Quantitative Finance Weekly Newsletter

Quantitative Finance newsletter

Top new questions this week:

Attribution of unusual persistence in noncompetitive TAQ quotes levels?

I am looking at one day of AAPL quotes (3 Dec 2012) from TAQ to examine quote-based high frequency vol estimators. However, I found that a number of exchanges, when quoting noncompetitively, seem to …

market-data market-microstructure  
asked by Jacob M. Morley 4 votes

Effects of Fund manager reputation, track record, and skill on funds returns and capital flows

I am compiling a list of all studies that examine the effects of fund manager reputation, track record and skill on fund returns and capital flows across both mutual funds and hedge funds. The purpose …

mutual-fund hedge-fund reputation skill track-record  
asked by roland 3 votes
answered by Roberto Liebscher 4 votes

Estimating Beta from unevenly spaced price history

I have a certain non-stock asset that has 1 transaction every 1 to 8 months. I also have a price index of that class of asset compiled by another party on monthly basis. If I regress $price = \alpha' …

volatility time-series returns regression beta  
asked by base64 3 votes
answered by André Levy 1 vote

When can a derivative be considered to be path dependant?

The typical example of path dependant derivatives are knock-ins and knock-outs. At the same time vanilla American options can also be considered to be highly path dependant. Does a more or less …

options derivatives  
asked by Quanti 2 votes
answered by Jacob M. Morley 1 vote

What happened to Mountain View Analytics?

I stumbled over Thomas Cover's work on algorithmic portfolio selection; apparently, an outfit called "Mountain View Analytics" attempted to implement the suggestions from Cover's research. …

portfolio portfolio-optimization  
asked by rotaist 2 votes

Hidden Markov Models methods for selecting optimal number of states

Package RHmm (R) I have a vector which I fit into a hmm model in an attempt to select an optimal number of states for a hidden markov model. …

r hidden-markov-model  
asked by Barnaby 2 votes
answered by vonjd 0 votes

Effective simulation of multi factor Heston model

Im looking for a quick way (as in runs quick, not necessarily is quick to implement) of simulating multiple square root processes for a stochastic volatility model, flexible enough to allow for …

simulations  
asked by Henrik 2 votes

Greatest hits from previous weeks:

Rationale for OIS discounting for collateralized derivatives?

Can someone explain to me the rationale for why the market may be moving towards OIS discounting for fully collateralized derivatives?

valuation  
asked by Ryan 9 votes
answered by ldnquant 6 votes

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  
asked by vonjd 14 votes
answered by olaker 18 votes

Can you answer these?

Risk neutral measure for jump processes

How can I construct risk neutral measure for option price if active price form is: $$S(t)=S(0)\left[\exp{σW(t)+(α-βλ-1/2σ^2)t+Q(t)}\right] ?$$ Here $W(t)$ is a Brownian motion and $Q(t)$ is a …

levy black-scholes-merton  
asked by user7843 2 votes

Quantitative method to select tactical bands for asset allocation

Do you know a study with a methodology for selecting tactical bands (or the allowed deviation from a strategic asset allocation)? Thanks

asset-allocation tactical-asset-allocation  
asked by Victor P 1 vote

Distribution of minimum of hazard functions

Suppose I have two random variables, $X_1$ and $X_2$, that are independent (but not identically distributed) and assume both have hazard functions $\lambda_1(s)$ and $\lambda_2(s)$, for $s > 0$. …

stochastic-processes probability mathematics  
asked by siTTmo 1 vote
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