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 ...

equities  
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 ...

black-scholes  
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 ...

order-execution  
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} ...

portfolio-optimization  
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
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