Find answers to your questions about Quantitative Finance or help others by answering their Quantitative Finance questions.
Does any corporate event that affects the stock price/shares outstanding happen during the trading session in vanilla US Common stocks or predominantly at night ?...
Asked on 01/06/2022
1 answerI am very new to commodities, I was previously in portfolio management/optimization (Black Litterman Markowitz etc). I am now a Buy-Sell analyst for Petrochemicals, and need to understand the basic...
Asked on 01/04/2022
5 answerMy Question In: $F^* = C^{−1}[M−R]$where $M$ is a vector of $n$ securities returns, is the log return, or arithmetic return, intended to be used for...
Asked on 01/04/2022 by oDUfrKeqea
1 answerWhat are good sources and textbooks covering the theory and models behind algorithmic trading and strategies?...
Asked on 01/02/2022
1 answerGot the following notice. What Can I do with AIG+ WARRANT I have? What will happen on 01/12/2021? What will happen on 01/14/2021? Will I get $45.088365 PER WARRANT ?...
Asked on 01/02/2022
2 answerSuppose someone buys $4bn of a particular stock over the period of a few weeks. Depending on how much that stock is being traded, you would expect that the price...
Asked on 01/02/2022
4 answerIn active asset management industry, a common approach to Test whether my Strategy Provides significant alpha is to Regress Portfolio Returns on Fama French 3 (or 5 factors) and check...
Asked on 12/31/2021
1 answerQUESTION:Beside Euler Scheme, is there another more robust (and preferably easy to implement) way to simulate asset path with SABR dynamics?Simulation that will withstand even for high volatilities....
Asked on 12/31/2021
1 answerI am a little confused. I have calculated the tracking difference of an Index and a n ETF using the return getting 0,4% tracking difference per year. I have then...
Asked on 12/28/2021
1 answerShort story: the process for Stock price squared is not a martingale when discounted by the money-market numeraire under the risk-neutral measure. How can we then compute derivative prices on...
Asked on 12/28/2021
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