reversion [closed]
I am a newbie. I need to test mean reversion in a really volatile asset which had went a lot in the last years (a Crypto). Which model would you suggest?
2
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0
answers
40
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How can you explain the substantially lower trading volume shown in IBKR?
I am using IBKR API to download historical data. The trading volumes are always substantially lower than from Yahoo Finance and Nasdaq.com, often lower by 50%. It is impossible to be explained by ...
- 131