Most Popular
1500 questions
8
votes
1 answer
How to assign equity analyst recommendations to a common, numeric scale?
Yahoo finance conveniently provides historic ratings from a number of analysts. Unfortunately, each analyst seems to use a different scale: buy/hold/sell, perform/outperform/neutral, overweight/equal weight/underweight, etc.
I've already written a…
Zach
- 1,381
- 2
- 13
- 21
8
votes
2 answers
Is it better to grade hedging strategies based on the sum of absolute or squared hedging errors?
Let's say I have one strategy that has a hedging error of:
2,
2,
-2,
-2
Let's say I have another strategy that has a hedging error of
.5,
.5,
3,
3
Would it be a better idea to grade the hedging strategies based on the sum of hedging errors…
sooprise
- 575
- 1
- 4
- 9
8
votes
1 answer
If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look?
Question: if VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look? +60 or +30?
Lets see if I'm on the right track:
Premise 1: VIX is the Implied Volatility (IV) of SPX, looking +30 days into…
Contango
- 1,490
- 2
- 19
- 28
8
votes
2 answers
What is more appropriate: the EMA of the option price or the EMA of the underlying?
I'm progressing, all too slowly, on a site that aims to show real-time numbers for options that are listed on the CBOE. Most of the instantaneous numbers are all set. Now I'm going to pay attention to some of the trends in those numbers: option…
Pete Wilson
- 631
- 5
- 13
8
votes
1 answer
Up and Down days in GBPUSD and a Filter
I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very similar to a 50-50 chance.
Now I want to see if by…
tn240
- 121
- 2
8
votes
2 answers
How to combine various equity measures into a single measure (vector magnitude)
I have several measures:
1. Profit and loss (PNL).
2. Win to loss ratio (W2L).
3. Avg gain to drawdown ratio (AG2AD).
4. Max gain to maximum drawdown ratio (MG2MD).
5. Number of consecutive gains to consecutive losses ratio (NCG2NCL).
If…
Kiril
- 905
- 9
- 11
8
votes
2 answers
Change periodicity on Rblpapi
So Dirk Eddelbuettel, Whit Armstrong, and John Laing released Rblpapi to CRAN recently, and it is awesome. I'm having some difficulty understanding how the overrides work though, hopefully someone can help me out.
I'm trying to import price…
JM Dorchuck
- 83
- 1
- 4
8
votes
1 answer
Are shorter holding period strategies better?
Consider two statistically identical strategies (identical information ratios, sample size, ratio of transaction costs to total profit, etc.) except that one has a much shorter average holding period. Is there a statistical reason to favor one over…
Tal Fishman
- 13,449
- 7
- 63
- 110
8
votes
2 answers
How to perform risk budgeting for non-linear portfolios?
I am using this question to compute optimal weights following a risk budgeting approach. The problem is I am using non-linear portfolios (options,equity,fixed income,fx).
What I am looking for is that each asset class contributes the same amount of…
FernandoG
- 118
- 7
8
votes
3 answers
Why is CSA currency OIS rate used in discounting instead of local currency OIS?
I have been struggling to understand the logic behind cross currency OIS discounting (where cash flows happen in different currencies than the collateral is paid). I will illustrate my question through example with very much simplified…
beefield
- 81
- 1
- 3
8
votes
8 answers
Why are Quantquote historical trades different vom ActiveTick historical trades
I bought quantquote.com historical data of AAPL on second basis.
To comapre I also got activetick.com
For activetick I used the historical trading API.
If you look at around 15:13:53 you see that ActiveTick reports Quotes where QuantCode claims non…
user670186
- 189
- 1
- 5
8
votes
3 answers
Stochastic Calculus Rescale Exercise
I have the following system of SDE's
$ dA_t = \kappa_A(\bar{A}-A_t)dt + \sigma_A \sqrt{B_t}dW^A_t \\
dB_t = \kappa_B(\bar{B} - B_t)dt + \sigma_B \sqrt{B_t}dW^B_t $
If $\sigma_B > \sigma_A$ I would consider the volatility $B_t$ to be more volatile…
Phun
- 624
- 5
- 10
8
votes
1 answer
Does price of american (put) option exhibit smooth pasting in time direction under B-S model?
Let us consider the BS model and let $f(s,t)$ denote the price of an American put option with $t$ to expiry, then it is known the solution of the optimal stopping (when it is risk neutral) related to this American put option can be characterised by…
Lost1
- 1,023
- 6
- 18
8
votes
3 answers
Can Gaussianity of returns depend on the time frame?
I would be interested in knowing if the fact that returns are Gaussian is disproved on all time frames, or if, for example, the 5 minute intra-day time frame could exhibits Gaussian returns assuming there are no micro-structure issues (low…
Monolite
- 367
- 1
- 8
8
votes
2 answers
Completeness and Hedging Question
A question in some private notes I'm struggling to work through (exam. prep.). (iii) is where I hit a wall with my understanding & I'm lost thereafter. Any help/clarification gratefully received.
...
Consider a financial market with $d = 1$ risk…
Nigel M.
- 89
- 2