# Quantitative Finance newsletter

## Top new questions this week:

### Do intraday volume and volatility share the same properties?

volatility clustering and mean reversion are very well known properties that one could use when trading. Traders, especially in options world, do take realized vol into account (e.g. by forecasting it …

### Linear-Boundary Crossing Problem for Brownian Motion

This is a question I came across while reading: $W = (W_t)_{t\geq{0}}$ is a standard BM. Let $\mu\in \mathbb{R}$, and let $\tau_{a}^{\mu}$ = $\inf(t>0;W_t = a + \mu{t})$ be the first passage time …

finance brownian-motion quantitative passage-time

### Is Behavioral Finance relevant to quants?

This topic has been prompted by the following question: Measuring Behavioral Finance Effects in Fund/Portfolio Manager Analysis After reading it and the comments below I started thinking whether …

option-pricing models behavioral-finance
 answered by SRKX 1 vote

### An alternative to the Gaussian distribution to describe/fit market stock returns

After the financial crisis in 2008, many people (including me) don't really believe that stock returns can be described in terms of the normal distribution (Gaussian distribution). But besides the …

equities normal-distribution

### What's the underlying idea of definition of constrained market in Skiadas' Asset Pricing Theory?

I'm self-studying Skiadas' Asset Pricing Theory, and find the definition of constrained market on page 21 confusing(you can find it here in the sample chapter). Deﬁnition 1.26. A constrained …

modeling theory market-model convexity intuition

### 3 Factor HJM model, do these factors have an economic meaning?

In the HJM model, in case we have 3 factors, do these factors have an economic meaning at all ?

interest-rates
 answered by Probilitator 1 vote

### Attributing change in yield as a result of structural change

Suppose your portfolio has $w_0$ amount of bonds with yield $r_0$. Now you buy additional $w_1$ amount of bonds with yield $r_1$, then buy additional $w_2$ amount of bonds with yield $r_2$. …

 answered by Probilitator 1 vote

## Greatest hits from previous weeks:

### Free paper trading site with an API

I've got a quanitative trading model I want to test out in the real stock market. Right now, I'm writing some code to pull "live" quotes from yahoo, feed them to my model, and keep track of the …

### Transformation from the Black-Scholes differential equation to the diffusion equation - and back

I know the derivation of the Black-Scholes differential equation and I understand (most of) the solution of the diffusion equation. What I am missing is the transformation from the Black-Scholes …

black-scholes differential-equations

## Can you answer these?

### The Public Market Equivalent measure in private equity

What are the advantages and disadvantages of the Public Market Equivalent measure in private equity? Why is it that the volatility of the cash flows do not matter? This topic has been discussed in a …

equities private pme
 asked by roland 1 vote

### regarding Basel III IRB method for credit risk

Would the exposures between standard method and internal rating based method for credit risk under Basel III remain same?I could not find any documents for IRB approach under Basel III. Is it still …

risk risk-management
 asked by Shubhangi Kulkarni 1 vote

### Fitting a sigmoid function to incomplete, structured, data

I have an incomplete data set that looks like this: and I believe that it will continue to form a sigmoid-like shape. How can fit a sigmoid curve to this data given my assumption about what the …

curve-fitting
 asked by user1650502 1 vote
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