All Questions
22,581
questions
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42
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Intraday Volatility Magnitudes
I know this is a frequent question, but I'm just concerned over a few notational points and the differences between my estimators.
I have a time series for a particular financial security over a day. ...
0
votes
1
answer
40
views
Monte Carlo simulations with extremely high volatility
I am using monte Carlo simulations to price a forex option. This is a standard model and works very well with less than 1 % error from black scholes price for 10000 simulations. But, as I increase ...
1
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0
answers
46
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Local volatility from stochastic volatility: implications for hedging
This is something I've been wondering about:
Given a stochastic volatility model with (stochastic) spot variance $\sigma^2_t$, according to Gyöngy's theorem there exists a local volatility $\sigma^2(K,...
- 2,028
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23
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Large tick-size assets queue position effects
When I look into the literature, I can see that queue position is one of the most important things in large tick-size assets. It helps to have an earlier execution and can help with the adverse ...
0
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28
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Distribution fitting to data with (isolated) extreme observations
Let's assume I have 2 time series of daily observations of a given experiment. The data of one time series show a very long tail (either side) and in absolute sense the difference between the lowest ...
9
votes
4
answers
1k
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What makes Python better suited to quant finance than Matlab / Octave, Julia, R and others?
Some background, I am not a developer at all and until now all my scripts are in Octave (open source version of Matlab). However it seems that Python is the way to go.
As I am not a developer, and I ...
- 2,028
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52
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Modified Duration vs. Real-World Bond Price and Yield Changes
We know that modified duration at time $t$ of a bond with maturity $n$ is defined as:
$$
D_{nt} = - \frac{1}{P_{nt}} \frac{\partial{P_{nt}}}{\partial y_{nt}}
$$
And the definition of a derivative is:
$...
1
vote
0
answers
40
views
Pnl attribution to alphas
I have about 10 alphas. I assign each of these alphas a weight and then add them up to form a combined alpha. Now I am feeding this to a mean variance optimizer that considers transaction costs and ...
- 263
1
vote
1
answer
46
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Delta of ATM barrier option
Can you please share the intuition behind the delta of a ATM down & in PUT being less than a ATM plain vanilla put (usually around 0.3 instead of 0.5)?
- 31
0
votes
1
answer
70
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What prevents Eurobanks from lending out more eurocurrency than they have? [closed]
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
2
votes
0
answers
46
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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 ...
- 21
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0
answers
50
views
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 ...
- 418
0
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0
answers
51
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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
73
views
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 ...
0
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31
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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, ...
