Quantitative Finance Weekly Newsletter

Quantitative Finance newsletter

Top new questions this week:

Where to find good notations to teach investment portfolio maths?

I don't know whether this question is in order here. I do a bit of teaching and I am preparing my own notes but I thought that his should not be necessary. In which book/pdf on the web can we find a ...

risk portfolio reference-request expected-return risk-education  
asked by Richard 5 votes
answered by vonjd 1 vote

Is the money market account (MMA) numeraire and the forward measure equivalent?

Suppose we have a risk-neutral measure $\tilde{\mathbb{P}}$. The money market account is given as $M(t) = e^{\int^t_0 R(s) ds}$, while the price of the zero-coupon bond at time $t$ that matures at $T$ ...

numerairechange  
asked by Astaboom 5 votes
answered by Quantuple 2 votes

Do efficient market hypothesis and random walk theory convey the same concept?

According to investopedia efficent market hypothesis is The efficient market hypothesis (EMH) is an investment theory that states it is impossible to "beat the market" because stock market ...

random-walk market-efficiency  
asked by Eka 4 votes
answered by Andrew Maliska 4 votes

How to trade the Ornstein-Uhlenbeck process?

My question comes from this paper, which is a short version of Avellaneda's paper The picture bellow provides a summary of the equations. Do I understand correctly that in order to trade OU process ...

stochastic-processes pairs-trading mean-reversion  
asked by Artem Korol 3 votes

Interpolation of forward zeros-coupons bonds simulations for missing maturities (ESG data)

I have a set of economic scenarios simulated with Barrie and Hibbert ESG. The stochastic model for interest rates used is Libor Market Model Shifted. I am facing a problem with zeros-coupons prices. ...

interest-rates risk-neutral-measure forward-rate interpolation  
asked by user20554 3 votes

On the reflection of a stochastic integral

Let ${(I_t)}_{t\geq 0}$ be a stochastic integral defined by $$ I_t=\int_{0}^{t}\theta_sdW_t, $$ where $W$ is a standard Brownian motion defined on $(\Omega,\mathcal{F},{(\mathcal{F}_t)}_{t\geq ...

stochastic-processes stochastic-calculus brownian-motion wienerprocess  
asked by M. A. Kacef 3 votes

The relation between exchange rate SDE and respective interest rates

The exchange rate between a domestic currency money market and a foreign currency money market can be expressed as $$ dQ(t) = (r_d - r_f)Q(t)dt + \sigma Q(t)d\tilde{W}(t) $$ where $r_d$ is the ...

stochastic-processes fx numerairechange  
asked by Astaboom 3 votes
answered by dm63 2 votes

Greatest hits from previous weeks:

Switching from C++ to R - limitations/applications

I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are ...

r development  
asked by Karol Piczak 42 votes
answered by Johann Hibschman 21 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 14 votes
answered by Andrew Campbell 10 votes

Can you answer these?

Problems with a Black-Scholes modified equation

I haven't really studied much financial mathematics until about 2 months ago so I'm quite new to this stuff, so I'm sorry if this is a trivial question. At the moment I'm trying to work out what the ...

options option-pricing black-scholes stochastic-processes modeling  
asked by ThePlowKing 2 votes

How to choose a GARCH model which delivers iid standardized residuals?

For my thesis I first need to examine nine financial time series and fit a conditional volatility model such that the obtained standardized residuals ($z_t = \epsilon_t / \sigma_t$) are approximately ...

volatility time-series garch stationarity  
asked by Kondo 1 vote

Interplay of statistical factors (PCA) and market factors (value, momentum, low vol, ...)

Is there any research done on the interplay between statistical factors (as a result of principle component analysis PCA) and the market factors (especially value, size, low vol, momentum, quality)? ...

pca factor-loading factor-investing  
asked by Richard 3 votes
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