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# Quantitative Finance : Recent Questions and Answers

## Do corporate events happen intraday?

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 ?...

## Physical commodity trading quantitative risk return model

I 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...

## Calculating M in Kelly portfolio optimization

My 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...

What are good sources and textbooks covering the theory and models behind algorithmic trading and strategies?...

## Testing the significance of active trading strategies other than stocks

In 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...

## Simulation scheme for SABR beside the standard Euler discretization

QUESTION: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....

## Leverage and Tracking difference

I 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...

## Power Options & Forwards on Stock Squared

Short 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...