Quantitative Finance Weekly Newsletter

Quantitative Finance newsletter

Top new questions this week:

Gain/loss-asymmetry in artificial financial markets?

The gain/loss asymmetry is a well known stylized fact: It basically states that real financial time series take longer for going up than going down. My question Are you aware of any artificial ...

stylized-facts artificial-markets multi-agent-simulations  
asked by vonjd 4 votes

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 ...

portfolio-management risk-management nonlinear  
asked by FernandoG 3 votes
answered by Kyle Balkissoon 0 votes

Comparing Equity Funds

I am trying to compare 2 equity funds, I have 10Y of monthly returns (no knowledge of their share allocations) - and their index benchmark returns. They are both Value managers but I am not looking ...

asked by NickF 3 votes
answered by volcompt 3 votes

Rebalancing portfolio weights

I have a matrix of returns and weights for every time period. returns<-rbind(c(-0.05,0.04,0.37),c(0.15,0.02,-0.07)) weights<-rbind(c(0.5,0.1,0.4),c(0.4,0.2,0.4)) I would like to rebalance the ...

r portfolio rebalancing  
asked by hrt 2 votes
answered by WaltS 1 vote

Why $N(d_1)$ and $N(d_2)$ are different in Black & Scholes

I'm struggling to understand the meaning of $d_1$ and $d_2$ in Black & Scholes formula and why they're different from each other. As per the formula, $$C = SN(d_1) - e^{-rT}XN(d_2)$$ which ...

asked by andreister 2 votes
answered by Farahvartish 4 votes

Impact of big order on price

What is known about the question: If someone buys or sells a huge amount of some asset how the price would change ? Of course, it depends on the kind of assets and other context. My main interest is ...

asked by Alexander Chervov 2 votes
answered by volcompt 1 vote

why many option contract price less than minimum boundary price?

I downloaded data from NSE(National Stock Exchange) website regarding closing price of European Call Option written on Index. From standard textbook, I read that option contract must satisfy $C(t) ...

option-pricing derivatives asset-pricing option-strategies  
asked by Neeraj 2 votes

Greatest hits from previous weeks:

How do I calculate the delta of a convertible bond?

How can I find the delta of a convertible bond to be used for hedging?

delta-neutral convertible-bond  
asked by tshauck 5 votes
answered by Tangurena 7 votes

What open source trading platform are available

I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches.

trading high-frequency  
asked by Datageek 7 votes
answered by Andrew Campbell 5 votes

Can you answer these?

Orthogonal Regression/PCA

I am doing orthogonal regression. My X matrix consists of returns on a broad market index, value index, growth index, a few sectors,.....(my Y is the returns on an equity fund) I am regressing the Y ...

regression pca  
asked by NickF 1 vote

soft vs hard contraints in portfolio optimizations

Consider two sample portfolio optimizations: Optimization 1: $\begin{matrix} \\ \min \frac{1}{2} w'\Sigma w \\ w'\mu = r \\ Aw = 0 \\ w_l \le w \le w_u \end{matrix}$ Optimization 2: $\begin{matrix} ...

asked by uday 1 vote

Long-term proportion of convex and concave strategies in artificial financial markets

In their classic paper "Dynamic Strategies for Asset Allocation" Perold and Sharpe state: "That convex and concave strategies are mirror images of one another tells us that the more demand there ...

simulations artificial-markets multi-agent-simulations  
asked by vonjd 1 vote
Subscribe to more Stack Exchange newsletters

Unsubscribe from this newsletter or change your email preferences by visiting your subscriptions page on stackexchange.com.

Questions? Comments? Let us know on our feedback site. If you no longer want to receive mail from Stack Exchange, unsubscribe from all stackexchange.com emails.

Stack Exchange, Inc. 110 William St, 28th Floor, NY NY 10038 <3